(Ebook PDF) Quantitative Methods in Derivatives Pricing An Introduction to Computational Finance 1st Edition by Domingo Tavella ISBN 0471394471 9780471394471 Full chapter

Quantitative Methods in Derivatives Pricing An Introduction to Computational Finance 1st Edition by Domingo Tavella – Ebook PDF Instant Download/Delivery: 0471394471, 978-0471394471
Full dowload Quantitative Methods in Derivatives Pricing An Introduction to Computational Finance 1st Edition after payment

 

Product details:

ISBN 10:         0471394471
ISBN 13: 978-0471394471
Author:          Domingo Tavella

This book presents a cogent description of the main methodologies used in derivatives pricing. Starting with a summary of the elements of Stochastic Calculus, Quantitative Methods in Derivatives Pricing develops the fundamental tools of financial engineering, such as scenario generation, simulation for European instruments, simulation for American instruments, and finite differences in an intuitive and practical manner, with an abundance of practical examples and case studies. Intended primarily as an introductory graduate textbook in computational finance, this book will also serve as a reference for practitioners seeking basic information on alternative pricing methodologies.
Domingo Tavella is President of Octanti Associates, a consulting firm in risk management and financial systems design. He is the founder and chief editor of the Journal of Computational Finance and has pioneered the application of advanced numerical techniques in pricing and risk analysis in the financial and insurance industries. Tavella coauthored Pricing Financial Instruments: The Finite Difference Method. He holds a PhD in aeronautical engineering from Stanford University and an MBA in finance from the University of California at Berkeley.

Quantitative Methods in Derivatives Pricing An Introduction to Computational Finance 1st Table of contents:

Part I: Introduction to Derivatives and Financial Markets

1. Introduction to Derivatives

   • What Are Derivatives?
   • Key Types of Derivatives: Futures, Options, and Swaps
   • Basic Terminology in Derivatives

2. Overview of Financial Markets

   • Understanding Financial Instruments
   • Markets and Exchanges: How They Work
   • Market Participants and Their Roles

3. Foundations of Computational Finance

   • The Role of Computers in Modern Finance
   • Introduction to Quantitative Finance Methods
   • Tools for Financial Computation and Analysis

Part II: Mathematical Foundations

4. Mathematics of Derivatives

   • Understanding the Black-Scholes Model
   • Stochastic Calculus in Finance
   • Introduction to Partial Differential Equations (PDEs)

5. Risk Management and Hedging

   • Hedging Techniques in Derivative Pricing
   • Managing Risk Using Derivatives
   • The Role of Delta, Gamma, and Other Greeks

6. Time Value of Money and Discounting

   • Present Value and Future Value Concepts
   • Discounting Cash Flows in Derivative Pricing
   • Compounding and Interest Rates

Part III: Option Pricing Models

7. The Black-Scholes Model

   • Deriving the Black-Scholes Formula
   • Assumptions of the Black-Scholes Model
   • Applications and Limitations

8. Binomial Option Pricing Model

   • Introduction to the Binomial Tree Method
   • Deriving the Option Price via a Binomial Model
   • Convergence of the Binomial Model to Black-Scholes

9. Monte Carlo Simulation in Option Pricing

   • Principles of Monte Carlo Methods
   • Implementing Monte Carlo Simulations for Option Pricing
   • Applications and Performance

Part IV: Advanced Topics in Computational Finance

10. Volatility and Its Impact on Pricing

    • Implied vs. Historical Volatility
    • Volatility Models in Derivative Pricing
    • Stochastic Volatility Models

11. Interest Rate Derivatives

    • Types of Interest Rate Derivatives (Options, Swaps, Futures)
    • Pricing Interest Rate Derivatives
    • The Role of the Yield Curve

12. Credit Derivatives

    • Understanding Credit Default Swaps (CDS)
    • Pricing CDS and Other Credit Derivatives
    • The Role of Credit Ratings and Default Risk

Part V: Practical Applications

13. Numerical Methods in Derivatives Pricing

    • Finite Difference Methods
    • Using Finite Difference for Solving PDEs
    • Crank-Nicolson Scheme for Option Pricing

14. Computational Techniques and Software

    • Programming and Software Tools for Derivatives Pricing
    • Using MATLAB, R, and Python in Computational Finance
    • Building Models for Real-World Pricing

Part VI: Conclusion and Further Research

15. Current Trends in Computational Finance

    • Advances in Machine Learning for Derivative Pricing
    • Algorithmic Trading and High-Frequency Finance
    • Future Directions in Quantitative Finance

16. Appendix: Mathematical and Computational Tools

    • Mathematical Formulas and Derivations
    • Practical Coding Examples
    • Financial Data Sources and References

People also search for Quantitative Methods in Derivatives Pricing An Introduction to Computational Finance 1st:

quantitative methods examples
derivatives pricing and valuation pdf
what is a market derivative
credit derivatives pricing models
derivatives pricing using quantlib an introduction

 

Tags:

Domingo Tavella,Quantitative Methods,Derivatives,Pricing,Introduction,Computational Finance 1st