Beschreibung
Inhaltsangabeto Option Pricing.- Asset Pricing Basics.- Continuous-Time Models.- Black-Scholes.- Estimating and Modelling Volatility.- to Monte Carlo and Binomial Models.- Advanced Option Pricing.- Foreign Exchange.- Forward, Futures, and Exchange Options.- Exotic Options.- More on Monte Carlo and Binomial Valuation.- Finite Difference Methods.- Fixed Income.- Fixed Income Concepts.- to Fixed Income Derivatives.- Valuing Derivatives in the Extended Vasicek Model.- A Brief Survey of Term Structure Models.
Inhalt
From the contents: Part I Introduction to Option Pricing: Asset Pricing Basics. Continuous-Time Models. Black-Scholes. Estimating and Modelling Volatility. Introduction to Monte Carlo and Binomial Models.- Part II Advanced Option Pricing: Foreign Exchange. Forward, Futures, and Exchange Options. Exotic Options. More on Monte Carlo and Binomial Valuation. Finite Difference Methods.- Part III Fixed Income: Fixed Income Concepts. Introduction to Fixed Income Derivatives. Valuing Derivatives in the Extended Vasicek Model. A Brief Survey of Term Structure Models.- Appendices: A: Programming in VBA. B: Miscellaneous Facts about Continuous-Time Models.- List of Programs. List of Symbols. References. Index.
