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9780471394471

Quantitative Methods in Derivatives Pricing An Introduction to Computational Finance

Quantitative Methods in Derivatives Pricing An Introduction to Computational Finance
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  • ISBN-13: 9780471394471
  • ISBN: 0471394475
  • Publisher: Wiley & Sons, Incorporated, John

AUTHOR

Tavella, Domingo

SUMMARY

Praise for Quantitative Methods in Derivatives Pricing "Tavella's text is ideal for a course on computational methods in finance. I cannot think of a better book for the purpose. The writing is clear and intuitive. The marriage of mathematical methods and financial applications is just right for a first course on the topic, especially with the excellent working examples for Monte Carlo and finite-difference methods." -Darrell Duffie, Professor of Finance Stanford University "This is a masterful and detailed survey of the fundamental tools and techniques available to financial engineers." -Francis Longstaff, Professor of Finance, UCLA "Quantitative Methods in Derivatives Pricing is a valuable addition to the books available to the beginning graduate student or practitioner. As well as containing a nice treatment of the theoretical principles of modern financial derivatives, it is the first to stress the fundamentals of the wide variety of computational algorithms used for pricing and hedging. Unlike many of its competitors, it is succinct and clearly written." -M. A. H. Dempster, Professor of Finance and Director Centre for Financial Research, Cambridge University "This textbook provides a superb introduction to quantitative derivative pricing techniques that is a must read for MFE students. Domingo Tavella develops a uniform framework for derivative valuation in terms of computing expectations. He then analyzes the pricing theory and practice using simulation and finite differences. Readers will find unique insights into implementation issues associated with these state-of-the-art pricing techniques." -Joshua Rosenberg, Associate Editor, Journal of Computational FinanceTavella, Domingo is the author of 'Quantitative Methods in Derivatives Pricing An Introduction to Computational Finance' with ISBN 9780471394471 and ISBN 0471394475.

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