Analytical and numerical methods for pricing financial derivatives

The role of protecting financial portfolios -- Black-Scholes and Merton model -- European style of options -- Analysis of dependence of option prices on model parameters -- Option pricing under transaction costs -- Modeling and pricing exotic financial derivatives -- Short interest rate modeling --...

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Bibliographische Detailangaben
1. Verfasser:	Sevcovic, Daniel (VerfasserIn)
Weitere Verfasser:	Stehlíková, Beáta (VerfasserIn), Mikula, Karol (VerfasserIn)
Format:	UnknownFormat
Sprache:	eng
Veröffentlicht:	New York, NY Nova Science Publ. c 2011
Schriftenreihe:	Mathematics research developments Financial institutions and services
Schlagworte:	Derivat > Optionspreistheorie > Black-Scholes-Modell > Zinsstruktur > Theorie > Derivative securities > Prices > Options (Finance)
Online Zugang:	Inhaltsverzeichnis
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Beschreibung
Zusammenfassung:	The role of protecting financial portfolios -- Black-Scholes and Merton model -- European style of options -- Analysis of dependence of option prices on model parameters -- Option pricing under transaction costs -- Modeling and pricing exotic financial derivatives -- Short interest rate modeling -- Pricing of interest rate derivatives -- American types of derivative securities -- Numerical methods for pricing of simple derivatives -- Nonlinear extensions of the Black-Scholes pricing model -- Transformation methods for pricing American options -- Calibration of interest rate and term structure models -- Advanced topics in the term structure modeling.
Beschreibung:	Formerly CIP Uk. - Includes bibliographical references and index
Beschreibung:	XV, 309 S. Ill., graph. Darst. 27 cm
ISBN:	9781617287800 978-1-61728-780-0 1617287806 1-61728-780-6