Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance

By Domingo Tavella

Book Overview

Ein Buch für erfahrene Experten auf dem Gebiet der Kreditderivate. "Credit Derivatives Pricing" erläutert Theorien und Methoden zur Ermittlung des Kreditrisikos und zur Preisbildung bei Kreditderivaten. Darüber hinaus enthält es zur Vertiefung der Kenntnisse einen umfassenden praktischen Teil. Hier erklärt der Autor - ein erfahrener Consultant und Experte auf dem Gebiet der Kreditderivate - sehr detailliert und anschaulich Anwendungsbeispiele zu den behandelten Theorien und Methoden. "Credit Derivatives Pricing" Ein wichtiges Buch für die tägliche Praxis.

• Format: Hardcover
• Language: English
• ISBN: 0471394475
• ISBN13: 9780471394471
• Release Date: April 2002
• Publisher: Wiley
• Length: 304 Pages
• Weight: 1.30 lbs.
• Dimensions: 1.1" x 6.6" x 9.7"

Customer Reviews

The proof is in the reading!

Over 100 students in Berkeley's Master's in Financial Engineering Program have so far successfully mastered state-of-the-art derivatives pricing using the material in this textbook. In "The proof of the pudding is in the eating" test, this book earns an A+.John O'Brien, Executive Director MFE Program, U.C. Berkeley

Excellent Reference for Computational Finance

This is an excellent introduction book on computational finance. It covers Monte Carlo simulation for pricing and scenario generations and finite difference methods very well. I really like the part on Monte Carlo simulation with various variance reduction techniques such as Brownian Bridge. The author not only presents the methodologies, but he also tells the readers their limitations. This book is also a good resource for basics of stochastic processes most commonly needed in practice. I think the book is beneficial both to practitioners and students who really wants to consider financial engineering as a career.

Excellent resource

Whether you're a practitioner or a student, this text is great. It is succinctly written, covering everything from fundamental theories then leading into practical applications. While it is not for the mentally flaccid, if your sharp enough, you'll find it very useful.

Lucid and Practical Introduction

This introductory book is clearly written and goes directly to the essence of every subject it covers. It focuses on important numerical methods (simulation and finite-differences) that are used extensively in practice. It makes good use of examples by applying the techniques to standard and complex derivatives to illustrate the need for various numerical methods. After a succint and practical introduction to foundational concepts on stochastic processes and continuous time pricing, numerous techniques with applications are given next. Throughout, the author does a good job in contrasting the different numerical approaches through discussions on computational barriers and accuracy.The book is definitely a good introduction to numerical methods in finance. It is easily accessible to practitioners and students with standard notions of calculus and probability.