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Book Cover
Book
Author Epps, T. W.

Title Pricing derivative securities / T.W. Epps
Published Singapore ; River Edge, N.J. : World Scientific, [2000]
©2000

Copies

Location Call no. Vol. Availability
 MELB  332.632 Epp/Pds  AVAILABLE
Description xv, 692 pages : illustrations ; 22 cm
Contents I. Preliminaries -- 1. Introduction and Overview -- 2. Mathematical Preparation -- 3. Tools for Continuous-Time Models -- II. Pricing Theory -- 4. Dynamics-Free Pricing -- 5. Pricing Under Bernoulli Dynamics -- 6. Black-Scholes Dynamics -- 7. American Options and 'Exotics' -- 8. Models with Uncertain Volatility -- 9. Discontinuous Processes -- 10. Interest-Rate Dynamics -- III. Computational Methods -- 11. Simulation -- 12. Solving P.D.E.s Numerically -- 13. Programs
Bibliography Includes bibliographical references (pages 661-675) and index
Subject Derivative securities -- Prices -- Mathematical models.
LC no. 00033564
ISBN 9810242980 (alk. paper)