Quantitative modelling of derivative securities: from theory to practice

By:

Avellaneda, Marco; Laurence, Peter

Material type: Text

TextPublication details: 2000 Chapman & Hall/CRC Boca RatonDescription: xii, 322p. 25 cm ; illustrations,Hard boundISBN:

1-58488-031-7

Subject(s):

Portfolio Management Derivative securities Options (Finance) Exotic options (Finance)

Contents:

1. Arbitrage Pricing Theory: The One-Period Model -- 2. The Binomial Option Pricing Model -- 3. Analysis of the Black-Scholes Formula -- 4. Refinements of the Binomial Model -- 5. American-Style Options, Early Exercise, and Time-Optionality -- 6. Trinomial Model and Finite-Difference Schemes -- 7. Brownian Motion and Ito Calculus -- 8. Introduction to Exotic Options: Digital and Barrier Options -- 9. Ito Processes, Continuous-Time Martingales, and Girsanov's Theorem -- 10. Continuous-Time Finance: An Introduction -- 11. Valuation of Derivative Securities -- 12. Fixed-Income Securities and the Term-Structure of Interest Rates -- 13. The Health-Jarrow-Morton Theorem and Multidimensional Term-Structure Models.

Summary: Based primarily on the analysis of derivatives, this work emphasizes relative-value and hedging ideas applied to different financial instruments. It demonstrates how to take the basic ideas of arbitrage theory and apply them to the design and analysis of financial products.

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Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode
Books	H.T. Parekh Library	GSB Collection	332.63228 AVE (Browse shelf(Opens below))	Available		22243

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1. Arbitrage Pricing Theory: The One-Period Model --
2. The Binomial Option Pricing Model --
3. Analysis of the Black-Scholes Formula --
4. Refinements of the Binomial Model --
5. American-Style Options, Early Exercise, and Time-Optionality --
6. Trinomial Model and Finite-Difference Schemes --
7. Brownian Motion and Ito Calculus --
8. Introduction to Exotic Options: Digital and Barrier Options --
9. Ito Processes, Continuous-Time Martingales, and Girsanov's Theorem --
10. Continuous-Time Finance: An Introduction --
11. Valuation of Derivative Securities --
12. Fixed-Income Securities and the Term-Structure of Interest Rates --
13. The Health-Jarrow-Morton Theorem and Multidimensional Term-Structure Models.

Based primarily on the analysis of derivatives, this work emphasizes relative-value and hedging ideas applied to different financial instruments. It demonstrates how to take the basic ideas of arbitrage theory and apply them to the design and analysis of financial products.

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