Implementing Derivative Models (Wiley Series in Financial Engineering)
Les Clewlow & Chris Strickland

Implementing Derivatives Models provides comprehensive coverage of practical pricing and hedging techniques for complex options. Note: purchasing is through Amazon

Derivatives markets, particularly the over-the-counter market in complex or exotic options, are continuing to expand rapidly on a global scale. However, the availability of information regarding the theory and applications of the numerical techniques required to succeed in these markets is limited. This lack of information is extremely damaging to all kinds of financial instruments and consequently there is enormous demand for a source of sound numerical methods for pricing and hedging.

Implementing Derivatives Models answers this demand, providing comprehensive coverage of practical pricing and hedging techniques for complex options. Highly accessible to practitioners seeking the latest methods and uses of models. Implementing Derivatives Models is also a potent resource for financial academics who need to implement, compare, and empirically estimate the behaviour of various option pricing models.

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Contents

Preface
Acknowledgements
Notation

Part One: Implementing Models in a Generalised Black-Scholes World

1. The Black-Scholes World, Option Pricing and Numerical Techniques
2. The Binomial Method
3. Trinomial Trees and Finite Difference Methods
4. Monte Carlo Simulation
5. Implied Trees and Exotic Options

Part Two: Implementing Interest Rate Models

References
Index

What Amazon.com buyers are saying about "Implementing Derivatives Models"

"Excellent Applied Derivatives Book !!! Authors have succeeded remarkably well in providing students and practitioners with a book on derivatives concentrating purely on numerical methods. The writing and notation is clear and free of unnecessary stuff. Focus is never lost. Almost all aspects that are relevant are covered."

"Authors do a particularly outstanding job in presenting the more difficult term structure calculations and they give an excellent treatment of the forward algorithm. Well, what can I say ? In conclusion, an outstanding book, well worth the price."

"An excellent applied look at how to value derivatives. The authors could not have done a better job. The extensive section on interest rate derivatives is much clearer than most other books."