Pricing derivative securities /

Pricing derivative securities /

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Bibliographic Details
Author / Creator:	Epps, T. W.
Imprint:	River Edge, NJ : World Scientific, 2000.
Description:	xv, 692 p. ; 23 cm.
Language:	English
Subject:	Derivative securities -- Prices -- Mathematical models. Derivative securities -- Prices -- Mathematical models.
Format:	Print Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/4439658

Hidden Bibliographic Details
ISBN:	9810242980 (alk. paper)
Notes:	Includes bibliographical references (p. 661-675) and index.

Table of 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.