An Introduction to Exotic Option Pricing (Chapman & Hall/CRC Financial Mathematics) - Image 1

£182.82

CRC Press An Introduction to Exotic Option Pricing (Chapman & Hall/CRC Financial Mathematics)

Name: An Introduction to Exotic Option Pricing (Chapman & Hall/CRC Financial Mathematics)
Brand: CRC Press
Price: 182.82 GBP
Availability: InStock

Econometrics

This is the most expensive it has ever been. Walk away.

£183 today · previous high £183 · all-time low £167

NEW HERE?

Amazon shows you one price. We show you all of them.

Tosheroon watches Amazon prices so you don't have to. Every product on Amazon has a price history — we make it visible. Set the price you'd actually pay, and we'll email you the second it gets there. No app, no account, one email.

WHAT'S ON THIS PAGE

↓ Price chart
when this has been cheap or pricey

↓ Forecast
where the price is heading next

↓ Statistics
all-time high & low, recent range

↑ Price alert
name your number, we'll email you

Price History & Forecast

Grey patches = out of stock. Cheaper = lower on the chart. Hover for exact prices.

Last 72 days · 72 data points (no recent data)

Historical

Generating forecast…

Price Distribution

Price distribution over 72 days • 2 price levels

Days at Price

Current Price

Price Analysis

Most common price: £167 (56 days, 77.8%)

Price range: £167 - £183

Price levels: 2 different prices over 72 days

Description

In an easy-to-understand, nontechnical yet mathematically elegant manner, An Introduction to Exotic Option Pricing shows how to price exotic options, including complex ones, without performing complicated integrations or formally solving partial differential equations (PDEs). The author incorporates much of his own unpublished work, including ideas and techniques new to the general quantitative finance community. The first part of the text presents the necessary financial, mathematical, and statistical background, covering both standard and specialized topics. Using no-arbitrage concepts, the Black–Scholes model, and the fundamental theorem of asset pricing, the author develops such specialized methods as the principle of static replication, the Gaussian shift theorem, and the method of images. A key feature is the application of the Gaussian shift theorem and its multivariate extension to price exotic options without needing a single integration. The second part focuses on applications to exotic option pricing, including dual-expiry, multi-asset rainbow, barrier, lookback, and Asian options. Pushing Black–Scholes option pricing to its limits, the author introduces a powerful formula for pricing a class of multi-asset, multiperiod derivatives. He gives full details of the calculations involved in pricing all of the exotic options. Taking an applied mathematics approach, this book illustrates how to use straightforward techniques to price a wide range of exotic options within the Black–Scholes framework. These methods can even be used as control variates in a Monte Carlo simulation of a stochastic volatility model.

Product Specifications

Brand: CRC Press
Format: hardcover
ASIN: 142009100X
Category: Books > Subjects > Business, Finance & Law > Economics > Econometrics
Domain: Amazon UK
Release Date: 03 February 2012
Listed Since: 23 May 2008

Barcode

No barcode data available

CRC Press An Introduction to Exotic Option Pricing (Chapman & Hall/CRC Financial Mathematics)

This is the most expensive it has ever been. Walk away.

Price History & Forecast

Price Distribution

Price Analysis

Description

Product Specifications

Barcode

Similar Products You Might Like

Analytical Finance: Volume I: The Mathematics of Equity Derivatives, Markets, Risk and Valuation: 1

Foundations of the Pricing of Financial Derivatives: Theory and Analysis (Frank J. Fabozzi Series)

Nonlinear Option Pricing (Chapman and Hall/CRC Financial Mathematics Series)

Nonlinear Option Pricing (Chapman and Hall/CRC Financial Mathematics Series)

Pricing Path Dependent Exotic Options: A Comprehensive Mathematical Framework

Introduction to Stochastic Finance with Market Examples (Chapman and Hall/CRC Financial Mathematics Series)

American-Style Derivatives: Valuation and Computation (Chapman and Hall/CRC Financial Mathematics Series)

Problems and Solutions in Mathematical Finance, Volume 2: Equity Derivatives (The Wiley Finance Series)

American-Style Derivatives: Valuation and Computation (Chapman and Hall/CRC Financial Mathematics Series)

The Heston Model and Its Extensions in VBA (Wiley Finance)

Pricing Derivative Securities (2nd Edition): Second Edition

Computation and Simulation for Finance: An Introduction with Python (Springer Undergraduate Texts in Mathematics and Technology)

Advanced Asset Pricing Theory: 2 (Series In Quantitative Finance)

A Factor Model Approach to Derivative Pricing

Option Valuation under Stochastic Volatility II: With Mathematica Code

Fitting Local Volatility: Analytic And Numerical Approaches In Black-Scholes And Local Variance Gamma Models

Option Theory with Stochastic Analysis: An Introduction to Mathematical Finance (Universitext)

Malliavin Calculus in Finance: Theory and Practice (Chapman and Hall/CRC Financial Mathematics Series)

Analytical Finance: Volume II: The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation

Lévy Processes in Finance: Pricing Financial Derivatives: 534 (Wiley Series in Probability and Statistics)

The Mathematics of Finance: Modeling and Hedging (Pure and Applied Undergraduate Texts)

An Introduction to Financial Mathematics: Option Valuation (Chapman and Hall/CRC Financial Mathematics Series)

Option Pricing Models and Volatility Using Excel-VBA

Introduction to Stochastic Calculus Applied to Finance (Chapman and Hall/CRC Financial Mathematics Series)