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Implementing Derivative Models, by Les Clewlow, Chris Strickland
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Implementing Derivatives Models Les Clewlow and Chris Strickland 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 institutions 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, including
* The Binomial Method
* Trinomial Trees and Finite Difference Methods
* Monte Carlo Simulation
* Implied Trees and Exotic Options
* Option Pricing, Hedging and Numerical Techniques for Pricing Interest Rate Derivatives
* Term Structure Consistent Short Rate Models
* The Heath, Jarrow and Morton Model
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. Finance/Investment
- Sales Rank: #1174322 in Books
- Published on: 1998-06
- Original language: English
- Number of items: 1
- Dimensions: 9.96" h x .98" w x 6.99" l, 1.61 pounds
- Binding: Hardcover
- 330 pages
From the Publisher
As the market for new derivative instruments continues to expand both in volume and complexity, traders and brokers everywhere are clamoring for sound, numerical techniques to model, price and comfortably hedge complex, exotic options. Highly accessible to practitioners seeking the latest uses of Monte Carlo and Binomial methods, this book is also a potent resource for financial academics who need to implement, examine and empirically estimate the behavior of various options pricing models.
From the Inside Flap
As the market for new derivative instruments continues to expand both in volume and complexity, traders and brokers everywhere are clamouring for sound numerical techniques to model, price and comfortably hedge complex, exotic options. Implementing Derivatives Models is the single comprehensive source of this application-oriented guidance. Written in a highly accessible style, it is of great assistance to practitioners and finance academics who need to implement models, examine their behaviour, compare with new models, and perform empirical estimation of the models.
From the Back Cover
Implementing Derivatives Models Les Clewlow and Chris Strickland 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 institutions 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, including
* The Binomial Method
* Trinomial Trees and Finite Difference Methods
* Monte Carlo Simulation
* Implied Trees and Exotic Options
* Option Pricing, Hedging and Numerical Techniques for Pricing Interest Rate Derivatives
* Term Structure Consistent Short Rate Models
* The Heath, Jarrow and Morton Model
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. Finance/Investment
Most helpful customer reviews
0 of 0 people found the following review helpful.
A great reference and complement to Hull
By Ian K.
Implementing Derivatives Models is a great reference for anyone who need to implement derivative models. The algorithms and the underlying ideas are clearly explained. Each model has a numeric example that you can use to check the results of your model. This really is almost a required reference for anyone building software derivative models (a group that seems to be rather small these days).
I used Implementing Derivative models along with Hull (Options, Futures, and Other Derivatives) for a graduate course I took. Hull writes for MBAs and the models in his book are implemented in Excel, which is, generally, a tool for those who cannot write software. Implementing Derivatives Models is a book for those who are able to implement software in languages like R, Mathlab or C++. Each model in the book includes pseudo-code.
I think that the book doesn't target any language is a feature, but for those looking for C++ algorithms it may be a bug. Unlike books like Numerical Methods in Finance with C++ the books usefulness doesn't depend on which language you are using.
I really can't think of any strong flaws. The book is dense and you have to read it carefully. However, it deals with complex models which require a lot of thought. Perhaps it could have covered issues of numerical convergence a bit more.
0 of 0 people found the following review helpful.
Errata should be more readily available for this book
By MJE
Quite a bit of errors in the book and the errata is difficult to find.
0 of 0 people found the following review helpful.
Great book
By Ken
Learnt a great deal from this book. I bought this because I had to learn some stuff for work, on a project. The book helped me learn the concept easily and understand the content.
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