T. W. Epps Pricing Derivative Securities

ISBN 13: 9789810242985

Pricing Derivative Securities

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9789810242985: Pricing Derivative Securities

Latest Edition: Pricing Derivative Securities (2nd Edition)The development of successful techniques for valuing derivative assets is among the most influential achievements of economic science. Pricing Derivative Securities presents the theory of financial derivatives in a way that emphasizes both its mathematical foundations and its practical implementation. The book's organization reveals its three distinctive features. Part I surveys the necessary tools of analysis, probability theory, and stochastic calculus, thus making the book self-contained. The chapters in Part II, Pricing Theory, are organized around the dynamics of the price processes of underlying assets, progressing from simple models to those that require considerable mathematical sophistication. The last part of the book is devoted to the empirical implementation of the pricing formulas developed in Part II, offering a detailed survey of numerical methods and providing a collection of programs in FORTRAN and C++.Errata(s)Preface, Page viChapter 13, Page 534"www.worldscientific.com/books/4415.zip" The above links should be replaced with"www.worldscientific.com/doi/suppl/10.1142/4415/suppl_file/4415_software_free.zip"Errata

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Review:

"It is certainly a book which should be on every financial engineer's shelf." -- Journal of Finance, April 2002

"The book will be interesting for financial academics and for practitioners working in financial derivatives." -- Mathematics Abstracts, 2002

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