Book Description

From the Inside Flap

One of the pioneers in the emergence of computational finance as a discipline in its own right, develops the main techniques and strategies of computational finance in a unified framework. From the plethora of methods that characterize a new discipline in a state of fluid evolution, this book concentrates on those that have proven to be sufficiently solid and robust to become a permanent part of the arsenal (n.兵工厂, 军械库 )of strategies for pricing complex financial instruments. Either as a textbook or a reference source, this book’s emphasis is on practicality and applications.

As a textbook, this work fills a palpable(adj.可触知的, 明显的 )need for adequate material in the ever-increasing number of programs with an emphasis on sophisticated financial engineering.

As a reference source, it provides a valuable overview of the most relevant methods and approaches of computational finance for those with adequate quantitative background entering the field of financial pricing.

Topics discussed include:
A brief introduction to single-period pricing
A self-contained, practical introduction to stochastic calculus, with an emphasis on practical applications
Introduction to continuous-time pricing
Generation of scenarios for simulation, discussing methods and accuracy in detail
Simulation applied to computing expectations for European pricing
Simulation applied to early exercise pricing, presenting a detailed description of the least squares Monte Carlo method
The use of finite differences in option pricing

Filled with numerous case studies and expert advice, Quantitative Methods in Derivatives Pricing offers the most complete look at proven computational techniques for derivatives pricing to date. You’ll quickly learn about the pricing of derivatives in continuous time, how asset-pricing theory is used to set up the pricing problem, and how to implement simulation methods for pricing both European and early exercise derivatives. TheInvaluable resource prepares you for the rigors of the modern financial world and puts you on the road to successful derivatives pricing.

"Tavella’s text is ideal for a course on computational methods in finance. I cannot think of a better book for the purpose. The writing is clear and intuitive. The marriage of mathematical methods and financial applications is just right for a first course on the topic, especially with the excellent working examples for Monte Carlo and finite-difference methods."
–Darrell Duffie, Professor of Finance  Stanford University

"This is a masterful and detailed survey of the fundamental tools and techniques available to financial engineers."
–Francis Longstaff, Professor of Finance, UCLA

"Quantitative Methods in Derivatives Pricing is a valuable addition to the books available to the beginning graduate student or practitioner. As well as containing a nice treatment of the theoretical principles of modern financial derivatives, it is the first to stress the fundamentals of the wide variety of computational algorithms used for pricing and hedging. Unlike many of its competitors, it is succinct and clearly written."
–M. A. H. Dempster, Professor of Finance and Director
   Centre for Financial Research, Cambridge University

"This textbook provides a superb introduction to quantitative derivative pricing techniques that is a must read for MFE students. Domingo Tavella develops a uniform framework for derivative valuation in terms of computing expectations. He then analyzes the pricing theory and practice using simulation and finite differences. Readers will find unique insights into implementation issues associated with these state-of-the-art pricing techniques."
–Joshua Rosenberg, Associate Editor, Journal of Computational Finance

[此贴子已经被作者于2008-5-2 13:32:56编辑过]