Analytical and Numerical Methods for Pricing Financial Derivatives

Abstract

Introduction The role of protecting financial portfolios Black-Scholes & Merton model European style of options Analysis of dependence of option prices on model parameters Option pricing under transaction costs Modeling & pricing exotic financial derivatives Short interest rate modeling Pricing of interest rate derivatives American types of derivative securities Numerical methods for pricing of simple derivatives Non-linear extensions of the Black-Scholes pricing model Transformation methods for pricing American options Calibration of interest rate & term structure models Advanced topics in the term structure modeling Index.

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