 |
GetTextbooks.com
Compare Prices & Save up to 90% |
|
|
|
| Login | Sign up | My Wish List |
 | | Implementing Derivative Models (Wiley Series in Financial Engineering) by Les Clewlow, Chris Strickland ISBN-10: 0471966517 ISBN-10: 0-471-96651-7 ISBN-13: 9780471966517 ISBN-13: 978-0-471-96651-7 Hardcover 1998-06 Wiley Find Lowest Price |
Editorials | ||
Product Description 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 | ||
Reviews | ||
Best book of implementing IR option models Best book of implementing IR option models that I found while I was writing my masters thesis. It has full algorithms for most of the models presented and also simulations of the results. This book complemented with Interest-Rate Option Models: Understanding, Analysing, and Using Models for Exotic Interest-Rate Options (Wiley Series in Financial Engineering)is a good set to IR Option background. | ||
Great book 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. | ||
good introduction Very good introduction or summary for the most basic models that are used in the industry. However, it is not very detailed for more complicated models. | ||
You can do it but you do not understand This books is very valuable for equities derivatives. In particular the implementations are very clear even if it is only sketch and not real implementations. Unfortunately it does not explain the real points behind (martingale, risk neutral). So you know how to do it but you do not know why you do it. For this you should read the Baxter. Another bad point is that the interest rate derivatives are covered just for the single factor rate models and the HJM model and not the LIBOR-Market model which is the most useful model. | ||
Fills a gap, but needs polish Even more than Wilmott's book, C&S's book gets into the details of pricing derivatives. The choice of topics is truly excellent, and the copious source code included is a superb move. I am currently using this book (and others) to teach a class in Financial Programming.On the other hand, errors are frustratingly frequent. Not so much in the source code, but in the prose. It would be nice to see a floppy disk of code come with the book, a la Hull. There are no exercises in the text, which I consider to be an egregious error, because exercises are really the only way to learn the material.C&S try to make finite difference schemes seem less intimidating by expressing them in terms of probabilities (to stress the link between trees and more general lattices). This works OK for explicit schemes, but for the more important implicit and Crank Nicolson schemes is weird and unnatural. It fails to give the reader any clue as to how to do finite differencing on his own. (Their odd changes of variables don't help, either.) Wilmott's treatment of the subject of finite differencing is far superior. | ||