Pricing Derivative Securities

An Interactive, Dynamic Environment with Maple V and Matlab

Eliezer Z. Prisman (Autor)

Buch | Hardcover

756 Seiten

2000
Academic Press Inc (Verlag)
978-0-12-564915-5 (ISBN)

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Helps readers visualize payoffs and respond to various constraints and conditions. This illustrated title enhances learning by altering the commands in the on-line files, varying them at will, in order to experiment with applications of the concepts and different (reader-generated) examples, in addition to the ones already in the prepared file.

Pricing derivatives theory comes alive in this self-contained interactive experience in financial pricing. The no-arbitrage perspective in a one-period state-preference model drives the book, and the Maple® and Matlab® programs help readers visualize payoffs and respond to various constraints and conditions. With clear explanations and lavish illustrations, Pricing Derivative Securities: An Interactive, Dynamic Environment with Maple V and Matlab teaches the core theoretical concepts so often disguised behind difficult terms and institutional details.Readers can experiment with the electronic packages forever, using the book and its solutions manual as a tutorial that can help solve problems of increasing complexity.

Eliezer Z. Prisman holds the Nigel Martin Chair in Finance and is the Director of the Financial Engineering collaborative diploma at the Schulich School of Business, York University, Toronto. He received a BA in Economics and Statistics from the Hebrew University of Jerusalem, and an M.Sc. and D.Sc. in Operations Research from the Technion Institute of Technology, Israel. Professor Prisman has held positions as Assistant Professor of Management Science at Georgia Institute of Technology, Assistant Professor of Finance at Arizona State University and Senior Lecturer in Economics at Bar Ilan University. His research area includes optimization and its use in Finance and Financial Engineering, arbitrage pricing in markets with taxes and transaction costs, financial innovation and the use of symbolic computation in financial engineering for commercial, mathematical and academic purposes. Professor Prisman has published numerous papers in journals such as The Journal of Economic Theory, Mathematical Programming, Journal of Financial and Quantitative Analysis, The Journal of Finance, Journal of Banking and Finance and Management Science.

Theory of Arbitrage
Arbitrage Pricing
Pricing by Arbitrage
Fundamentals of Options
Risk-Neutral Probability and the SDF
Valuation of European Options
Sensitivity Measures
Hedging with the Greeks
The Term Structure and Its Estimation
Forwards, Eurodollars, and Futures
Swaps: A Second Look
American Options
Binomial Models I
Binomial Models II
The Black-Scholes Formula
Other Types of Options
The End or the Beginning?
Index

Erscheint lt. Verlag	6.11.2000
Verlagsort	San Diego
Sprache	englisch
Maße	152 x 229 mm
Gewicht	1130 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Computerprogramme / Computeralgebra
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
ISBN-10	0-12-564915-0 / 0125649150
ISBN-13	978-0-12-564915-5 / 9780125649155
Zustand	Neuware