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Full Description
Option modelling is a highly complex and fast moving area of finance. This major revision of the first edition sees the introduction of five new chapters together with the inclusion of complex quantitative material. The additional chapters deal with techniques such as American swaptions and the Two-Factor Model.
Contents
The need for yield curve option pricing models; the theoretical tools; the implementation tools; analysis of specific models; general topics. Appendices: elements of probability and stochastic calculus; the securities market.
