Pricing Derivative Securities

Pricing Derivative Securities : An Interactive, Dynamic Environment with Maple V and Matlab

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Description

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 (R) and Matlab (R) 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.
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Product details

  • Hardback | 756 pages
  • 156 x 234 x 40mm | 1,179.33g
  • Academic Press Inc
  • San Diego, United States
  • English
  • 0125649150
  • 9780125649155

Table of contents

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
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Review quote

Darrell Duffie, Stanford University, Stanford, California
"This treatment of derivative pricing will make a fine textbook for a masters-level finance course, or a reference work for practitioners. Prisman's novel presentation combines software, algorithms, and analytical modeling, emphasizing visualization of the pricing. This book makes it possible to develop both a solid conceptual foundation for derivatives modeling as well as a working knowledge suitable for numerical implementation."


Peter Carr, Principal, Banc of America Securities, New York
"By using two of the software packages most widely used in industry, Professor Prisman's book should prove to be of great value to both students and practitioners."
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About Eliezer Z. Prisman

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.
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