Option pricing models and volatility using Excel-VBA+CD / Fabrice Douglas Rouah,and Gregory Vainberg
Material type: TextSeries: Wiley finance seriesPublication details: Hoboken, NJ : Johns Wiley & Sons, 2007Description: xi,441pISBN:- 9780471794646
- 332.6453 R6O6
Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
---|---|---|---|---|---|---|---|
Book | Indore | 332.6453 R6O6 (Browse shelf(Opens below)) | Available | IIMI-20428 |
Mathematical preliminaries -- Numerical integration -- Tree-based methods -- The Black-Scholes, practitioner Black-Scholes, and Gram-Charlier models -- The Heston (1993) stochastic volatility model -- The Heston and Nandi (2000) GARCH model -- The Greeks -- Exotic options -- Parameter estimation -- Implied volatility -- Model-free implied volatility -- Model-free higher moments -- Volatility returns.
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