American-Style Derivatives: Valuation and Computation.158488567X American-style derivatives; valuation and computation. Detemple, Jerome. Chapman & Hall/CRC 2006 231 pages $79.95 Hardcover Chapman & Hall/CRC financial mathematics series HG6024 Focusing on recent developments in the field, Detemple (management, Boston University Boston University, at Boston, Mass.; coeducational; founded 1839, chartered 1869, first baccalaureate granted 1871. It is composed of 16 schools and colleges. ) examines option pricing. The book begins with a review of valuation principles for European contingent claims Contingent claim A claim that can be made only if one or more specified outcomes occur. in a financial market in which the underlying asset price follows an Ito process, and then extends the analysis to American contingent claims. Material is written to be accessible to those with limited background in stochastic processes stochastic process In probability theory, a family of random variables indexed to some other set and having the property that for each finite subset of the index set, the collection of random variables indexed to it has a joint probability distribution. and derivative securities Derivative security A financial security such as an option or future whose value is derived in part from the value and characteristics of another security, the underlying asset. , with concepts explained using standard financial terms and proofs relegated to chapter appendices. ([c]20062005 Book News, Inc., Portland, OR) |
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