Rouah, Fabrice 1964- creator Vainberg, Gregory 1978- text bibliography nju Hoboken, N.J John Wiley & Sons c2007 2007 monographic eng

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xi, 441 p. : ill. ; 24 cm. + 1 CD-ROM (4 3/4 in.). 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. Fabrice Douglas Rouah, Gregory Vainberg. Includes bibliographical references (p. 409-412) and index. Capital investments Evaluation Mathematical models Options (Finance) Mathematical models Options (Finance) Prices HG6024.A3 R678 2007 0471794643 9780471794646 DLC 101014 20200628125608.0 1000113x