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

Front Cover
Academic Press, 2000 - Business & Economics - 754 pages
0 Reviews
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 and Matlab 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.

Key Features
* Enclosed CD-ROM includes the student version of Maple V; it provides an interactive, dynamic and friendly environment allowing students to learn through hands on experience
* Enhances learning by altering the commands in the on-line files, varying them at will, in order to experiment with applications of the concepts and different (reader-generated) examples, in addition to the ones already in the prepared file
* Provides both the framework and the tools, based on the no free lunch concept, by which readers can analyze and appreciate different scenarios, including those that are not covered in the book, related to derivative securities
* Basic concepts of stochastic calculus are enriched with demonstrations using animation, simulation and three-dimensional graphs thereby overcoming mathematical complexity
* The MATLAB Graphic User Interface provides the ability to bring to life on the screen the theoretical material of the chapters
 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

Theory of Arbitrage
1
Equity Markets
47
Debt Markets
91
Fundamentals of Options
115
RiskNeutral Probability and the SDF
183
Valuation of European Options
223
Sensitivity Measures
271
Hedging with the Greeks
323
A Second Look
453
American Options
485
Binomial Models I
505
Binomial Models II
557
The BlackScholes Formula
599
Other Types of Options
673
The End or the Beginning?
735
Index
743

The Term Structure and Its Estimation
373
Forwards Eurodollars and Futures
413

Common terms and phrases

About the author (2000)

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.

Bibliographic information