Pricing Derivative Securities: An Interactive, Dynamic Environment with Maple V and Matlab
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.
* 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
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Theory of Arbitrage
Fundamentals of Options
RiskNeutral Probability and the SDF
Valuation of European Options
Hedging with the Greeks
A Second Look
Binomial Models I
Binomial Models II
The BlackScholes Formula
Other Types of Options
The End or the Beginning?
The Term Structure and Its Estimation
Forwards Eurodollars and Futures
American option approaches zero approximation arbitrage opportunities arbitrage portfolio Assume binomial model binomial tree Black-Scholes formula calculated call option cash flow Chapter Consider contingent claim cost coupon current price defined Delta denote derivative security deterministic differential equation discount factor function dividend dollar equal European option evolution example exercise price expected value Figure foreign currency forward contract forward price forward rate futures contract given graph hedge portfolio Hence increments interest rate spanning interval invested investor Ito's lemma long position MAPLE command NarbitB nature no-arbitrage condition node obtained one-period model optimal to exercise parameters payment payoff pays period present value price process Problem procedure put option random variable rate of interest rate of return reader result risk risk-free rate risk-neutral probability Section sensitivity measures short position solution solve spot price spot rate stochastic discount factors stock price strike price swap term structure underlying asset valuation volatility