American-Style Derivatives: Valuation and Computation (Chapman & Hall/Crc Financial Mathematics)
Editorial Reviews
Review
Jerome Detemple has written an excellent survey of the field of Derivative Securities of the American type, that can be exercised at any time before or at maturity. He covers extensively the probabilistic theory which underlies their valuation. He discusses in detail both plain and exotic contingent claims, including barrier, quantile, capped, multiple-asset and occupation-time options. Finally, and perhaps most importantly, he presents recent results on the numerical computation of optimal exercise boundaries, hedging prices, and hedging portfolios. A considerable part of the monograph is based on the author's extensive research in this area.
The treatment is complete and authoritative, and the monograph will be valuable to both academics and practitioners with an interest in this area. Professor Detemple has done a great service, by presenting in this compact volume a great amount of scholarship and research that took place over the last two decades in this field.
-- Professor Ioannis Karatzas, Columbia University
The early-exercise feature of American-style derivatives has enormous practical importance, and the same feature presents substantial theoretical and computational challenges. Professor Detemple's lucid and careful presentation represents the definitive treatment of the current state-of-the-art of this important subject. I highly recommend it for all students and researchers in the area.
Professor Mark Broadie, Columbia University, USA
Book Description
Focusing on recent developments in the field, American-Style Derivatives provides an extensive treatment of option pricing with emphasis on the valuation of American options on dividend-paying assets. This book reviews valuation principles for European contingent claims and extends the analysis to American contingent claims. It presents basic valuation principles for American options including barrier, capped, and multi-asset options. It also reviews numerical methods for option pricing and compares their relative performance. Ideal for students and researchers in quantitative finance, this material is accessible to those with a background in stochastic processes or derivative securities.
American-Style Derivatives (Chapman & Hall/Crc Financial Mathematics),Jerome Detemple,Chapman & Hall/CRC,158488567X,Derivative securities,Finance,Mathematics,Number Theory,Probability & Statistics - General,Science/Mathematics,United States,Valuation,Mathematics / General
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