[Book] implementing derivatives models - Les Clewlow and Chris Strickland

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PREFACE ACKNOWLEDGEMENTS NOTATION PT. 1 IMPLEMENTING MODELS IN A GENERALISED BLACK-SCHOLES WORLD CH. 1 THE BLACK-SCHOLES WORLD, OPTION PRICING AND NUMERICAL TECHNIQUES ... 3 CH. 2 THE BINOMIAL METHOD ... 10 CH. 3 TRINOMIAL TREES AND FINITE DIFFERENCE METHODS ... 52 CH. 4 MONTE CARLO SIMULATION ... 82 CH. 5 IMPLIED TREES AND EXOTIC OPTIONS ... 134 PT. 2 IMPLEMENTING INTEREST RATE MODELS CH. 6 OPTION PRICING AND HEDGING AND NUMERICAL TECHNIQUES FOR PRICING INTEREST RATE DERIVATIVES ... 181 CH. 7 TERM STRUCTURE CONSISTENT MODELS ... 208 CH. 8 CONSTRUCTING BINOMIAL TREES FOR THE SHORT RATE ... 233 CH. 9 CONSTRUCTING TRINOMIAL TREES FOR THE SHORT RATE ... 255 CH. 10 THE HEATH, JARROW AND MORTON MODEL ... 290 REFERENCES ... 300 INDEX ... 304