Quantitative Methods in
derivatives pricing
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Quantitative Methods in
derivatives pricing An Introduction to Computational Finance
Domingo Tavella
John Wiley & Sons, Inc.
Copyright © 2002 by Domingo Tavella. All rights reserved. Published by John Wiley & Sons, Inc., Hoboken, New Jersey Published simultaneously in Canada No part of this publication may be reproduced, stored in a retrieval system, or transmitted in any form or by any means, electronic, mechanical, photocopying, recording, scanning, or otherwise, except as permitted under Section 107 or 108 of the 1976 United States Copyright Act, without either the prior written permission of the Publisher, or authorization through payment of the appropriate per-copy fee to the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, 978-750-8400, fax 978-750-4470, or on the web at www.copyright.com. Requests to the Publisher for permission should be addressed to the Permissions Department, John Wiley & Sons, Inc., 111 River Street, Hoboken, NJ 07030, 201-748-6011, fax 201-748-6008, e-mail:
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To Rudolph and Natalie
preface
he emergence of computational finance as a discipline in its own right is relatively recent. The first international conference on computational finance took place in 1995 at Stanford University, where, as far as the author is aware, the name for this new discipline was coined. The Journal of Computational Finance was created shortly thereafter, and its success and pop