Option Pricing via Quadrature

Whilst assuming a solid mathematical background, the report is easy to use and contains information that is not available anywhere else in literature, such as:

• A complete theoretical overview of the cutting-edge methods available
• A detailed performance comparison of the various cutting-edge quadrature schemes covering both stability and accuracy issues
• A clear breakdown of the complex quantitative formulae and equations used.

Readers will gain a clear idea of the pros and cons of every single method discussed. You will be guided through the implementation of the preferred pricing formula knowing exactly how this formula performs and why.

This pioneering report will enable you to go beyond Black Scholes models to the application of the latest quadrature schemes now implemented at the likes of Deutsche Bank and Morgan Stanley.

Recommended for anyone involved in pricing options such as derivative modellers, financial analysts, financial engineers, fixed income researchers, model developers, quantitative analysts, risk managers and traders.