Option Pricing Via Quadrature

Most option pricing models and techniques employed by today's analysts are rooted in the Black-Scholes model, but analysts are now moving beyond this established model to quadrature mathematics: numerical calculation under a curve or, more generally, using numerical integration to calculate a definite integral. Whilst assuming a solid mathematical background, the report is easy to use and contains a complete theoretical overview of the cutting-edge methods available. 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 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. This book is 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.