Option Pricing: Mathematical Models and Computation
By Paul Wilmott, Jeff Dewynne, Sam Howison

Publisher:   Oxford Financial Press
Number Of Pages:   457
Publication Date:   1994-05-01
ISBN-10 / ASIN:   0952208202
ISBN-13 / EAN:   9780952208204
Binding:   Hardcover

Contents of Option Pricing
1. An Introduction to Options and Markets
2. The Random Nature of the Stock Market
3. Basic Option Theory
4. Partial Differential Equations
5. Explicit Solutions of the Diffusion Equation in Fixed Domains
6. American Options as Free Boundary Problems
7. American Options as Variational Inequalities
8. Dividends and Time-dependent Parameters
9. Exotic Options
10. Barrier Options
11. Asian Options
12. Lookback Options
13. Options with Transaction Costs
14. Interest Rate Derivative Products
15. Convertible Bonds
16. Numerical Methods
17. Finite-difference Approximations
18. The Explicit Finite-difference Method
19. Implicit Finite-difference Methods
20. Methods for Free Boundary Problems
21. Methods for American Options
22. Methods for Exotic Options

Appendix a. The Probability Density Function
Appendix b. First Exit Times
Appendix c. Lattice Methods
Appendix d. Finite-element Methods
Appendix e. Summary of Differential Equations
Appendix f. Bibliography