An Introduction to the Mathematics of Financial Derivatives
Published on 1. January 1996
Book
Hardback
348 pages
978-0-12-515390-4 (ISBN)
Description
Using a systematic approach to the material, this text introduces the mathematics underlying the pricing of derivatives. The interest in dynamic pricing models is increasing due to their applicability to practical situations. With the freeing of exchange, interest rates, and capital controls, the markets for derivative products has matured, and pricing models have become more accurate. The resource should be of interest to professionals, Ph.D. students and advanced MBA students who are specifically interested in these financial products.
More details
Language
English
Place of publication
San Diego
United States
Publishing group
Elsevier Science Publishing Co Inc
Target group
College/higher education
Professional and scholarly
Illustrations
references, bibliography, index
Dimensions
Height: 237 mm
Width: 160 mm
Weight
681 gr
ISBN-13
978-0-12-515390-4 (9780125153904)
Copyright in bibliographic data is held by Nielsen Book Services Limited or its licensors: all rights reserved.
Schweitzer Classification
Content
Financial derivatives - a brief introduction; a primer on arbitrage theorem; calculus in deterministic and stochastic environments; pricing derivatives - models and notations; tools in probability theory; martingales and martingale representations; differentiation in stochastic environments; wiener process and rare events in financial markets, integration in stochastic environments - Ito integral; Ito's lemma; the dynamics of derivatives prices - stochastic differential equations; pricing derivative products - partial differential equations; an application - the black-scholes PDE; pricing derivative products - equivalent martingale measures; equivalent martingale measures - applications; tools for complicated derivative structures.