عنوان

An introduction to the mathematics of financial derivatives /

012384682X (hbk.)

9780123846822 (hbk.)

dltt

An introduction to the mathematics of financial derivatives /

[Book]

edited by Ali Hirsa, Salih N. Neftci.

Third edition.

ix, 444 pages :

illustrations ;

24 cm

Includes bibliographical references (pages 437-438) and index.

Financial derivatives--a brief introduction -- A primer on the arbitrage theorem -- Review of deterministic calculus -- Pricing derivatives : models and notation -- Tools in probability theory -- Martingales and Martingale representations -- Differentiation in stochastic environments -- The Wiener process, Lévy processes, and rare events in financial markets -- Integration in stochastic environments -- Itô's lemma -- The dynamics of derivative prices -- Pricing derivative products : partial differential equations -- PDEs and PIDEs--an application -- Pricing derivative products : equivalent Martingale measures -- Equivalent Martingale measures -- New results and tools for interest-sensitive securities -- Arbitrage theorem in a new setting -- Modeling term structure and related concepts -- Classical and HJM approach to fixed income -- Classical PDE analysis for interest rate derivatives -- Relating conditional expectations to PDEs -- Pricing derivatives via Fourier transform technique -- Credit spread and credit derivatives -- Stopping times and American-type securities -- Overview of calibration and estimation techniques.

0

Derivative securities-- Mathematics.

Hirsa, Ali

Neftci, Salih N.

20140509171637.0

rda

[Book]

Y