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An introduction to the mathematics of financial derivatives /
"The step-by-step approach of this book makes it one of the most accessible and popular explanations of the mathematical models used to price derivatives. For the Second Edition, Salih Neftci has thoroughly expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
San Diego :
Academic Press,
2000.
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| Edición: | 2nd ed. |
| Colección: | Academic Press Advanced Finance.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Financial derivatives : a brief introduction
- A primer on the arbitrage theorem
- Calculus in deterministic and stochastic environments
- Pricing derivatives : models and notation
- Tools in probability theory
- Martingales and martingale representations
- Differentiation in stochastic environments
- The Wiener process and rare events in financial markets
- Integration in stochastic environments : the Ito integral
- Ito's lemma
- The dynamics of derivative prices : stochastic differential equations
- Pricing derivative products : partial differential equations
- The Black-Scholes PDE : an application
- Pricing derivative products : equivalent martingale measures
- Equivalent martingale measures : applications
- New results and tools for interest-sensitive securities
- Arbitrage theorem in a new setting : normalization and random interest rates
- Modeling term structure and related concepts
- Classical and HJM approaches to fixed income
- Classical PDE analysis for interest rate derivatives
- Relating conditional expectations to PDEs
- Stopping times and American-type securities.