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An introduction to the mathematics of financial derivatives /
An Introduction to the Mathematics of Financial Derivatives is a popular, intuitive text that eases the transition between basic summaries of financial engineering to more advanced treatments using stochastic calculus. Requiring only a basic knowledge of calculus and probability, it takes readers on...
| Clasificación: | Libro Electrónico |
|---|---|
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Amsterdam :
Academic Press,
2014.
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| Edición: | Third edition. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- 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, L�evy processes, and rare events in financial markets
- Integration in stochastic environments
- It�o'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.