This second edition of Mathematical Models of Financial Derivatives, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly tradedin the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. It presents a self-contained treatment ofrisk-neutral valuation theory, martingale measure, and tools in stochastic calculus required for the understanding of option pricing theory. Derivative pricing models are solved using various approaches, by martingale pricing theory and partial differential equation methods. This text is targeted to students in mathematical finance. It also serves as a good reference for quantitative analysts and derivative traders in investment banks. The most resent research results and methodologies are made accessible to the reader through the extensive set of exercises at the end of each chapter. Was one of the earliest introductory textbooks in mathematical finance Good reputation established by the 1stedition INDICE: Introduction to Derivative Instruments.- Fundamental Concepts of Financial Economics and Asset Price Dynamics.- Pricing Models for One-Asset European Options.- Path Dependent Options.- American Options and Free Boundary Value Problems.- Numerical Schemes for Pricing Options.- Interest Rate Models and Bond Pricing.- Interest Rate Instruments.
- ISBN: 978-3-540-42288-4
- Editorial: Springer
- Encuadernacion: Cartoné
- Páginas: 595
- Fecha Publicación: 01/05/2008
- Nº Volúmenes: 1
- Idioma: Inglés