Financial Derivatives
This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter applies the pricing concepts to the special case of interest rate markets, namely, bonds and swaps, and discusses factor models and term structure consistent models. The fourth chapter deals with a variety of mathematical topics that underlie derivatives pricing and portfolio allocation decisions such as mean-reverting processes and jump processes and discusses related tools of stochastic calculus such as Kolmogorov equations, martingale techniques, stochastic control, and partial differential equations.
- Succinct but complete overview of finanical derivatives, hot topic in financial theory and practice
- Is a perfect follow-up to Press titles by Wilmott et al., Ross, and Baxter/Rennie
- Authors well known both in US and Europe; treatment balances theory and real analysis
Reviews & endorsements
"...excellent for industry people and for the new masters programs in quantitative financial modeling and mathematical finance...Excellent, too, is the exposition and the writing style."
Darrell Duffie, Stanford Business School
"...excellent...it contains the most important ingredients for a successful textbook, viz, clarity and accessibility...it will also be useful to practitioners who need to brush up on underlying concepts."
Dr. Sadek Wahba, Morgan Stanley Payne Webber
"The book is fundamentally strong because it is both well-informed technically and also focused on the actual matters that matter in the markets."
Martin Baxter, Nomura International, London
Product details
August 2013Adobe eBook Reader
9781107266568
0 pages
0kg
16 tables
This ISBN is for an eBook version which is distributed on our behalf by a third party.
Table of Contents
- 1. Introduction
- 2. Preliminary mathematics
- 3. Principles of financial valuation
- 4. Interest rate models
- 5. Mathematics of asset pricing
- 6. Bibliography.