Introduction to the mathematic of financial derivatives

Salih N. Neftci

526 pages, parution le 07/12/2001 (2^eme édition)

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Résumé

This popular text is in its Second Edition, introduces the mathematics underlying the pricing of derivatives. The increase of interest in dynamic pricing models stems from their applicability to practical situations: with the freeing of exchange, interest rates, and capital controls, the markets for derivative products has matured and pricing models have become more accurate. Professor Neftci's book answers the need for a resource targeting professionals, Ph.D. students, and advanced MBA students who are specifically interested in these financial products. The Second Edition is designed to make the book the main text in first year masters and Ph.D. programs for certain courses, and will continue to be an important manual for market professionals.

Table of Contents

Financial Derivatives: A Brief Introduction
A Primer on 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
Bibliography
Index
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Caractéristiques techniques

	PAPIER
Éditeur(s)	Academic Press
Auteur(s)	Salih N. Neftci
Parution	07/12/2001
Édition	2^eme édition
Nb. de pages	526
Format	16,5 x 23,4
Couverture	Relié
Poids	869g
Intérieur	Noir et Blanc
EAN13	9780125153928
ISBN13	978-0-12-515392-8