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Introduction to the mathematic of financial derivatives

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Introduction to the mathematic of financial derivatives

Introduction to the mathematic of financial derivatives

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

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
  • Click on this item's subject categories to see related items:
  • Business

Caractéristiques techniques du livre "Introduction to the mathematic of financial derivatives"

  PAPIER
Éditeur(s) Academic Press
Auteur(s) Salih N. Neftci
Parution 07/12/2001
Édition  2eme 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
Sélection de Noël

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