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" An introduction to the mathematics of financial derivatives / "
edited by Ali Hirsa, Salih N. Neftci.
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BL
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| Record Number
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622255
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dltt
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| Title & Author
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An introduction to the mathematics of financial derivatives /\ edited by Ali Hirsa, Salih N. Neftci.
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| Edition Statement
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Third edition.
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| Page. NO
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ix, 444 pages :: illustrations ;; 24 cm
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| ISBN
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9780123846822 (hbk.)
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: 012384682X (hbk.)
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| Bibliographies/Indexes
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Includes bibliographical references (pages 437-438) and index.
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| Contents
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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, Lévy processes, and rare events in financial markets -- Integration in stochastic environments -- Itô'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.
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| Subject
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Derivative securities-- Mathematics.
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| Dewey Classification
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332.6320151
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| Added Entry
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Hirsa, Ali
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Neftci, Salih N.
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