CiNii Books - An introduction to the mathematics of financial derivatives

Using a systematic approach to the material, this text introduces the mathematics underlying the pricing of derivatives. The interest in dynamic pricing models is increasing due to 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. The resource should be of interest to professionals, Ph.D. students and advanced MBA students who are specifically interested in these financial products.

Table of Contents

Financial derivatives - a brief introduction
a primer on arbitrage theorem
calculus in deterministic and stochastic environments
pricing derivatives - models and notations
tools in probability theory
martingales and martingale representations
differentiation in stochastic environments
wiener process and rare events in financial markets, integration in stochastic environments - Ito integral
Ito's lemma
the dynamics of derivatives prices - stochastic differential equations
pricing derivative products - partial differential equations
an application - the black-scholes PDE
pricing derivative products - equivalent martingale measures
equivalent martingale measures - applications
tools for complicated derivative structures.

by "Nielsen BookData"

An introduction to the mathematics of financial derivatives

Author(s)

Bibliographic Information

Available at 70 libraries

Search this Book/Journal

Note

Description and Table of Contents

Details

Export