Financial derivatives in theory and practice
著者
書誌事項
Financial derivatives in theory and practice
（Wiley series in probability and mathematical statistics）
John Wiley, c2000
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注記
Includes bibliographical references (p. [379]-382) and index
内容説明・目次
内容説明
This book brings together in one volume both a complete, rigorous and yet readable account of the mathematics underlying derivative pricing and a guide to applying these ideas to solve real pricing problems. It is aimed at practitioners and researchers who wish to understand the latest finance literature and develop their own pricing models. The authors' combination of strong theoretical knowledge and extensive market experience make this book particularly relevant for those interested in real world applications of mathematical finance.
Features: detailed coverage of interest rate derivatives, from 'vanilla' instruments through to many of the more exotic products currently being traded overview of popular term structure models along with their relationships to each other (including Heath-Jarrow-Morton, short rate models and the latest market models) explanation of numeraires as a modelling and pricing tool pricing models for constant maturity swaps and other convexity products models and efficient algorithms for path-dependent and Bermudan swaptions insights into how to go about pricing products beyond those treated in the text accessible yet rigorous treatment of the stochastic calculus required for option pricing
目次
THEORY. Single-Period Option Pricing. Brownian Motion. Martingales. Stochastic Integration. Girsanov and Martingale Representation. Stochastic Differential Equations. Option Pricing in Continuous Time. Dynamic Term Structure Models. PRACTICE. Modelling in Practice. Basic Instruments and Terminology. Pricing Standard Market Derivatives. Futures Contracts. ORIENTATION: PRICING EXOTIC EUROPEAN DERIVATIVES. Terminal Swap-Rate Models. Convexity Corrections. Implied Interest Rate Pricing Models. Multi-Currency Terminal Swap-Rate Models. ORIENTATION: PRICING EXOTIC AMERICAN AND PATH-DEPENDENT DERIVATIVES. Short-Rate Models. Market Models. Markov-Functional Modelling. Appendices. References. Index.
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