Mathematical models of financial derivatives
Author(s)
Bibliographic Information
Mathematical models of financial derivatives
（Springer finance）
Springer, c2008
2nd ed
- : [hard]
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"Revised and enlarged 2nd edition to the 1st edition originally published by Springer Singapore 1988 (ISBN 981-3083-25-5)."--T.p.verso
Includes bibliographical references (p. [507]-516) and indexes
Description and Table of Contents
Description
This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.
Table of Contents
to Derivative Instruments.- Financial Economics and Stochastic Calculus.- Option Pricing Models: Black-Scholes-Merton Formulation and Martingale Pricing Theory.- Path Dependent Options.- American Options.- Numerical Schemes for Pricing Options.- Interest Rate Models and Bond Pricing.- Interest Rate Derivatives: Bond Options, LIBOR and Swap Products.
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