Financial Derivatives
Pricing, Applications, and Mathematics
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Product details:
- Publisher Cambridge University Press
- Date of Publication 12 January 2004
- ISBN 9780521815109
- Binding Hardback
- No. of pages350 pages
- Size 238x160x26 mm
- Weight 605 g
- Language English
- Illustrations 16 tables 0
Categories
Short description:
This book is a graduate level manual on the pricing of financial derivatives.
MoreLong description:
This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter applies the pricing concepts to the special case of interest rate markets, namely, bonds and swaps, and discusses factor models and term structure consistent models. The fourth chapter deals with a variety of mathematical topics that underlie derivatives pricing and portfolio allocation decisions such as mean-reverting processes and jump processes and discusses related tools of stochastic calculus such as Kolmogorov equations, martingale techniques, stochastic control, and partial differential equations.
'This introduction to the modeling of financial derivatives is ideal for quantitatively oriented traders, bank researchers, and masters or doctoral students in this field. The book has an elegant balance of concepts and applications that allows a full understanding of why the models work, without an overburden of technical details. Broader than its title suggests, the book contains a strong grounding in models of stochastic processes for financial applications, including portfolio choice and asset pricing theory.' Darrell Duffie, Stanford University
Table of Contents:
1. Introduction; 2. Preliminary mathematics; 3. Principles of financial valuation; 4. Interest rate models; 5. Mathematics of asset pricing; 6. Bibliography.
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