Pricing and Hedging of Derivative Securities
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Product details:
- Publisher OUP Oxford
- Date of Publication 29 July 1999
- ISBN 9780198776192
- Binding Hardback
- No. of pages460 pages
- Size 241x160x29 mm
- Weight 1 g
- Language English
- Illustrations numerous line figures 0
Categories
Short description:
The theory of pricing and hedging of derivative securities is mathematically sophisticated. This book is an introduction to the use of advanced probability theory in financial economics, presenting the necessary mathematics in a precise and rigorous manner. Professor Nielsen's text enables the reader to approach the journal literature with confidence, apply the methods to new problems, or to do original research in the field.
MoreLong description:
The theory of pricing and hedging of derivative securities is mathematically sophisticated. This book is an introduction to the use of advanced probability theory in financial economics, presenting the necessary mathematics in a precise and rigorous manner. Professor Nielsen concentrates on three main areas: the theory of continuous-time stochastic processes, a notorious barrier to the understanding of probability theory in finance; the general theory of trading, pricing, and hedging in continuous time, using the martingale approach; and a detailed look at the BlackScholes and the Gaussian one-factor models of the term structure of interest rates. His book enables the reader to read the journal literature with confidence, apply the methods to new problems, or to do original research in the field.
it is clear that Lars Nielsen has both communicated the material and excited his students with his approach.
Table of Contents:
Stochastic Processes
Ito Calculus
Gaussian Processes
Securities and Trading Strategies
The Martingale Valuation Principle
The Black-Scholes Model
Gaussian Term Structure Models
Appendix A Measure and Probability
Appendix B Lebesgue Integrals and Expectations
Appendix C The Heat Equation
Appendix D Suggested Solutions to Exercises for Chapters 1-7
Appendix E Suggested Solutions to Exercises for Appendix A and B
