An Introduction to the Mathematics of Financial Derivatives
By- Salih Neftci, Global Finance Master's Program, New School for Social Research, New York, NY, USA
- Ali Hirsa, Caspian Capital Management LLC, New York, NY. USA
An Introduction to the Mathematics of Financial Derivatives is a popular, intuitive text that eases the transition between basic summaries of financial engineering to more advanced treatments using stochastic calculus. Requiring only a basic knowledge of calculus and probability, it takes readers on a tour of advanced financial engineering. This classic title has been revised by Ali Hirsa, who accentuates its well-known strengths while introducing new subjects, updating others, and bringing new continuity to the whole. Popular with readers because it emphasizes intuition and common sense, An Introduction to the Mathematics of Financial Derivatives remains the only "introductory" text that can appeal to people outside the mathematics and physics communities as it explains the hows and whys of practical finance problems.
Audience
Upper-division undergraduates and graduate students seeking an introduction to the mathematics and concepts underlying financial derivatives in specific and investment vehicles (options, futures, and other financial engineering products) in general.
Hardbound, 525 Pages
Published: November 2013
Imprint: Academic Press
ISBN: 978-0-12-384682-2
Contents
1: Financial Derivatives: A Brief Introduction
2: A Primer on Arbitrage Theorem
3: Review of Deterministic Calculus
4: Pricing Derivatives: Models and Notations5: Tools in Probability Theory
6: Martingales and Martingale Representations7: Wiener Process, Levy Processes, and Rare Events
8: Differentiation in Stochastic Environments9: Integration in Stochastic Environments
10: Ito's Lemma11: The dynamics of Derivatives Prices: Stochastic Differential
12: Pricing Derivatives Products via Partial Differential Equations13: Equivalent Martingale Measures
14: Equivalent Martingale Measures: Applications15: Arbitrage Theorem in a New Setting
16: Term Structure Modeling and Related Concepts17: Approaches to Modeling Term Structure
18: Conditional Expectations and PDEs19: Derivative Pricing via Transform Techniques
20: Credit Spread and Credit Derivatives21: Stopping Times and American-Style Derivatives
22: A Primer on Calibration and Estimation Techniques
