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| AN INTRODUCTION TO THE MATHEMATICS OF FINANCIAL DERIVATIVES
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To order this title, and for more information, click here
Second Edition
By
Salih Neftci, Global Finance Master's Program, New School for Social Research, New York, NY, USA
Included in series
Academic Press Advanced Finance ,
Description
This popular text, publishing Spring 1999 in its Second Edition, introduces the mathematics underlying the pricing of derivatives. The
increase of interest in dynamic pricing models stems from their applicability to practical situations: with the freeing of exchange,
interest rates, and capital controls, the market for derivative products has matured and pricing models have become more accurate. Professor
Neftci's book answers the need for a resource targeting professionals, Ph.D. students, and advanced MBA students who are specifically
interested in these financial products. The Second Edition is designed to make the book the main text in first year masters and Ph.D.
programs for certain courses, and will continue to be an important manual for market professionals.
Audience
Students in master's or Ph.D. programs, market professionals, and professionals with mathematical, technical, or physics backgrounds.
Contents
Financial Derivatives: A Brief Introduction.
A Primer on Arbitrage Theorem.
Calculus in Deterministic and Stochastic Environments.
Pricing Derivatives: Models and Notation.
Tools in Probability Theory.
Martingales and Martingale Representations.
Differentiation
in Stochastic Environments.
The Wiener Process and Rare Events in Financial Markets.
Integration in Stochastic Environments: The Ito
Integral.
Ito's Lemma.
The Dynamics of Derivative Prices: Stochastic Differential Equations.
Pricing Derivative Products: Partial Differential
Equations.
The Black-Scholes PDE: An Application.
Pricing Derivative Products: Equivalent Martingale Measures.
Equivalent Martingale
Measures: Applications.
New Results and Tools for Interest Sensitive Securities.
Arbitrage Theorem in a New Setting: Normalization and
Random Interest Rates.
Modeling Term Structure and Related Concepts.
Classical and HJM Approaches to Fixed Income.
Classical PDE Analysis
for Interest Rate Derivatives.
Relating Conditional Expectations to PDEs.
Stopping Times and American-Type Securities.
Bibliography.
Index.
| Bibliographic details |
Hardbound, 527 pages, publication date: MAY-2000
ISBN-13: 978-0-12-515392-8
ISBN-10: 0-12-515392-9
Imprint: ACADEMIC PRESS
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| Price and Ordering |
Price:
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EUR 66.95
USD 94.95
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Last update: 3 Oct 2009
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