Table of 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.
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.
- No. of pages: 527
- Language: English
- Copyright: © Academic Press 2000
- Published: May 19, 2000
- Imprint: Academic Press
- eBook ISBN: 9780080478647
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