Items related to Financial Calculus: An Introduction to Derivative Pricing
Synopsis
The rewards and dangers of speculating in the modern financial markets have come to the fore in recent times with the collapse of banks and bankruptcies of public corporations as a direct result of ill-judged investment. At the same time, individuals are paid huge sums to use their mathematical skills to make well-judged investment decisions. Here now is the first rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities. Key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model are described with mathematical precision in a style tailored for market practitioners. Starting from discrete-time hedging on binary trees, continuous-time stock models (including Black-Scholes) are developed. Practicalities are stressed, including examples from stock, currency and interest rate markets, all accompanied by graphical illustrations with realistic data. A full glossary of probabilistic and financial terms is provided. This unique book will be an essential purchase for market practitioners, quantitative analysts, and derivatives traders.
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Review
'... a very readable and useful introduction to the pricing of derivatives ... A recommendable book.' Wil Schilders, ITW Nieuws
'... the first rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities.' L'Enseignement Mathématique
Book Description
Here is a rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities. An essential purchase for market practitioners, quantitative analysts, and derivatives traders, whether existing or trainees, in investment banks in the major financial centres throughout the world.
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- PublisherCambridge University Press
- Publication date1996
- ISBN 10 0521552893
- ISBN 13 9780521552899
- BindingHardcover
- LanguageEnglish
- Number of pages244
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Financial Calculus: An Introduction to Derivative Pricing
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Financial Calculus : An Introduction to Derivative Pricing
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Financial Calculus: An Introduction to Derivative Pricing
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ISBN 13: 9780521552899
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Financial Calculus: An Introduction to Derivative Pricing
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Financial Calculus: An Introduction to Derivative Pricing
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Financial Calculus: An Introduction to Derivative Pricing
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Cambridge University Press, 1996
ISBN 10: 0521552893
ISBN 13: 9780521552899
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Financial Calculus: An Introduction to Derivative Pricing
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