An Introduction to the Mathematics of Financial Derivatives

An Introduction to the Mathematics of Financial Derivatives

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Using a systematic approach to the material, this text introduces the mathematics underlying the pricing of derivatives. The interest in dynamic pricing models is increasing due to their applicability to practical situations. With the freeing of exchange, interest rates, and capital controls, the markets for derivative products has matured, and pricing models have become more accurate. The resource should be of interest to professionals, Ph.D. students and advanced MBA students who are specifically interested in these financial products.
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Product details

  • Hardback | 348 pages
  • 154.94 x 231.14 x 22.86mm | 680.39g
  • Academic Press Inc
  • San Diego, United States
  • English
  • references, bibliography, index
  • 0125153902
  • 9780125153904

Table of contents

Financial derivatives - a brief introduction; a primer on arbitrage theorem; calculus in deterministic and stochastic environments; pricing derivatives - models and notations; tools in probability theory; martingales and martingale representations; differentiation in stochastic environments; wiener process and rare events in financial markets, integration in stochastic environments - Ito integral; Ito's lemma; the dynamics of derivatives prices - stochastic differential equations; pricing derivative products - partial differential equations; an application - the black-scholes PDE; pricing derivative products - equivalent martingale measures; equivalent martingale measures - applications; tools for complicated derivative structures.
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Rating details

33 ratings
4.27 out of 5 stars
5 58% (19)
4 24% (8)
3 9% (3)
2 6% (2)
1 3% (1)
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