Mathematical Models of Financial Derivatives
This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage....
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| Main Author: | |
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| Format: | Book |
| Language: | English |
| Published: |
Berlin
Springer
2008
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| Edition: | Second Edition |
| Series: | Springer finance
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| Subjects: | |
| Online Access: | Click Here to View Status and Holdings. |
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Add Tag | Summary: | This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises. |
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| Physical Description: | xv, 530 pages illutrtaions 24 cm |
| Bibliography: | Includes bibliographical references and index |
| ISBN: | 9783540422884 3540422889 |
Derivatives models on models