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Mathematical Models of Financial Derivatives
Hardcover
Business GeneralInvesting & FinanceGeneral Mathematics
ISBN13: 9783540422884
Publisher: Springer
Published: Jul 9 2008
Pages: 530
Weight: 2.05
Height: 1.40 Width: 6.40 Depth: 9.40
Language: English
This book contains a comprehensive account of pricing models of financial derivatives, including exotic equity options, interest rate products and credit derivatives. It presents a self-contained treatment of risk neutral valuation theory, martingale measure, and tools in stochastic calculus required for the understanding of option pricing theory. Derivative pricing models are solved using various approaches, by martingale pricing theory and partial differential equation method. This text is targeted for students in mathematical finance. It also serves as a good reference for quantitative analysts and derivative traders in investment banks. Research results and concepts are made accessible to the reader through extensive set of exercises.
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