An introduction to the mathematics of financial derivatives. (2014)

• Record Type: Book
• Further Information: Note: Edited by Ali Hirsa, Salih N. Neftci.
• Editors: Hirsa, Ali; Neftci, Salih N
• Contents: Financial derivatives--a brief introduction -- A primer on the arbitrage theorem -- Review of deterministic calculus -- Pricing derivatives : models and notation -- Tools in probability theory -- Martingales and Martingale representations -- Differentiation in stochastic environments -- The Wiener process, Lévy processes, and rare events in financial markets -- Integration in stochastic environments -- Itô's lemma -- The dynamics of derivative prices -- Pricing derivative products : partial differential equations -- PDEs and PIDEs--an application -- Pricing derivative products : equivalent Martingale measures -- Equivalent Martingale measures -- New results and tools for interest-sensitive securities -- Arbitrage theorem in a new setting -- Modeling term structure and related concepts -- Classical and HJM approach to fixed income -- Classical PDE analysis for interest rate derivatives -- Relating conditional expectations to PDEs -- Pricing derivatives via Fourier transform technique -- Credit spread and credit derivatives -- Stopping times and American-type securities -- Overview of calibration and estimation techniques.
• Edition: Third edition
• Publisher Details: Amsterdam : Academic Press
• Publication Date: 2014
• Extent: 1 online resource
• Subjects: 332.6320151; Derivative securities -- Mathematics; Derivative securities -- Mathematics; Electronic books
• Languages: English
• ISBNs: 9780123846839; 0123846838
• Related ISBNs: 9780123846822; 012384682X
• Notes: Note: Includes bibliographical references (pages 437-438) and index.; Note: Print version record.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.