Mathematical Models of Financial Derivatives

AvYue-Kuen Kwok

Inbunden, Engelska, 2008

Del i serien Springer Finance

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Häftad

851 kr

Beskrivning

Mathematical Models of Financial Derivatives is a textbook on the theory behindmodeling derivatives and their risk management, focussing on the valuationprinciples that are common to most derivative securities. A wide range offinancial derivatives commonly traded in the equity and fixed income markets areanalyzed, emphasizing on aspects of pricing, hedging and practical usage. Thereaders are guided through the text on new advances in analytic techniques andnumerical methods for solving various types of derivative pricing models. Inthis second edition, more emphasis has been placed on the discussion of Itocalculus and Girsanov's Theorem; and in particular, the concepts of risk neutralmeasure and equivalent martingale pricing approach. A new chapter on credit riskmodels and pricing of credit derivatives has been added. Most recent researchresults and concepts are made accessible to the readers through extensive, wellthought out exercises at the end of each chapter.

Produktinformation

Utgivningsdatum:2008-07-09
Mått:155 x 235 x 34 mm
Vikt:980 g
Format:Inbunden
Språk:Engelska
Serie:Springer Finance
Antal sidor:530
Upplaga:2
Förlag:Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN:9783540422884

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Mer om författaren

Yue-Kuen Kwok is Professor and Program Director of MSc in Mathematics (Financial Mathematics and Statistics) at the Department of Mathematics of Hong Kong University of Science and Technology

Recensioner i media

From the reviews of the second edition: "Mathematical Models of Financial Derivatives is a ... comprehensive collection of known facts and techniques, as well as a methodologically thought-through textbook on derivative pricing in financial markets. The book is written both for a novice who will profit from its numerous and well-conceived exercises, and a practitioner who wants to brush up on finer points of the classical pricing theory behind a specific financial product. ... it will certainly attract many a non-mathematician with an interest in quantitative methods in finance ... ." (Gordan Zitkovic, The Mathematical Association of America, March, 2009) "This book is written mainly as a textbook of modeling on derivative pricing theory for the students in financial engineering, computational finance etc. It provides basic knowledge of mathematical theory and applications of the financial derivatives. ... This book can also be used as an Instructor's Manual of reference of those in financial institutions." (Gong Guanglu, Zentralblatt MATH, Vol. 1146, 2008)

Innehållsförteckning

to Derivative Instruments.- Financial Economics and Stochastic Calculus.- Option Pricing Models: Black–Scholes–Merton Formulation and Martingale Pricing Theory.- Path Dependent Options.- American Options.- Numerical Schemes for Pricing Options.- Interest Rate Models and Bond Pricing.- Interest Rate Derivatives: Bond Options, LIBOR and Swap Products.