An Introduction to the Mathematics of Financial Derivatives

• Author : Salih N. Neftci,Ali Hirsa,Salih N.. Neftci
• Publisher : Academic Press
• Release : 02 June 2000

A step-by-step explanation of the mathematical models used to price derivatives. For this second edition, Salih Neftci has expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He does not assume that the reader has a thorough mathematical background. His explanations of financial calculus seek to be simple and perceptive.

• Author : Paul Wilmott,Susan Howson,Sam Howison,Wilmott-Howison-Dewynne ...,Jeff Dewynne
• Publisher : Cambridge University Press
• Release : 29 September 1995

Basic option theory - Numerical methods - Further option theory - Interest rate derivative products.

• Author : Martin Baxter,Andrew Rennie,Andrew J. O. Rennie
• Publisher : Cambridge University Press
• Release : 19 September 1996

A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.

• Author : Yue-Kuen Kwok
• Publisher : Springer Science & Business Media
• Release : 10 July 2008

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

• Author : Ali Hirsa,Salih N. Neftci
• Publisher : Academic Press
• Release : 18 December 2013

An Introduction to the Mathematics of Financial Derivatives is a popular, intuitive text that eases the transition between basic summaries of financial engineering to more advanced treatments using stochastic calculus. Requiring only a basic knowledge of calculus and probability, it takes readers on a tour of advanced financial engineering. This classic title has been revised by Ali Hirsa, who accentuates its well-known strengths while introducing new subjects, updating others, and bringing new continuity to the whole. Popular with readers because

• Author : Jamil Baz,George Chacko
• Publisher : Cambridge University Press
• Release : 12 January 2004

This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter

• Author : Hugo D. Junghenn
• Publisher : CRC Press
• Release : 14 March 2019

Introduction to Financial Mathematics: Option Valuation, Second Edition is a well-rounded primer to the mathematics and models used in the valuation of financial derivatives. The book consists of fifteen chapters, the first ten of which develop option valuation techniques in discrete time, the last five describing the theory in continuous time. The first half of the textbook develops basic finance and probability. The author then treats the binomial model as the primary example of discrete-time option valuation. The final part

• Author : Ruth J. Williams
• Publisher : American Mathematical Soc.
• Release : 23 January 2021

The modern subject of mathematical finance has undergone considerable development, both in theory and practice, since the seminal work of Black and Scholes appeared a third of a century ago. This book is intended as an introduction to some elements of the theory that will enable students and researchers to go on to read more advanced texts and research papers. The book begins with the development of the basic ideas of hedging and pricing of European and American derivatives in

• Author : Marek Capinski,Tomasz Zastawniak
• Publisher : Springer
• Release : 18 April 2006

This textbook contains the fundamentals for an undergraduate course in mathematical finance aimed primarily at students of mathematics. Assuming only a basic knowledge of probability and calculus, the material is presented in a mathematically rigorous and complete way. The book covers the time value of money, including the time structure of interest rates, bonds and stock valuation; derivative securities (futures, options), modelling in discrete time, pricing and hedging, and many other core topics. With numerous examples, problems and exercises, this

• Author : Paul Wilmott
• Publisher : Wiley
• Release : 08 December 1998

Derivatives by Paul Wilmott provides the most comprehensive and accessible analysis of the art of science in financial modeling available. Wilmott explains and challenges many of the tried and tested models while at the same time offering the reader many new and previously unpublished ideas and techniques. Paul Wilmott has produced a compelling and essential new work in this field. The basics of the established theories-such as stochastic calculus, Black-Scholes, binomial trees and interest-rate models-are covered in clear and precise

• Author : Philip Hunt,Joanne Kennedy
• Publisher : John Wiley & Sons
• Release : 19 November 2004

The term Financial Derivative is a very broad term which has come to mean any financial transaction whose value depends on the underlying value of the asset concerned. Sophisticated statistical modelling of derivatives enables practitioners in the banking industry to reduce financial risk and ultimately increase profits made from these transactions. The book originally published in March 2000 to widespread acclaim. This revised edition has been updated with minor corrections and new references, and now includes a chapter of exercises and

• Author : Mathieu Boudreault,Jean-François Renaud
• Publisher : John Wiley & Sons
• Release : 22 March 2019

A new textbook offering a comprehensive introduction to models and techniques for the emerging field of actuarial Finance Drs. Boudreault and Renaud answer the need for a clear, application-oriented guide to the growing field of actuarial finance with this volume, which focuses on the mathematical models and techniques used in actuarial finance for the pricing and hedging of actuarial liabilities exposed to financial markets and other contingencies. With roots in modern financial mathematics, actuarial finance presents unique challenges due to

• Author : Arlie O. Petters,Xiaoying Dong
• Publisher : Springer
• Release : 17 June 2016

This textbook aims to fill the gap between those that offer a theoretical treatment without many applications and those that present and apply formulas without appropriately deriving them. The balance achieved will give readers a fundamental understanding of key financial ideas and tools that form the basis for building realistic models, including those that may become proprietary. Numerous carefully chosen examples and exercises reinforce the student’s conceptual understanding and facility with applications. The exercises are divided into conceptual, application-based,

• Author : Mario Cerrato
• Publisher : John Wiley & Sons
• Release : 24 February 2012

Quantitative Finance is expanding rapidly. One of the aspects of the recent financial crisis is that, given the complexity of financial products, the demand for people with high numeracy skills is likely to grow and this means more recognition will be given to Quantitative Finance in existing and new course structures worldwide. Evidence has suggested that many holders of complex financial securities before the financial crisis did not have in-house experts or rely on a third-party in order to assess

• Author : Raymond H. Chan,Yves ZY. Guo,Spike T. Lee,Xun Li
• Publisher : Springer
• Release : 27 February 2019

This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales or risk managers. As the book seeks to unify the derivatives modelling and the financial engineering practice in the market, it will be of interest to financial practitioners and academic researchers alike. Further, it takes a different