An introduction to the mathematics of financial derivatives /
| Основен автор: | Neftci, Salih N. |
|---|---|
| Формат: | Електронна книга |
| Език: | English |
| Публикувано: |
San Diego :
Academic Press,
2000.
|
| Издание: | 2nd ed. |
| Предмети: | |
| Онлайн достъп: |
http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=196180 |
| Подобни документи: |
Print version::
Introduction to the mathematics of financial derivatives. |
Съдържание:
- Financial derivatives : a brief introduction
- A primer on the arbitrage theorem
- Calculus in deterministic and stochastic environments
- Pricing derivatives : models and notation
- Tools in probability theory
- Martingales and martingale representations
- Differentiation in stochastic environments
- The Wiener process and rare events in financial markets
- Integration in stochastic environments : the Ito integral
- Ito's lemma
- The dynamics of derivative prices : stochastic differential equations
- Pricing derivative products : partial differential equations
- The Black-Scholes PDE : an application
- Pricing derivative products : equivalent martingale measures
- Equivalent martingale measures : applications
- New results and tools for interest-sensitive securities
- Arbitrage theorem in a new setting : normalization and random interest rates
- Modeling term structure and related concepts
- Classical and HJM approaches to fixed income
- Classical PDE analysis for interest rate derivatives
- Relating conditional expectations to PDEs
- Stopping times and American-type securities.