Financial Derivatives in Theory and Practice
Seiten
2000
John Wiley & Sons Ltd (Verlag)
978-0-471-96717-0 (ISBN)
John Wiley & Sons Ltd (Verlag)
978-0-471-96717-0 (ISBN)
- Titel erscheint in neuer Auflage
- Artikel merken
Zu diesem Artikel existiert eine Nachauflage
This text primarily discusses the pricing and hedging of derivatives and the determination of risks associated with writing options. Part 4 includes a compendium of examples, many providing solutions to problems set earlier in the text.
This book brings together in one volume both a complete, rigorous and yet readable account of the mathematics underlying derivative pricing and a guide to applying these ideas to solve real pricing problems. It is aimed at practitioners and researchers who wish to understand the latest finance literature and develop their own pricing models. The authors' combination of strong theoretical knowledge and extensive market experience make this book particularly relevant for those interested in real world applications of mathematical finance.
Features: detailed coverage of interest rate derivatives, from 'vanilla' instruments through to many of the more exotic products currently being traded overview of popular term structure models along with their relationships to each other (including Heath-Jarrow-Morton, short rate models and the latest market models) explanation of numeraires as a modelling and pricing tool pricing models for constant maturity swaps and other convexity products models and efficient algorithms for path-dependent and Bermudan swaptions insights into how to go about pricing products beyond those treated in the text accessible yet rigorous treatment of the stochastic calculus required for option pricing
This book brings together in one volume both a complete, rigorous and yet readable account of the mathematics underlying derivative pricing and a guide to applying these ideas to solve real pricing problems. It is aimed at practitioners and researchers who wish to understand the latest finance literature and develop their own pricing models. The authors' combination of strong theoretical knowledge and extensive market experience make this book particularly relevant for those interested in real world applications of mathematical finance.
Features: detailed coverage of interest rate derivatives, from 'vanilla' instruments through to many of the more exotic products currently being traded overview of popular term structure models along with their relationships to each other (including Heath-Jarrow-Morton, short rate models and the latest market models) explanation of numeraires as a modelling and pricing tool pricing models for constant maturity swaps and other convexity products models and efficient algorithms for path-dependent and Bermudan swaptions insights into how to go about pricing products beyond those treated in the text accessible yet rigorous treatment of the stochastic calculus required for option pricing
THEORY. Single-Period Option Pricing. Brownian Motion. Martingales. Stochastic Integration. Girsanov and Martingale Representation. Stochastic Differential Equations. Option Pricing in Continuous Time. Dynamic Term Structure Models. PRACTICE. Modelling in Practice. Basic Instruments and Terminology. Pricing Standard Market Derivatives. Futures Contracts. ORIENTATION: PRICING EXOTIC EUROPEAN DERIVATIVES. Terminal Swap-Rate Models. Convexity Corrections. Implied Interest Rate Pricing Models. Multi-Currency Terminal Swap-Rate Models. ORIENTATION: PRICING EXOTIC AMERICAN AND PATH-DEPENDENT DERIVATIVES. Short-Rate Models. Market Models. Markov-Functional Modelling. Appendices. References. Index.
| Reihe/Serie | Probability & Statistics: Applied Probability S. |
|---|---|
| Zusatzinfo | Ill. |
| Verlagsort | Chichester |
| Sprache | englisch |
| Maße | 158 x 236 mm |
| Gewicht | 710 g |
| Themenwelt | Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung |
| ISBN-10 | 0-471-96717-3 / 0471967173 |
| ISBN-13 | 978-0-471-96717-0 / 9780471967170 |
| Zustand | Neuware |
| Haben Sie eine Frage zum Produkt? |
Mehr entdecken
aus dem Bereich
aus dem Bereich
Allgemeines Steuerrecht, Abgabenordnung, Umsatzsteuer
Buch (2024)
Springer Gabler (Verlag)
CHF 39,20
Unternehmensübernahmen und Finanzierungsstrukturen
Buch | Hardcover (2024)
Vahlen (Verlag)
CHF 179,95
