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An Introduction to the Mathematics of Financial Derivatives / Edition 2
     

An Introduction to the Mathematics of Financial Derivatives / Edition 2

by Salih N. Neftci
 

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ISBN-10: 0125153929

ISBN-13: 9780125153928

Pub. Date: 05/01/2000

Publisher: Elsevier Science

An Introduction to the Mathematics of Financial Derivatives, Second Edition, introduces the mathematics underlying the pricing of derivatives.

The increased interest in dynamic pricing models stems from their applicability to practical situations: with the freeing of exchange, interest rates, and capital controls, the market for derivative products has

Overview

An Introduction to the Mathematics of Financial Derivatives, Second Edition, introduces the mathematics underlying the pricing of derivatives.

The increased interest in dynamic pricing models stems from their applicability to practical situations: with the freeing of exchange, interest rates, and capital controls, the market for derivative products has matured and pricing models have become more accurate. This updated edition has six new chapters and chapter-concluding exercises, plus one thoroughly expanded chapter. The text answers the need for a resource targeting professionals, Ph.D. students, and advanced MBA students who are specifically interested in financial derivatives.

This edition is also designed to become the main text in first year masters and Ph.D. programs for certain courses, and will continue to be an important manual for market professionals and professionals with mathematical, technical, or physics backgrounds.

Product Details

ISBN-13:
9780125153928
Publisher:
Elsevier Science
Publication date:
05/01/2000
Series:
Academic Press Advanced Finance Series
Edition description:
REV
Pages:
527
Product dimensions:
6.23(w) x 9.27(h) x 1.25(d)

Table of Contents

Financial Derivatives; A Primer on 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 Dynamics of Derivative Prices; Pricing Derivative Products; The Black-Scholes PDE; Pricing Derivative Products; Equivalent Martingale Measures; 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; Bibliography; Index.

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