Financial Calculus: An Introduction to Derivative Pricing

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Overview

Here is the first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities. With mathematical precision and in a style tailored for market practioners, the authors describe key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model. Starting from discrete-time hedging on binary trees, the authors develop continuous-time stock models (including the Black-Scholes method). They stress practicalities including examples from stock, currency and interest rate markets, all accompanied by graphical illustrations with realistic data. The authors provide a full glossary of probabilistic and financial terms.
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Editorial Reviews

From the Publisher
"...a rigorous and accessible account of the probabilistic structure behind the pricing, construction, and hedging of derivative securities....Real examples from stock, currency, and interest rate markets are used. The text also gives a clear view and introduction to modern mathematical finance for probabilists and statisticians."
The Journal of the American Statistical Association

"This is an excellent book for anyone who want an intuitive understanding of the use of stochastic calculus in financial engineering."
riskbook.com

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Product Details

  • ISBN-13: 9780521552899
  • Publisher: Cambridge University Press
  • Publication date: 9/28/1996
  • Edition description: New Edition
  • Pages: 244
  • Product dimensions: 6.50 (w) x 9.53 (h) x 0.75 (d)

Table of Contents

The parable of the bookmaker; 1. Introduction; 2. Discrete processes; 3. Continuous processes; 4. Pricing market securities; 5. Interest rates; 6. Bigger models; Appendix 1. Further reading; Appendix 2. Notation; Appendix 3. Answers to exercises; Appendix 4. Glossary of technical terms; Index.
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Sort by: Showing 1 Customer Reviews
  • Anonymous

    Posted June 30, 2008

    A reviewer

    I had to use this text in a graduate financial calculus course and this book is very brief.

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