Pub. Date:
Springer Berlin Heidelberg
Mathematical Models of Financial Derivatives / Edition 2

Mathematical Models of Financial Derivatives / Edition 2

by Yue-Kuen KwokYue-Kuen Kwok


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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 has been added. Up-to-date research results are provided by many useful exercises.

Product Details

ISBN-13: 9783540422884
Publisher: Springer Berlin Heidelberg
Publication date: 08/15/2008
Series: Springer Finance
Edition description: 2nd ed. 2008
Pages: 530
Product dimensions: 6.40(w) x 9.30(h) x 1.40(d)

About the Author

Yue-Kuen Kwok is Professor and Program Director of MSc in Mathematics (Financial Mathematics and Statistics) at the Department of Mathematics of Hong Kong University of Science and Technology

Table of Contents

to Derivative Instruments.- Financial Economics and Stochastic Calculus.- Option Pricing Models: Black–Scholes–Merton Formulation and Martingale Pricing Theory.- Path Dependent Options.- American Options.- Numerical Schemes for Pricing Options.- Interest Rate Models and Bond Pricing.- Interest Rate Derivatives: Bond Options, LIBOR andSwap Products.

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