ISBN-10:
0521497892
ISBN-13:
9780521497893
Pub. Date:
09/28/1995
Publisher:
Cambridge University Press
The Mathematics of Financial Derivatives: A Student Introduction / Edition 1

The Mathematics of Financial Derivatives: A Student Introduction / Edition 1

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Product Details

ISBN-13: 9780521497893
Publisher: Cambridge University Press
Publication date: 09/28/1995
Edition description: New Edition
Pages: 317
Product dimensions: 5.98(w) x 8.98(h) x 0.71(d)

Table of Contents

Part I. Basic Option Theory: 1. An introduction to options and markets; 2. Asset price random walks; 3. The Black-Scholes model; 4. Partial differential equations; 5. The Black-Scholes formulae; 6. Variations on the Black-Scholes model; 7. American options; Part II. Numerical Methods: 8. Finite-difference methods; 9. Methods for American options; 10. Binomial methods; Part III. Further Option Theory: 11. Exotic and path-dependent options; 12. Barrier options; 13. A unifying framework for path-dependent options; 14. Asian options; 15. Lookback options; 16. Options with transaction costs; Part IV. Interest Rate Derivative Products: 17. Interest rate derivatives; 18. Convertible bonds; Hints to selected exercises; Bibliography; Index.

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