Items related to Financial Calculus: An Introduction to Derivative Pricing
Synopsis
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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Book Description
Here is the first rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities. Key concepts are described with mathematical precision in a style tailored for market practitioners. Practicalities are stressed, including examples from stock, currency and interest rate markets, all accompanied by graphical illustrations. A full glossary of probabilistic and financial terms is provided.This up-to-date book will be an essential purchase for market practitioners, quantitative analysts, and derivatives traders, whether existing or trainees in investment banks in the major financial centres throughout the world.
Review
"...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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- PublisherCambridge University Press
- Publication date1996
- ISBN 10 0521552893
- ISBN 13 9780521552899
- BindingHardcover
- LanguageEnglish
- Number of pages233
- Rating
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Financial Calculus: An Introduction to Derivative Pricing
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ISBN 10: 0521552893
ISBN 13: 9780521552899
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Financial Calculus: An Introduction to Derivative Pricing
Published by
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ISBN 10: 0521552893
ISBN 13: 9780521552899
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Financial Calculus: An Introduction to Derivative Pricing
Published by
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ISBN 10: 0521552893
ISBN 13: 9780521552899
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Financial Calculus: An Introduction to Derivative Pricing
Published by
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ISBN 10: 0521552893
ISBN 13: 9780521552899
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Financial Calculus: An Introduction to Derivative Pricing
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Financial Calculus: An Introduction to Derivative Pricing
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Financial Calculus: An Introduction to Derivative Pricing
Published by
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ISBN 10: 0521552893
ISBN 13: 9780521552899
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Financial Calculus: An Introduction to Derivative Pricing
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ISBN 10: 0521552893
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