Mathematical Models of Financial Derivatives

Name: Mathematical Models of Financial Derivatives
SKU: 01e300ad15af163f88c2007210342ac9
Price: 105 EUR
Availability: InStock

1/1

Afbeelding van Mathematical Models of Financial Derivatives

Bol

Prijzen vanaf

105,00

Uitgelicht

	105,00	Naar shop
VERGELIJK ALLE AANBIEDERS (1)

Beschrijving

Bol Objectives and Audience In the past three decades, we have witnessed the phenomenal growth in the trading of financial derivatives and structured products in the financial markets around the globe and the surge in research on derivative pricing theory. Mathematical Models of Financial Derivatives is a textbook on the theory behind modeling derivatives using the financial engineering approach, focussing on the martingale pricing principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analyzed, emphasizing on the aspects of pricing, hedging and their risk management. Starting from the renowned Black-Scholes-Merton formulation of option pricing model, readers are guided through the text on the new advances on the state-of-the-art derivative pricing models and interest rate models. Both analytic techniques and numerical methods for solving various types of derivative pricing models are emphasized. The second edition presents a substantial revision of the first edition. The continuous-time martingale pricing theory is motivated through analysis of the underlying financial economics principles within a discrete-timeframework. A large collection of closed-form formulas of various forms of exotic equity and fixed income derivatives are documented. The most recent research results and methodologies are made accessible to readers through the extensive set of exercises at the end of each chapter. Yue-Kuen Kwok is Professor of Mathematics at Hong Kong University of Science and Technology. He is the author of over 80 research papers and several books, including Applied Complex Variables. He is an associate editor of Journal of Economic Dynamics and Control and Asia-Pacific Financial Markets. Mathematical Models of Financial Derivatives is a textbook on the theory behindmodeling derivatives and their risk management, focussing on the valuationprinciples that are common to most derivative securities. A wide range offinancial derivatives commonly traded in the equity and fixed income markets areanalyzed, emphasizing on aspects of pricing, hedging and practical usage. Thereaders are guided through the text on new advances in analytic techniques andnumerical methods for solving various types of derivative pricing models. Inthis second edition, more emphasis has been placed on the discussion of Itocalculus and Girsanov's Theorem; and in particular, the concepts of risk neutralmeasure and equivalent martingale pricing approach. A new chapter on credit riskmodels and pricing of credit derivatives has been added. Most recent researchresults and concepts are made accessible to the readers through extensive, wellthought out exercises at the end of each chapter.

Lees meer

Vergelijk aanbieders (1)

Sorteren op:

€ 105,00 Gratis verzending

Beschrijving (1)

Objectives and Audience In the past three decades, we have witnessed the phenomenal growth in the trading of financial derivatives and structured products in the financial markets around the globe and the surge in research on derivative pricing theory. Mathematical Models of Financial Derivatives is a textbook on the theory behind modeling derivatives using the financial engineering approach, focussing on the martingale pricing principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analyzed, emphasizing on the aspects of pricing, hedging and their risk management. Starting from the renowned Black-Scholes-Merton formulation of option pricing model, readers are guided through the text on the new advances on the state-of-the-art derivative pricing models and interest rate models. Both analytic techniques and numerical methods for solving various types of derivative pricing models are emphasized. The second edition presents a substantial revision of the first edition. The continuous-time martingale pricing theory is motivated through analysis of the underlying financial economics principles within a discrete-timeframework. A large collection of closed-form formulas of various forms of exotic equity and fixed income derivatives are documented. The most recent research results and methodologies are made accessible to readers through the extensive set of exercises at the end of each chapter. Yue-Kuen Kwok is Professor of Mathematics at Hong Kong University of Science and Technology. He is the author of over 80 research papers and several books, including Applied Complex Variables. He is an associate editor of Journal of Economic Dynamics and Control and Asia-Pacific Financial Markets. Mathematical Models of Financial Derivatives is a textbook on the theory behindmodeling derivatives and their risk management, focussing on the valuationprinciples that are common to most derivative securities. A wide range offinancial derivatives commonly traded in the equity and fixed income markets areanalyzed, emphasizing on aspects of pricing, hedging and practical usage. Thereaders are guided through the text on new advances in analytic techniques andnumerical methods for solving various types of derivative pricing models. Inthis second edition, more emphasis has been placed on the discussion of Itocalculus and Girsanov's Theorem; and in particular, the concepts of risk neutralmeasure and equivalent martingale pricing approach. A new chapter on credit riskmodels and pricing of credit derivatives has been added. Most recent researchresults and concepts are made accessible to the readers through extensive, wellthought out exercises at the end of each chapter.

Lees meer