Introduction to the Mathematics of Financial Derivatives

ISBN-10: 012384682X
ISBN-13: 9780123846822
Edition: 3rd 2013
List price: $60.99 Buy it from $21.96
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Description: An Introduction to the Mathematics of Financial Derivatives is a popular, intuitive text that eases the transition between basic summaries of financial engineering to more advanced treatments that use stochastic calculus. Requiring only a passing  More...

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Book details

List price: $60.99
Edition: 3rd
Copyright year: 2013
Publisher: Elsevier Science & Technology
Publication date: 12/16/2013
Binding: Hardcover
Pages: 480
Size: 7.50" wide x 9.25" long x 1.25" tall
Weight: 1.518

An Introduction to the Mathematics of Financial Derivatives is a popular, intuitive text that eases the transition between basic summaries of financial engineering to more advanced treatments that use stochastic calculus. Requiring only a passing knowledge of calculus and probability, it takes readers on a tour of advanced financial engineering. This classic title has been revised by Ali Hirsa, who accentuates its well-known strengths while introducing new subjects, updating others, and bringing new continuity to the whole. Popular with readers because it emphasizes intuition and common sense, An Introduction to the Mathematics of Financial Derivatives remains the only "introductory" text that can appeal to people outside the mathematics and physics communities as it explains the hows and whys of practical finance problems. Facilitates readers' understanding of underlying mathematical and theoretical models by presenting a mixture of theory and applications with hands-on learningForegrounds an intuitive orientation, breaking up complex mathematics concepts in easy-to-understand notions Encourages use of discrete chapters which can be used as complementary readings on different topics, offering flexibility in learning and teaching

Ali Hirsa is head of Analytical Trading Strategy at Caspian Capital Management. Dr. Hirsa is also an adjunct professor at Columbia University and NYU�s Courant Institute of Mathematical Sciences.

Financial Derivatives: A Brief Introduction
A Primer on Arbitrage Theorem
Review of Deterministic Calculus
Pricing Derivatives: Models and Notations
Tools in Probability Theory
Martingales and Martingale Representations
Wiener Process, Levy Processes, and Rare Events
Differentiation in Stochastic Environments
Integration in Stochastic Environments
Ito's Lemma
The dynamics of Derivatives Prices: Stochastic Differential
Pricing Derivatives Products via Partial Differential Equations
Equivalent Martingale Measures
Equivalent Martingale Measures: Applications
Arbitrage Theorem in a New Setting
Term Structure Modeling and Related Concepts
Approaches to Modeling Term Structure
Conditional Expectations and PDEs
Derivative Pricing via Transform Techniques
Credit Spread and Credit Derivatives
Stopping Times and American-Style Derivatives
A Primer on Calibration and Estimation Techniques

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