Financial Derivatives in Theory and Practice

Name: Financial Derivatives in Theory and Practice
Price: 21.48 USD
Availability: InStock
ISBN: 9780471967170

ISBN-10: 0471967173

ISBN-13: 9780471967170

Edition: 2000

Authors: P. J. Hunt, J. E. Kennedy

List price: $120.00

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This text primarily discusses the pricing and hedging of derivatives and the determination of risks associated with writing options. Part 4 includes a compendium of examples, many providing solutions to problems set earlier in the text.

Book details

List price: $120.00
Copyright year: 2000
Publisher: John Wiley & Sons, Incorporated
Publication date: 5/31/2000
Binding: Hardcover
Pages: 422
Size: 6.36" wide x 9.35" long x 1.08" tall
Weight: 1.562
Language: English



Preface


Acknowledgements



Theory



Single-Period Option Pricing



Brownian Motion



Martingales



Stochastic Integration



Girsanov and Martingale Representation



Stochastic Differential Equations



Option Pricing in Continuous Time



Dynamic Term Structure Models



Practice



Modelling in Practice



Basic Instruments and Terminology



Pricing Standard Market Derivatives



Futures Contracts


Orientation: Pricing Exotic European Derivatives



Terminal Swap-Rate Models



Convexity Corrections



Implied Interest Rate Pricing Models



Multi-Currency Terminal Swap-Rate Models


Orientation: Pricing Exotic American and Path-Dependent Derivatives



Short-Rate Models



Market Models



Markov-Functional Modelling



The Usual Conditions



L[superscript 2] Spaces



Gaussian Calculations


References


Index