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Financial Derivatives in Theory and Practice

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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.
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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

Single-Period Option Pricing
Brownian Motion
Stochastic Integration
Girsanov and Martingale Representation
Stochastic Differential Equations
Option Pricing in Continuous Time
Dynamic Term Structure Models
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