## An introduction to the mathematics of financial derivatives / etd. by Ali Hirsa, Salih N. Neftci.

Material type: TextLanguage: English Publisher: Cambridge: Academic Press, 2014Edition: 3rd edDescription: ix, 444 pages : ill. ; 25 cmISBN: 9780123846822Subject(s): Derivative securities -- MathematicsDDC classification: 332.632Item type | Current location | Call number | Status | Date due | Barcode |
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Books | Institute of Public Enterprise, Library S Campus | 332.632 HIR (Browse shelf) | Available | 48498 |

Includes bibliographical references and index.

Financial derivatives

a brief introduction

A primer on the arbitrage theorem

Review of deterministic calculus

Pricing derivatives : models and notation

Tools in probability theory

Martingales and Martingale representations

Differentiation in stochastic environments

The Wiener process, Lévy processes, and rare events in financial markets

Integration in stochastic environments

Itô's lemma

The dynamics of derivative prices

Pricing derivative products : partial differential equations

PDEs and PIDEs

an application

Pricing derivative products : equivalent Martingale measures

Equivalent Martingale measures

New results and tools for interest-sensitive securities

Arbitrage theorem in a new setting

Modeling term structure and related concepts

Classical and HJM approach to fixed income

Classical PDE analysis for interest rate derivatives

Relating conditional expectations to PDEs

Pricing derivatives via Fourier transform technique

Credit spread and credit derivatives

Stopping times and American-type securities

Overview of calibration and estimation techniques

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 using stochastic calculus. Requiring only a basic 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 how's 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 learning. Presented intuitively, breaking up complex mathematics concepts into easily understood notions. Encourages use of discrete chapters as complementary readings on different topics, offering flexibility in learning and teaching

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