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An introduction to the mathematics of financial derivatives edited by Salih N. Neftci, Ali Hirsa. [electronic resource] /

By: Contributor(s): Material type: TextPublication details: Academic Press 2014Edition: 3rd ednDescription: ix, 444 pages : illustrations ; 25 cmISBN:
  • 9780123846822
Subject(s): Genre/Form: DDC classification:
  • 332.63/2 21
LOC classification:
  • HG6024.A3 N44 2014
Online resources:
Contents:
1. Financial Derivatives: A Brief Introduction -- 2. A Primer on Arbitrage Theorem -- 3. Review of Deterministic Calculus -- 4. Pricing Derivatives: Models and Notations -- 5. Tools in Probability Theory -- 6. Martingales and Martingale Representations -- 7. Wiener Process, Levy Processes, and Rare Events -- 8. Differentiation in Stochastic Environments -- 9. Integration in Stochastic Environments -- 10. Ito's Lemma -- 11. The dynamics of Derivatives Prices: Stochastic Differential -- 12. Pricing Derivatives Products via Partial Differential Equations -- 13. Equivalent Martingale Measures -- 14. Equivalent Martingale Measures: Applications -- 15. Arbitrage Theorem in a New Setting -- 16. Term Structure Modeling and Related Concepts -- 17. Approaches to Modeling Term Structure -- 18: Conditional Expectations and PDEs -- 19. Derivative Pricing via Transform Techniques -- 20. Credit Spread and Credit Derivatives -- 21. Stopping Times and American-Style Derivatives -- 22. A Primer on Calibration and Estimation Techniques
Summary: Business
List(s) this item appears in: Statistics | SBE-Economics
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Holdings
Cover image Item type Current library Home library Collection Shelving location Call number Materials specified Vol info URL Copy number Status Notes Date due Barcode Item holds Item hold queue priority Course reserves
E-Books Library, Independent University, Bangladesh (IUB) Non-fiction 332.63/2 (Browse shelf(Opens below)) Link to resource Available AUTO-24622
Total holds: 0

Previous edition published: An introduction to the mathematics of financial derivatives / Salih N. Neftci.

Includes bibliographical references (pages 437-438) and index.

1. Financial Derivatives: A Brief Introduction -- 2. A Primer on Arbitrage Theorem -- 3. Review of Deterministic Calculus -- 4. Pricing Derivatives: Models and Notations -- 5. Tools in Probability Theory -- 6. Martingales and Martingale Representations -- 7. Wiener Process, Levy Processes, and Rare Events -- 8. Differentiation in Stochastic Environments -- 9. Integration in Stochastic Environments -- 10. Ito's Lemma -- 11. The dynamics of Derivatives Prices: Stochastic Differential -- 12. Pricing Derivatives Products via Partial Differential Equations -- 13. Equivalent Martingale Measures -- 14. Equivalent Martingale Measures: Applications -- 15. Arbitrage Theorem in a New Setting -- 16. Term Structure Modeling and Related Concepts -- 17. Approaches to Modeling Term Structure -- 18: Conditional Expectations and PDEs -- 19. Derivative Pricing via Transform Techniques -- 20. Credit Spread and Credit Derivatives -- 21. Stopping Times and American-Style Derivatives -- 22. A Primer on Calibration and Estimation Techniques

Business

Finance

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