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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: TextTextPublication 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
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Holdings
Item type Current library Collection Call number URL Status Date due Barcode Item holds
E-Books E-Books Library, Independent University, Bangladesh (IUB) Non-fiction 332.63/2 (Browse shelf(Opens below)) Link to resource Available
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