Cover for An Introduction to the Mathematics of Financial Derivatives

An Introduction to the Mathematics of Financial Derivatives

Book • Third Edition2014

Edited by:

Ali Hirsa and Salih N. Neftci†

An Introduction to the Mathematics of Financial Derivatives

Book • Third Edition2014

 

Cover for An Introduction to the Mathematics of Financial Derivatives

Edited by:

Ali Hirsa and Salih N. Neftci†

About the book

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Book description

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 ... read full description

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  2. Book chapterAbstract only

    Chapter 1 - Financial Derivatives—A Brief Introduction

    Pages 1-11

  3. Book chapterAbstract only

    Chapter 2 - A Primer on the Arbitrage Theorem

    Pages 13-32

  4. Book chapterAbstract only

    Chapter 3 - Review of Deterministic Calculus

    Pages 33-53

  5. Book chapterAbstract only

    Chapter 4 - Pricing Derivatives: Models and Notation

    Pages 55-64

  6. Book chapterAbstract only

    Chapter 5 - Tools in Probability Theory

    Pages 65-86

  7. Book chapterAbstract only

    Chapter 6 - Martingales and Martingale Representations

    Pages 87-110

  8. Book chapterAbstract only

    Chapter 7 - Differentiation in Stochastic Environments

    Pages 111-122

  9. Book chapterAbstract only

    Chapter 8 - The Wiener Process, Lévy Processes, and Rare Events in Financial Markets

    Pages 123-144

  10. Book chapterAbstract only

    Chapter 9 - Integration in Stochastic Environments

    Pages 145-162

  11. Book chapterAbstract only

    Chapter 10 - Itô's Lemma

    Pages 163-178

  12. Book chapterAbstract only

    Chapter 11 - The Dynamics of Derivative Prices

    Pages 179-196

  13. Book chapterAbstract only

    Chapter 12 - Pricing Derivative Products: Partial Differential Equations

    Pages 197-214

  14. Book chapterAbstract only

    Chapter 13 - PDEs and PIDEs—An Application

    Pages 215-229

  15. Book chapterAbstract only

    Chapter 14 - Pricing Derivative Products: Equivalent Martingale Measures

    Pages 231-252

  16. Book chapterAbstract only

    Chapter 15 - Equivalent Martingale Measures

    Pages 253-268

  17. Book chapterAbstract only

    Chapter 16 - New Results and Tools for Interest-Sensitive Securities

    Pages 269-276

  18. Book chapterAbstract only

    Chapter 17 - Arbitrage Theorem in a New Setting

    Pages 277-300

  19. Book chapterAbstract only

    Chapter 18 - Modeling Term Structure and Related Concepts

    Pages 301-314

  20. Book chapterAbstract only

    Chapter 19 - Classical and HJM Approach to Fixed Income

    Pages 315-331

  21. Book chapterAbstract only

    Chapter 20 - Classical PDE Analysis for Interest Rate Derivatives

    Pages 333-344

  22. Book chapterAbstract only

    Chapter 21 - Relating Conditional Expectations to PDEs

    Pages 345-360

  23. Book chapterAbstract only

    Chapter 22 - Pricing Derivatives via Fourier Transform Technique

    Pages 361-372

  24. Book chapterAbstract only

    Chapter 23 - Credit Spread and Credit Derivatives

    Pages 373-399

  25. Book chapterAbstract only

    Chapter 24 - Stopping Times and American-Type Securities

    Pages 401-414

  26. Book chapterAbstract only

    Chapter 25 - Overview of Calibration and Estimation Techniques

    Pages 415-435

  27. Book chapterNo access

    References

    Pages 437-438

  28. Book chapterNo access

    Index

    Pages 439-444

About the book

Description

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 hows and whys of practical finance problems.

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 hows and whys of practical finance problems.

Key Features

  • 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
  • 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

Details

ISBN

978-0-12-384682-2

Language

English

Published

2014

Copyright

Copyright © 2014 Elsevier Inc. All rights reserved.

Imprint

Academic Press

Editors

Ali Hirsa

Salih N. Neftci†