An Introduction to the Mathematics of Financial Derivatives Salih N. Neftci

Name: An Introduction to the Mathematics of Financial Derivatives von Salih N. Neftci
SKU: 9780125153904
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An Introduction to the Mathematics of Financial Derivatives Salih N. Neftci

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Zusammenfassung

Using a systematic approach to the material, this text introduces the mathematics underlying the pricing of derivatives. It covers such topics as: arbitrage theorem; martinigales and martingale representations; and differentiation in stochastic environments.

An Introduction to the Mathematics of Financial Derivatives Zusammenfassung

An Introduction to the Mathematics of Financial Derivatives Salih N. Neftci

Using a systematic approach to the material, this text introduces the mathematics underlying the pricing of derivatives. The interest in dynamic pricing models is increasing due to their applicability to practical situations. With the freeing of exchange, interest rates, and capital controls, the markets for derivative products has matured, and pricing models have become more accurate. The resource should be of interest to professionals, Ph.D. students and advanced MBA students who are specifically interested in these financial products.

Inhaltsverzeichnis

Financial derivatives - a brief introduction; a primer on arbitrage theorem; calculus in deterministic and stochastic environments; pricing derivatives - models and notations; tools in probability theory; martingales and martingale representations; differentiation in stochastic environments; wiener process and rare events in financial markets, integration in stochastic environments - Ito integral; Ito's lemma; the dynamics of derivatives prices - stochastic differential equations; pricing derivative products - partial differential equations; an application - the black-scholes PDE; pricing derivative products - equivalent martingale measures; equivalent martingale measures - applications; tools for complicated derivative structures.

Zusätzliche Informationen

Sku

GOR003193872

ISBN 13

9780125153904

ISBN 10

0125153902

Titel

An Introduction to the Mathematics of Financial Derivatives Salih N. Neftci

Autor

Salih N. Neftci

Zustand

Gebraucht - Sehr Gut

Bindung

Gebundene Ausgabe

Verlag

Elsevier Science Publishing Co Inc

Datum

1996-01-01

Anzahl der Seiten

348

Preise

N/A

Begleitschreiben

Die Abbildung des Buches dient nur Illustrationszwecken, die tatsächliche Bindung, das Cover und die Auflage können sich davon unterscheiden.

Hinweis

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