An Introduction to the Mathematics of Financial Derivatives

An Introduction to the Mathematics of Financial Derivatives PDF

Author: Salih N. Neftci

Publisher: Academic Press

Published: 2000-05-19

Total Pages: 550

ISBN-13: 0125153929

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A step-by-step explanation of the mathematical models used to price derivatives. For this second edition, Salih Neftci has expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He does not assume that the reader has a thorough mathematical background. His explanations of financial calculus seek to be simple and perceptive.

Financial Calculus

Financial Calculus PDF

Author: Martin Baxter

Publisher: Cambridge University Press

Published: 1996-09-19

Total Pages: 252

ISBN-13: 9780521552899

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A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.

An Introduction to the Mathematics of Financial Derivatives

An Introduction to the Mathematics of Financial Derivatives PDF

Author: Salih N. Neftci

Publisher: Elsevier

Published: 2000-06-22

Total Pages: 550

ISBN-13: 0080478646

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An Introduction to the Mathematics of Financial Derivatives, Second Edition, introduces the mathematics underlying the pricing of derivatives. The increased interest in dynamic pricing models stems from their applicability to practical situations: with the freeing of exchange, interest rates, and capital controls, the market for derivative products has matured and pricing models have become more accurate. This updated edition has six new chapters and chapter-concluding exercises, plus one thoroughly expanded chapter. The text answers the need for a resource targeting professionals, Ph.D. students, and advanced MBA students who are specifically interested in financial derivatives. This edition is also designed to become the main text in first year masters and Ph.D. programs for certain courses, and will continue to be an important manual for market professionals and professionals with mathematical, technical, or physics backgrounds.

Mathematical Models of Financial Derivatives

Mathematical Models of Financial Derivatives PDF

Author: Yue-Kuen Kwok

Publisher: Springer Science & Business Media

Published: 2008-07-10

Total Pages: 541

ISBN-13: 3540686886

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This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.

Financial Mathematics, Derivatives and Structured Products

Financial Mathematics, Derivatives and Structured Products PDF

Author: Raymond H. Chan

Publisher: Springer

Published: 2019-02-27

Total Pages: 395

ISBN-13: 9811336962

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This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales or risk managers. As the book seeks to unify the derivatives modelling and the financial engineering practice in the market, it will be of interest to financial practitioners and academic researchers alike. Further, it takes a different route from the existing financial mathematics books, and will appeal to students and practitioners with or without a scientific background. The book can also be used as a textbook for the following courses: • Financial Mathematics (undergraduate level) • Stochastic Modelling in Finance (postgraduate level) • Financial Markets and Derivatives (undergraduate level) • Structured Products and Solutions (undergraduate/postgraduate level)

Financial Derivatives in Theory and Practice

Financial Derivatives in Theory and Practice PDF

Author: Philip Hunt

Publisher: John Wiley and Sons

Published: 2004-07-02

Total Pages: 476

ISBN-13: 9780470863589

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The term Financial Derivative is a very broad term which has come to mean any financial transaction whose value depends on the underlying value of the asset concerned. Sophisticated statistical modelling of derivatives enables practitioners in the banking industry to reduce financial risk and ultimately increase profits made from these transactions. The book originally published in March 2000 to widespread acclaim. This revised edition has been updated with minor corrections and new references, and now includes a chapter of exercises and solutions, enabling use as a course text. Comprehensive introduction to the theory and practice of financial derivatives. Discusses and elaborates on the theory of interest rate derivatives, an area of increasing interest. Divided into two self-contained parts ? the first concentrating on the theory of stochastic calculus, and the second describes in detail the pricing of a number of different derivatives in practice. Written by well respected academics with experience in the banking industry. A valuable text for practitioners in research departments of all banking and finance sectors. Academic researchers and graduate students working in mathematical finance.

Mathematics of Derivative Securities

Mathematics of Derivative Securities PDF

Author: Michael A. H. Dempster

Publisher: Cambridge University Press

Published: 1997-10-13

Total Pages: 614

ISBN-13: 9780521584241

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During 1995 the Isaac Newton Institute for the Mathematical Sciences at Cambridge University hosted a six month research program on financial mathematics. During this period more than 300 scholars and financial practitioners attended to conduct research and to attend more than 150 research seminars. Many of the presented papers were on the subject of financial derivatives. The very best were selected to appear in this volume. They range from abstract financial theory to practical issues pertaining to the pricing and hedging of interest rate derivatives and exotic options in the market place. Hence this book will be of interest to both academic scholars and financial engineers.

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