Table des matières: An introduction to the mathematics of financial derivatives

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Détails bibliographiques
Auteurs principaux:	Hirsa, Ali, Neftci, Salih N. (Auteur)
Format:	Livre papier
Langue:	Anglais
Publié:	San Diego : Academic Press C 2014.
Édition:	3rd edition.
Sujets:	Instruments financiers Instruments financiers > Mathématiques
Autres localisations:	Voir dans le Sudoc
Variante du titre:	Mathematics of financial derivatives

Table des matières:

Chapter 1. Financial Derivatives A Brief Introduction
Chapter 2. A Primer on the Arbitrage Theorem
Chapter 3. Review of Deterministic Calculus
Chapter 4. Pricing Derivatives: Models and Notation
Chapter 5. Tools in Probability Theory
Chapter 6. Martingales and Martingale Representations
Chapter 7. Differentiation in Stochastic Environments
Chapter 8. The Wiener Process, Lévy Processes, and Rare Events in Financial Markets
Chapter 9. Integration in Stochastic Environments
Chapter 10. Itô s Lemma
Chapter 11. The Dynamics of Derivative Prices
Chapter 12. Pricing Derivative Products: Partial Differential Equations
Chapter 13. PDEs and PIDEs An Application
Chapter 14. Pricing Derivative Products: Equivalent Martingale Measures
Chapter 15. Equivalent Martingale Measures
Chapter 16. New Results and Tools for Interest-Sensitive Securities
Chapter 17. Arbitrage Theorem in a New Setting
Chapter 18. Modeling Term Structure and Related Concepts
Chapter 19. Classical and HJM Approach to Fixed Income
Chapter 20. Classical PDE Analysis for Interest Rate Derivatives
Chapter 21. Relating Conditional Expectations to PDEs
Chapter 22. Pricing Derivatives via Fourier Transform Technique
Chapter 23. Credit Spread and Credit Derivatives
Chapter 24. Stopping Times and American-Type Securities
Chapter 25. Overview of Calibration and Estimation Techniques