Mathematical models of financial derivatives
 Responsibility
 YueKuen Kwok.
 Language
 English.
 Edition
 2nd ed., Rev. and enl.
 Imprint
 Berlin : Springer, c2008.
 Physical description
 xv, 530 p. : ill. ; 25 cm.
 Series
 Springer finance. 16160533
Access
Available online
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Call number  Status 

HG6024 .A3 K86 2008  Available 
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Creators/Contributors
 Author/Creator
 Kwok, Y. K. (YueKuen), 1957
Contents/Summary
 Bibliography
 Includes bibliographical references (p. [507]516) and index.
 Contents

 Introduction to Derivative Instruments. Fundamental Concepts of Financial Economics and Asset Price Dynamics. Pricing Models for OneAsset European Options. Path Dependent Options. American Options and Free Boundary Value Problems. Numerical Schemes for Pricing Options. Interest Rate Models and Bond Pricing. Interest Rate Instruments.
 (source: Nielsen Book Data)9783540422884 20160528
 Publisher's Summary
 Mathematical Models of Financial Derivatives is a textbook on the theory behind modeling derivatives and their risk management, focussing 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 analyzed, emphasizing on aspects of pricing, hedging and practical usage. The readers are guided through the text on new advances in analytic techniques and numerical methods for solving various types of derivative pricing models. In this second edition, more emphasis has been placed on the discussion of Ito calculus and Girsanov's Theorem; and in particular, the concepts of risk neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Most recent research results and concepts are made accessible to the readers through extensive, well thought out exercises at the end of each chapter.
(source: Nielsen Book Data)9783540686880 20160527  This second edition of "Mathematical Models of Financial Derivatives", 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. It presents a selfcontained treatment of riskneutral valuation theory, martingale measure, and tools in stochastic calculus required for the understanding of option pricing theory. Derivative pricing models are solved using various approaches, by martingale pricing theory and partial differential equation methods. This text is targeted to students in mathematical finance. It also serves as a good reference for quantitative analysts and derivative traders in investment banks. The most recent research results and methodologies are made accessible to the reader through the extensive set of exercises at the end of each chapter.
(source: Nielsen Book Data)9783540422884 20160528  Supplemental links
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Subjects
Bibliographic information
 Publication date
 2008
 Series
 Springer finance, 16160533
 Note
 Previous ed.: Singapore: Springer, 1999.
 ISBN
 9783540422884 (hbk.)
 3540422889 (hbk.)
 9783540686880
 3540686886