THE CONCEPTS AND PRACTICE OF MATHEMATICAL FINANCE
Ouvrage 0-521-82355-2 : THE CONCEPTS AND PRACTICE OF MATHEMATICAL FINANCE
Contents
Preface; 1. Risk; 2. Pricing methodologies and arbitrage; 3. Trees and
option pricing; 4. Practicalities; 5. The Ito calculus; 6. Risk
neutrality and martingale measures; 7. The practical pricing of a
European option; 8. Continuous barrier options; 9. Multi-look exotic
options; 10. Static replication; 11. Multiple sources of risk; 12.
Options with early exercise features; 13. Interest rate derivatives; 14.
The pricing of exotic interest rate derivatives; 15. Incomplete markets
and jump-diffusion processes; 16. Stochastic volatility; 17. Variance
gamma models; 18. Smile dynamics and the pricing of exotic options;
Appendix A. Financial and mathematical jargon; Appendix B. Computer
projects; Appendix C. Elements of probability theory; Appendix D. Hints
and answers to questions; Bibliography; Index.
Auteur : JOSHI
Editeur : CAMBRIDGE UNIVERSITY PRESS
Nombre de pages : 473
Date de publication : 12 2003
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