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

An Introduction to the Mathematics of Financial Derivatives

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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.

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An Introduction to the Mathematics of Financial Derivatives Summary


An Introduction to the Mathematics of Financial Derivatives by 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.

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Table of Contents


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.

Additional information

GOR003193872
An Introduction to the Mathematics of Financial Derivatives by Salih N. Neftci
Salih N. Neftci
Used - Very Good
Hardback
Elsevier Science Publishing Co Inc
1996-07-31
348
0125153902
9780125153904
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
This is a used book - there is no escaping the fact it has been read by someone else and it will show signs of wear and previous use. Overall we expect it to be in very good condition, but if you are not entirely satisfied please get in touch with us.