Financial Derivatives in Theory and Practice

Beschreibung

This book brings together in one volume both a complete, rigorousand yet readable account of the mathematics underlying derivativepricing and a guide to applying these ideas to solve real pricingproblems. It is aimed at practitioners and researchers who wish tounderstand the latest finance literature and develop their ownpricing models. The authors' combination of strong theoreticalknowledge and extensive market experience make this bookparticularly relevant for those interested in real worldapplications of mathematical finance. Features: * detailed coverage of interest rate derivatives, from 'vanilla'instruments through to many of the more exotic products currentlybeing traded * overview of popular term structure models along with theirrelationships to each other (including Heath-Jarrow-Morton, shortrate models and the latest market models) * explanation of numeraires as a modelling and pricing tool * pricing models for constant maturity swaps and other convexityproducts * models and efficient algorithms for path-dependent and Bermudanswaptions * insights into how to go about pricing products beyond thosetreated in the text * accessible yet rigorous treatment of the stochastic calculusrequired for option pricing

Autor*in

P. J. Hunt

Themen in »Financial Derivatives in Theory and Practice«

Engineering Statistics Finance & Investments Finanz- u. Anlagewesen Finanz- u. Wirtschaftsstatistik Statistics Statistics for Finance, Business & Economics Statistik Statistik in den Ingenieurwissenschaften

Stimmen zu »Financial Derivatives in Theory and Practice«

"This one adopts the mathematics text style of approach...But, itis not a dry book...The book is deep and detailed..." (ShortBook Reviews, Vol. 20, No. 3, December 2000) "...It sets a new high standard for future texts onmathematical finance..." (The Statistician, Vol.51, No.2, 2002)
()

Details

Link teilen