PRICING AND HEDGING OF DERIVATIVE SECURITIES
Ouvrage 9780198776192 : PRICING AND HEDGING OF DERIVATIVE SECURITIES
Description
* Mathematically rigorous introduction to financial economics
* Includes exercises and suggested solutions
The theory of pricing and hedging of derivative securities is
mathematically sophisticated. This book is an introduction to the use of
advanced probability theory in financial economics, presenting the
necessary mathematics in a precise and rigorous manner. Professor
Nielsen concentrates on three main areas: the theory of continuous-time
stochastic processes, a notorious barrier to the understanding of
probability theory in finance; the general theory of trading, pricing,
and hedging in continuous time, using the martingale approach; and a
detailed look at the BlackScholes and the Gaussian one-factor models of
the term structure of interest rates. His book enables the reader to
read the journal literature with confidence, apply the methods to new
problems, or to do original research in the field.
Readership: Graduate and MBA students studying finance, particularly
financial engineering and quantitative finance. Mathematicians looking
for an introduction to mathematical finance. Practitioners working in
financial markets.
Contents
1. Stochastic Processes
2. Ito Calculus
3. Gaussian Processes
4. Securities and Trading Strategies
5. The Martingale Valuation Principle
6. The Black-Scholes Model
7. Gaussian Term Structure Models
Appendix A Measure and Probability
Appendix B Lebesgue Integrals and Expectations
Appendix C The Heat Equation
Appendix D Suggested Solutions to Exercises for Chapters 1-7
Appendix E Suggested Solutions to Exercises for Appendix A and B
Auteur : NIELSEN
Editeur : OXFORD
Nombre de pages : 464
Date de publication : 07 1999
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