Mathematical Models of Financial Derivatives

By: Y-K Kwok

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Product code: 20273
ISBN: 3540422889
500 pages
Format: Hb
Published by: Springer Verlag, 2007, 2nd edition

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Description of Mathematical Models of Financial Derivatives

This second edition, 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 analyzed, emphasizing aspects of pricing, hedging and practical usage.

This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.

Mathematical Models of Financial Derivatives - Chapter headings

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.