An Introduction to the Mathematics of Financial Derivatives 3/e [Neftci/Hirsa] 9789866052736

An Introduction to the Mathematics of Financial Derivatives is a popular, intuitive text that eases the transition between basic summaries of financial engineering to more advanced treatments using stochastic calculus. Requiring only a basic knowledge of calculus and probability, it takes readers on a tour of advanced financial engineering. This classic title has been revised by Ali Hirsa, who accentuates its well-known strengths while introducing new subjects, updating others, and bringing new continuity to the whole. Popular with readers because it emphasizes intuition and common sense, An Introduction to the Mathematics of Financial Derivatives remains the only "introductory" text that can appeal to people outside the mathematics and physics communities as it explains the hows and whys of practical finance problems.

頁數：456
版次：第3版
年份：2014年
規格：平裝/單色
ISBN：9789866052736

1: Financial Derivatives: A Brief Introduction
2: A Primer on Arbitrage Theorem
3: Review of Deterministic Calculus
4: Pricing Derivatives: Models and Notations
5: Tools in Probability Theory
6: Martingales and Martingale Representations
7: Differentiation in Stochastic Environments
8: The Wiener Process, Levy Processes, and Rare Events in Financial Markets
9: Integration in Stochastic Environments
10: Ito's Lemma
11: The dynamics of Derivatives Prices
12: Pricing Derivatives Products: Partial Differential Equations
13: PDEs and PIDEs- An Application
14: Pricing Derivatives Products: Equivalent Martingale Measures
15: Equivalent Martingale Measures
16: New Results and Tools for Interest Sensitive Securities
17: Arbitrage Theorem in a New Setting
18: Modeling Term Structure and Related Concepts
19: Classical and HJM Approach to Fixed Income
20: Classical PDE Analysis for Interest Rate Derivatives
21: Relating Conditional Expectations to PDEs
22: Pricing Derivatives Via Fourier Transform Techniques
23: Credit Spread and Credit Derivatives
24: Stopping Times and American-Type Securities
25: Overview of Calibration and Estimation Techniques