| 청구기호 |
HG6024.A3 |
| 형태사항 |
1 online resource
|
| 언어 |
English |
| 서지주기 |
Includes bibliographical references (p. 437-438) and index.
|
| 내용 |
Financial derivatives--a brief introduction -- A primer on the arbitrage theorem -- Review of deterministic calculus -- Pricing derivatives : models and notation -- Tools in probability theory -- Martingales and Martingale representations -- Differentiation in stochastic environments -- The Wiener process, Lévy processes, and rare events in financial markets -- Integration in stochastic environments -- Itô's lemma -- The dynamics of derivative prices -- Pricing derivative products : partial differential equations -- PDEs and PIDEs--an application -- Pricing derivative products : equivalent Martingale measures -- Equivalent Martingale measures -- New results and tools for interest-sensitive securities -- Arbitrage theorem in a new setting -- Modeling term structure and related concepts -- Classical and HJM approach to fixed income -- Classical PDE analysis for interest rate derivatives -- Relating conditional expectations to PDEs -- Pricing derivatives via Fourier transform technique -- Credit spread and credit derivatives -- Stopping times and American-type securities -- Overview of calibration and estimation techniques.
|
| 주제 |
Derivative securities --Mathematics.
|
| ISBN |
9780123846839 (electronic bk.)
0123846838 (electronic bk.)
|
| 기타 표준번호 |
99959171932
|
