Financial Derivatives in Theory and PracticeJohn Wiley & Sons, 19.11.2004 - 472 Seiten The term Financial Derivative is a very broad term which has come to mean any financial transaction whose value depends on the underlying value of the asset concerned. Sophisticated statistical modelling of derivatives enables practitioners in the banking industry to reduce financial risk and ultimately increase profits made from these transactions. The book originally published in March 2000 to widespread acclaim. This revised edition has been updated with minor corrections and new references, and now includes a chapter of exercises and solutions, enabling use as a course text.
A valuable text for practitioners in research departments of all banking and finance sectors. Academic researchers and graduate students working in mathematical finance. |
Inhalt
Part II Practice | 213 |
Orientation Pricing Exotic European Derivatives | 259 |
Orientation Pricing Exotic American and PathDependent Derivatives | 315 |
Appendix 1 The Usual Conditions | 417 |
Appendix 2 L2 Spaces | 419 |
Appendix 3 Gaussian Calculations | 421 |
| 423 | |
| 427 | |
Andere Ausgaben - Alle anzeigen
Financial Derivatives in Theory and Practice Philip Hunt,Joanne Kennedy Keine Leseprobe verfügbar - 2004 |
Häufige Begriffe und Wortgruppen
apply arbitrage arbitrage-free asset price Brownian motion c`adl`ag calibrating caplet cashflows Chapter complete consider continuous semimartingale convergence Corollary corresponding counterparty define definition denote discount bond discount curve discount factors distribution economy equation example exists exponential filtration finite finite variation follows forward LIBOR functional form futures contract Girsanov’s theorem given hold integrands interest rate Lemma linear log-normal market models Markov process Markov-functional model martingale measure martingale property martingale representation theorem mean reversion measure Q Note numeraire pair payment payoff portfolio price process pricing kernel probability measure probability space Proof quadratic variation random variable Remark replicating result risk-neutral measure satisfies Section sequence short-rate models solution Statistical stochastic integral stopping strictly positive Suppose swap rate swaption term structure model terminal swap-rate model trading strategy vanilla zero
Verweise auf dieses Buch
Efficient Methods for Valuing Interest Rate Derivatives Antoon Pelsser Eingeschränkte Leseprobe - 2000 |
Option Pricing, Interest Rates and Risk Management Elyès Jouini,Jakša Cvitanić,Marek Musiela Keine Leseprobe verfügbar - 2001 |