Financial Calculus: An Introduction to Derivative Pricing

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Financial Calculus: An Introduction to Derivative Pricing image
ISBN-10:

0521552893

ISBN-13:

9780521552899

Edition: 17th ed.
Released: Sep 28, 1996
Format: Hardcover, 233 pages
Related ISBN: 9780521557665

Description:

Here is the first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities. With mathematical precision and in a style tailored for market practioners, the authors describe key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model. Starting from discrete-time hedging on binary trees, the authors develop continuous-time stock models (including the Black-Scholes method). They stress practicalities including examples from stock, currency and interest rate markets, all accompanied by graphical illustrations with realistic data. The authors provide a full glossary of probabilistic and financial terms.

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