An Introduction to the Mathematics of Financial Derivatives 2nd edition by Salih N. Neftci – Ebook PDF Instant Download/Delivery: 0080478646 , 978-0080478647
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ISBN 10: 0080478646
ISBN 13: 978-0080478647
Author: Salih N. Neftci
An Introduction to the Mathematics of Financial Derivatives, Second Edition, introduces the mathematics underlying the pricing of derivatives.
The increased interest in dynamic pricing models stems from their applicability to practical situations: with the freeing of exchange, interest rates, and capital controls, the market for derivative products has matured and pricing models have become more accurate. This updated edition has six new chapters and chapter-concluding exercises, plus one thoroughly expanded chapter. The text answers the need for a resource targeting professionals, Ph.D. students, and advanced MBA students who are specifically interested in financial derivatives.
This edition is also designed to become the main text in first year masters and Ph.D. programs for certain courses, and will continue to be an important manual for market professionals and professionals with mathematical, technical, or physics backgrounds.
An Introduction to the Mathematics of Financial Derivatives 2nd Table of contents:
Chapter 1: Financial Derivatives: A Brief Introduction
Chapter 2: A Primer on the Arbitrage Theorum
Chapter 3: Calculus in Deterministic and Stochastic Environments
Chapter 4: Pricing Derivatives: Models and Notation
Chapter 5: Tools in Probability Theory
Chapter 6: Martingales and Martingale Representations
Chapter 7: Differentation in Stochastic Environments
Chapter 8: The Weiner Process and Rare Events in Financial Markets
Chapter 9: Integration in Stochastic Environments
Chapter 10: Ito’s Lemma
Chapter 11: The Dynamics of Derivative Prices
Chapter 12: Pricing Derivative Products
Chapter 13: The Black-Scholes PDE
Chapter 14: Pricing Derivative Products
Chapter 15: Equivalent Martingale Measures
Chapter 16: New Results and Tools for Interest-Sensitive Securities
Chapter 17: Arbitrage Theorem in a New Setting: Normalization and Random Interest Rates
Chapter 18: Modeling Term Structure and Related Concepts
Chapter 19: Classical and HJM Approaches to Fixed Income
Chapter 20: Classical PDE Analysis for Interest Rate Derivatives
Chapter 21: Relating Conditional Expectations to PDEs
Chapter 22: Stopping Times and American-Type Securities
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