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| Material Type: | Internet resource |
|---|---|
| Document Type: | Book, Internet Resource |
| All Authors / Contributors: |
P J Hunt; J E Kennedy |
| ISBN: | 0470863587 9780470863589 0470863595 9780470863596 |
| OCLC Number: | 55008440 |
| Description: | xx, 437 p. : ill. ; 23 cm. |
| Contents: | Single-period option pricing -- Brownian motion -- Martingales -- Stochastic integration -- Girsanov and Martingale representation -- Stochastic differential equations -- Option pricing in continuous time -- Dynamic term structure models -- Modelling in practice -- Basic instruments and terminology -- Pricing standard market derivatives -- Futures contracts -- Terminal swap-rate models -- Convexity corrections -- Implied interest rate pricing models -- Multi-currency terminal swap-rate models -- Short-rate models -- Market models -- Markov-functional modelling -- Exercises and solutions. |
| Series Title: | Wiley series in probability and statistics |
| Responsibility: | P.J. Hunt, J.E. Kennedy. |
| More information: |
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