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Financial derivatives in theory and practice

Author: P J Hunt; J E Kennedy
Publisher: Southern Gate, Chichester, West Sussex, England Hoboken, NJ : John Wiley & Sons, ©2004.
Series: Wiley series in probability and statistics
Edition/Format: Book : English : Rev. edView all editions and formats
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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.
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