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An introduction to the mathematics of financial derivatives

Author: Salih N Neftci
Publisher: San Diego : Academic Press, ©2000.
Edition/Format:   Print book : English : 2nd edView all editions and formats
Summary:
"The step-by-step approach of this book makes it one of the most accessible and popular explanations of the mathematical models used to price derivatives. For the Second Edition, Salih Neftci has thoroughly expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He does not assume that the reader has a thorough mathematical background, and the math is lucid and fresh. His explanations of  Read more...
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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Salih N Neftci
ISBN: 0125153929 9780125153928
OCLC Number: 44413717
Description: xxvii, 527 pages : illustrations ; 24 cm
Contents: Financial derivatives : a brief introduction --
A primer on the arbitrage theorem --
Calculus in deterministic and stochastic environments --
Pricing derivatives : models and notation --
Tools in probability theory --
Martingales and martingale representations --
Differentiation in stochastic environments --
The Wiener process and rare events in financial markets --
Integration in stochastic environments : the Ito integral --
Ito's lemma --
The dynamics of derivative prices : stochastic differential equations --
Pricing derivative products : partial differential equations --
The Black-Scholes PDE : an application --
Pricing derivative products : equivalent martingale measures --
Equivalent martingale measures : applications --
New results and tools for interest-sensitive securities --
Arbitrage theorem in a new setting : normalization and random interest rates --
Modeling term structure and related concepts --
Classical and HJM approaches to fixed income --
Classical PDE analysis for interest rate derivatives --
Relating conditional expectations to PDEs --
Stopping times and American-type securities.
Responsibility: Salih N. Neftci.
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Abstract:

A step-by-step explanation of the mathematical models used to price derivatives. For this second edition, Salih Neftci has expanded one chapter, added six new ones, and inserted chapter-concluding  Read more...

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Praise for the First Edition:"An excellent treatment of the mathematics underlying the pricing of derivatives."- John Hull, University of Toronto, Canada"This book will be a major convenience to Read more...

 
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