A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.

Klappentext The first rigorous and accessible account of the mathematics behind the pricing! construction! and hedging of derivative securities! this book explains! with mathematical precision and in a style tailored for market practitioners! such key concepts as martingales! change of measure! and the Heath-Jarrow-Morton model. A full Glossary of probabilistic and financial terms is provided along with graphical illustrations with realistic data. Zusammenfassung Here is a rigorous and accessible account of the mathematics behind the pricing! construction and hedging of derivative securities. An essential purchase for market practitioners! quantitative analysts! and derivatives traders! whether existing or trainees! in investment banks in the major financial centres throughout the world. Inhaltsverzeichnis The parable of the bookmaker; 1. Introduction; 2. Discrete processes; 3. Continuous processes; 4. Pricing market securities; 5. Interest rates; 6. Bigger models; Appendix 1. Further reading; Appendix 2. Notation; Appendix 3. Answers to exercises; Appendix 4. Glossary of technical terms; Index.

Zusammenfassung
Here is a rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities. An essential purchase for market practitioners, quantitative analysts, and derivatives traders, whether existing or trainees, in investment banks in the major financial centres throughout the world.

Inhalt

The parable of the bookmaker; 1. Introduction; 2. Discrete processes; 3. Continuous processes; 4. Pricing market securities; 5. Interest rates; 6. Bigger models; Appendix 1. Further reading; Appendix 2. Notation; Appendix 3. Answers to exercises; Appendix 4. Glossary of technical terms; Index.