Financial Derivatives in Theory and Practice
John Wiley and Sons, Jul 2, 2004 - Business & Economics - 437 pages
The term Financial Derivative is a very broad term which has come to mean any financial transaction whose value depends on the underlying value of the asset concerned. Sophisticated statistical modelling of derivatives enables practitioners in the banking industry to reduce financial risk and ultimately increase profits made from these transactions.
The book originally published in March 2000 to widespread acclaim. This revised edition has been updated with minor corrections and new references, and now includes a chapter of exercises and solutions, enabling use as a course text.
A valuable text for practitioners in research departments of all banking and finance sectors. Academic researchers and graduate students working in mathematical finance.
Girsanov and Martingale Representation
Stochastic Differential Equations
Option Pricing in Continuous Time
Dynamic Term Structure Models
Modelling in Practice
Basic Instruments and Terminology
Pricing Exotic European Derivatives
Implied Interest Rate Pricing Models
MultiCurrency Terminal SwapRate Models
Exercises and Solutions
Pricing Standard Market Derivatives
The Usual Conditions