Quantitative Modeling of Derivative Securities: From Theory To Practice

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CRC Press, Sep 17, 1999 - Mathematics - 336 pages
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Quantitative Modeling of Derivative Securities demonstrates how to take the basic ideas of arbitrage theory and apply them - in a very concrete way - to the design and analysis of financial products. Based primarily (but not exclusively) on the analysis of derivatives, the book emphasizes relative-value and hedging ideas applied to different financial instruments. Using a "financial engineering approach," the theory is developed progressively, focusing on specific aspects of pricing and hedging and with problems that the technical analyst or trader has to consider in practice.

More than just an introductory text, the reader who has mastered the contents of this one book will have breached the gap separating the novice from the technical and research literature.
 

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Contents

The Binomial Option Pricing Model
21
Analysis of the BlackScholes Formula
41
Refinements of the Binomial Model
57
References and Further Reading
76
References and Further Reading
88
References and Further Reading
106
References and Further Reading
122
Ito Processes ContinuousTime Martingales
161
An Introduction
171
Valuation of Derivative Securities
183
FixedIncome Securities and the TermStructure of Interest Rates
199
The HeathJarrowMorton Theorem and Multidimensional
229
ExponentialAffine Models
253
InterestRate Options
279
Index
313
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Page 312 - Martingale Methods in Financial Modelling, Applications of Mathematics, vol. 36, Springer- Verlag, Berlin.

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