An Introduction to the Mathematics of Financial DerivativesAn Introduction to the Mathematics of Financial Derivatives, Second Edition, introduces the mathematics underlying the pricing of derivatives. The increased interest in dynamic pricing models stems from their applicability to practical situations: with the freeing of exchange, interest rates, and capital controls, the market for derivative products has matured and pricing models have become more accurate. This updated edition has six new chapters and chapterconcluding exercises, plus one thoroughly expanded chapter. The text answers the need for a resource targeting professionals, Ph.D. students, and advanced MBA students who are specifically interested in financial derivatives. This edition is also designed to become the main text in first year masters and Ph.D. programs for certain courses, and will continue to be an important manual for market professionals and professionals with mathematical, technical, or physics backgrounds. 
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This is a great text. Take it slow in the beginning while reading and make sure everything is clear to you. Everything builds very logically. A great educational tool.
Contents
Financial Derivatives A Brief Introduction  1 
A Primer on the Arbitrage Theorum  13 
Calculus in Deterministic and Stochastic Environments  45 
Pricing Derivatives Models and Notation  77 
Tools in Probability Theory  91 
Martingales and Martingale Representations  119 
Differentation in Stochastic Environments  156 
The Weiner Process and Rare Events in Financial Markets  173 
The BlackScholes PDE  296 
Pricing Derivative Products  312 
Equivalent Martingale Measures  345 
New Results and Tools for InterestSensitive Securities  368 
Arbitrage Theorem in a New Setting Normalization and Random Interest Rates  379 
Modeling Term Structure and Related Concepts  407 
Classical and HJM Approaches to Fixed Income  426 
Classical PDE Analysis for Interest Rate Derivatives  451 
Integration in Stochastic Environments  204 
Itos Lemma  230 
The Dynamics of Derivative Prices  252 
Pricing Derivative Products  275 
Relating Conditional Expectations to PDEs  467 
Stopping Times and AmericanType Securities  489 
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Other editions  View all
An Introduction to the Mathematics of Financial Derivatives Salih N. Neftci No preview available  1996 