An Introduction to the Mathematics of Financial Derivatives

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Academic Press, 2000 - Business & Economics - 527 pages
9 Reviews
An Introduction to the Mathematics of Financial Derivatives is a popular, intuitive text that eases the transition between basic summaries of financial engineering to more advanced treatments using stochastic calculus. Requiring only a basic knowledge of calculus and probability, it takes readers on a tour of advanced financial engineering. This classic title has been revised by Ali Hirsa, who accentuates its well-known strengths while introducing new subjects, updating others, and bringing new continuity to the whole. Popular with readers because it emphasizes intuition and common sense, An Introduction to the Mathematics of Financial Derivatives remains the only "introductory" text that can appeal to people outside the mathematics and physics communities as it explains the hows and whys of practical finance problems. Facilitates readers' understanding of underlying mathematical and theoretical models by presenting a mixture of theory and applications with hands-on learning. Presented intuitively, breaking up complex mathematics concepts into easily understood notions. Encourages use of discrete chapters as complementary readings on different topics, offering flexibility in learning and teaching.
 

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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
Bibliography
509
Subject Index
513

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