Mathematical Models Of Financial Derivatives

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ISBN:9783540422884
Editorial: Springer
Fecha de la edición:2003
Número de la edición: 2
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Nº Pág.:500
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/ Economía Cuantitativa

This second edition, with added and updated material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasizing aspects of pricing, hedging and practical usage. This edition features additional emphasis on the discussion of Ito calculus and Girsanov's Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added.