| Description |
1 online resource (xiii, 189 pages) : illustrations |
| Contents |
Introduction to the techniques of derivative modeling -- Preliminary mathematical tools -- Stochastic calculus -- Applications of stochastic calculus to finance -- From stochastic processes formalism to differential equation formalism -- Understanding the Black-Scholes equation -- Interest rate hedging -- Interest rate derivatives : HJM models -- Differential equations, boundary conditions and solutions -- Credit spreads -- Specific models -- Exercises -- Solutions |
| Summary |
Praise for The Mathematics of Derivatives ""The Mathematics of Derivatives provides a concise pedagogical discussion of both fundamental and very recent developments in mathematical finance, and is particularly well suited for readers with a science or engineering background. It is written from the point of view of a physicist focused on providing an understanding of the methodology and the assumptions behind derivative pricing. Navin has a unique and elegant viewpoint, and will help mathematically sophisticated readers rapidly get up to speed in the latest Wall Street f |
| Bibliography |
Includes bibliographical references (page 178) and index |
| Notes |
Print version record |
| Subject |
Derivative securities -- Valuation -- Mathematical models
|
|
BUSINESS & ECONOMICS -- Investments & Securities -- General.
|
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Derivative securities -- Valuation -- Mathematical models
|
| Form |
Electronic book
|
| ISBN |
9781119197034 |
|
1119197031 |
|
9780470099773 |
|
0470099771 |
|
