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Book Cover
Book
Author Hunt, P. J. (Philip James), 1964-

Title Financial derivatives in theory and practice / P.J. Hunt, J.E. Kennedy
Edition Revised edition
Published Southern Gate, Chichester, West Sussex, England ; Hoboken, NJ : John Wiley & Sons, [2004]
©2004

Copies

Location Call no. Vol. Availability
 MELB  332.6457 Hun/Fdi 2004  AVAILABLE
Description xx, 437 pages : illustrations ; 23 cm
Series Wiley series in probability and statistics
Wiley series in probability and statistics.
Contents Pt. I. Theory -- 1. Single-period option pricing -- 2. Brownian motion -- 3. Martingales -- 4. Stochastic integration -- 5. Girsanov and Martingale representation -- 6. Stochastic differential equations -- 7. Option pricing in continuous time -- 8. Dynamic term structure models -- Pt. II. Practice -- 9. Modelling in practice -- 10. Basic instruments and terminology -- 11. Pricing standard market derivatives -- 12. Futures contracts -- Orientation : pricing exotic European derivatives -- 13. Terminal swap-rate models -- 14. Convexity corrections -- 15. Implied interest rate pricing models -- 16. Multi-currency terminal swap-rate models -- Orientation : pricing exotic American and path-dependent derivatives -- 17. Short-rate models -- 18. Market models -- 19. Markov-functional modelling -- 20. Exercises and solutions -- App. 1. The usual conditions -- App. 2. L[superscript 2] spaces -- App. 3. Gaussian calculations
Summary "Originally published in 2000, Financial Derivatives in Theory and Practice is a complete account of the mathematics underlying derivative pricing and a guide to applying these ideas to solve real pricing problems. It is aimed at practitioners and researchers who wish to understand the latest finance literature and develop their own pricing models. This revised edition has been updated with minor corrections, and now includes a dedicated chapter of exercises and solutions. This book is ideal for masters and postgraduate students of mathematical finance, stochastic calculus and derivatives pricing."--BOOK JACKET
Notes Formerly CIP. Uk
Bibliography Includes bibliographical references (pages [423]-426) and index
Subject Derivative securities.
Author Kennedy, J. E.
LC no. 2004049748
ISBN 0470863595 paperback alkaline paper
0470863587 cased alkaline paper