| Description |
xiv, 282 pages ; 24 cm |
| Contents |
Pt. 1. Fundamentals -- Ch. 1. Price and probability -- Ch. 2. The market equilibrium measure -- Ch. 3. Price as expectation -- Ch. 4. Changing numeraires -- Ch. 5. Changing numeraires : examples -- Ch. 6. No-arbitrage and the min-max argument -- Ch. 7. Conditional price as conditional expectation : the Martingale principle -- Pt. 2. Prices of basic instruments -- Ch. 8. Bonds and interest -- Ch. 9. Forward prices -- Ch. 10. Futures prices -- Ch. 11. Calls and puts -- Ch. 12. Forward rate -- Ch. 13. Swaps and the swap rate -- Ch. 14. Natural time lag and the convexity adjustment -- Ch. 15. Swaption price -- Ch. 16. Volatility and hedging -- Pt. 3. Model prices -- Ch. 17. Option prices in the log-normal case -- Ch. 18. The Black-Scholes model -- Ch. 19. The state space and evolution -- Ch. 20. Gaussian models -- Ch. 21. The X[superscript 2] model -- Ch. 22. Derivation of Green's functions -- Pt. 4. Mathematical tools -- Ch. 23. Elements of measure and integration |
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Ch. 24. Probability theory -- Ch. 25. Stochastic processes -- Ch. 26. Probability and differential equations -- Ch. 27. The Hahn-Banach theorem |
| Bibliography |
Includes bibliographical references (pages 269-271) and index |
| Subject |
Derivative securities -- Prices -- Mathematics.
|
| LC no. |
2004028196 |
| ISBN |
0071445889 hardcover alkaline paper |
|
