| Description |
1 online resource (xiii, 189 pages) : illustrations |
| Bibliography |
Includes bibliographical references (page 178) and index. |
| 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. |
| Subject |
Derivative securities -- Valuation -- Mathematical models.
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Instruments dérivés (Finances) -- Évaluation -- Modèles mathématiques. |
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Derivative securities -- Valuation -- Mathematical models |
| Other Form: |
Print version: Navin, Robert L. Mathematics of derivatives. Hoboken, N.J. : Wiley, ©2007 0470047259 9780470047255 (DLC) 2006017013 (OCoLC)70045770 |
| ISBN |
9781119197034 (electronic bk.) |
|
1119197031 (electronic bk.) |
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9780470099773 (electronic bk.) |
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0470099771 (electronic bk.) |
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(cloth) |
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(cloth) |
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