Financial Derivatives in Theory and Practice - Couverture rigide

Hunt, P.J.; Kennedy, Joanne

Couverture rigide

ISBN 10 : 0471967173 ISBN 13 : 9780471967170

Editeur : John Wiley & Sons Ltd, 2000

Synopsis

This book brings together in one volume both a complete, rigorous and yet readable 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. The authors' combination of strong theoretical knowledge and extensive market experience make this book particularly relevant for those interested in real world applications of mathematical finance. Features: detailed coverage of interest rate derivatives, from 'vanilla' instruments through to many of the more exotic products currently being traded overview of popular term structure models along with their relationships to each other (including Heath-Jarrow-Morton, short rate models and the latest market models) explanation of numeraires as a modelling and pricing tool pricing models for constant maturity swaps and other convexity products models and efficient algorithms for path-dependent and Bermudan swaptions insights into how to go about pricing products beyond those treated in the text accessible yet rigorous treatment of the stochastic calculus required for option pricing

A propos du livre

Présentation de l'éditeur

This book brings together in one volume both a complete, rigorous and yet readable 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. The authors′ combination of strong theoretical knowledge and extensive market experience make this book particularly relevant for those interested in real world applications of mathematical finance.

Features:

• detailed coverage of interest rate derivatives, from ′vanilla′ instruments through to many of the more exotic products currently being traded
• overview of popular term structure models along with their relationships to each other (including Heath–Jarrow–Morton, short rate models and the latest market models)
• explanation of numeraires as a modelling and pricing tool
• pricing models for constant maturity swaps and other convexity products
• models and efficient algorithms for path–dependent and Bermudan swaptions
• insights into how to go about pricing products beyond those treated in the text
• accessible yet rigorous treatment of the stochastic calculus required for option pricing

Revue de presse

"This one adopts the mathematics text style of approach...But, it is not a dry book...The book is deep and detailed..." ( Short Book Reviews, Vol. 20, No. 3, December 2000)

"...It sets a new high standard for future texts on mathematical finance..." (The Statistician, Vol.51, No.2, 2002)

Détails de l'édition

• Éditeur: John Wiley & Sons Ltd
• Date d'édition: 2000
• Langue: anglais
• ISBN 10: 0471967173
• ISBN 13: 9780471967170
• Reliure: Relié
• Nombre de pages: 422
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible