Financial Calculus
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Book Overview
Here is the first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities. With mathematical precision and in a style tailored for market practioners, the authors describe key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model. Starting from discrete-time hedging on binary trees, the authors develop continuous-time stock models (including the Black-Scholes method). They stress practicalities including examples from stock, currency and interest rate markets, all accompanied by graphical illustrations with realistic data. The authors provide a full glossary of probabilistic and financial terms.
Format:Hardcover
Language:English
ISBN:0521552893
ISBN13:9780521552899
Release Date:September 1996
Publisher:Cambridge University Press
Length:244 Pages
Weight:1.28 lbs.
Dimensions:0.7" x 6.5" x 9.4"
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