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Mathematical Models of Financial Derivatives / by Yue-Kuen Kwok; edited by M. Avellaneda, G. Barone-Adesi, M. Broadie, M. H. A. Davis, E. Derman, C. Klüppelberg, E. Kopp, W. Schachermayer
Contributor(s): Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: Springer Finance | SpringerLink BücherPublisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 2008Edition: 2Description: Online-Ressource (XV, 530 p, digital)ISBN:- 9783540686880
- 519
- 003.3 23
- 332.645
- HB135-147
- HG6024.A3
Contents:
Summary: to Derivative Instruments -- Financial Economics and Stochastic Calculus -- Option Pricing Models: Black–Scholes–Merton Formulation and Martingale Pricing Theory -- Path Dependent Options -- American Options -- Numerical Schemes for Pricing Options -- Interest Rate Models and Bond Pricing -- Interest Rate Derivatives: Bond Options, LIBOR and Swap Products.Summary: Mathematical Models of Financial Derivatives is a textbook on the theory behind modeling derivatives using the financial engineering approach, focussing on the martingale pricing principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analyzed, emphasizing on the aspects of pricing, hedging and their risk management. Starting from the renowned Black-Scholes-Merton formulation of option pricing model, readers are guided through the text on the new advances on the state-of-the-art derivative pricing models and interest rate models. Both analytic techniques and numerical methods for solving various types of derivative pricing models are emphasized. The second edition presents a substantial revision of the first edition. The continuous-time martingale pricing theory is motivated through analysis of the underlying financial economics principles within a discrete-time framework. A large collection of closed-form formulas of various forms of exotic equity and fixed income derivatives are documented. The most recent research results and methodologies are made accessible to readers through the extensive set of exercises at the end of each chapter. Yue-Kuen Kwok is Professor of Mathematics at Hong Kong University of Science and Technology. He is the author of over 80 research papers and several books, including Applied Complex Variables. He is an associate editor of Journal of Economic Dynamics and Control and Asia-Pacific Financial Markets.PPN: PPN: 1647253160Package identifier: Produktsigel: ZDB-2-SEB | ZDB-2-SXMS | ZDB-2-SMA
""Preface""; ""Objectives and Audience""; ""Guide to the Chapters""; ""Acknowledgement""; ""Final Words on the Book Cover Design""; ""Contents""; ""Introduction to Derivative Instruments""; ""Financial Options and Their Trading Strategies""; ""Trading Strategies Involving Options""; ""Rational Boundaries for Option Values""; ""Effects of Dividend Payments""; ""Put-Call Parity Relations""; ""Foreign Currency Options""; ""Forward and Futures Contracts""; ""Values and Prices of Forward Contracts""; ""Relation between Forward and Futures Prices""; ""Swap Contracts""; ""Interest Rate Swaps""
""Currency Swaps""""Problems""; ""Financial Economics and Stochastic Calculus""; ""Single Period Securities Models""; ""Dominant Trading Strategies and Linear Pricing Measures""; ""Arbitrage Opportunities and Risk Neutral Probability Measures""; ""Valuation of Contingent Claims""; ""Principles of Binomial Option Pricing Model""; ""Filtrations, Martingales and Multiperiod Models""; ""Information Structures and Filtrations""; ""Conditional Expectations and Martingales""; ""Stopping Times and Stopped Processes""; ""Multiperiod Securities Models""; ""Multiperiod Binomial Models""
""Asset Price Dynamics and Stochastic Processes""""Random Walk Models""; ""Brownian Processes""; ""Stochastic Calculus: Ito's Lemma and Girsanov's Theorem""; ""Stochastic Integrals""; ""Ito's Lemma and Stochastic Differentials""; ""Ito's Processes and Feynman-Kac Representation Formula""; ""Change of Measure: Radon-Nikodym Derivative and Girsanov's Theorem""; ""Problems""; ""Option Pricing Models: Black-Scholes-Merton Formulation""; ""Black-Scholes-Merton Formulation""; ""Riskless Hedging Principle""; ""Dynamic Replication Strategy""; ""Risk Neutrality Argument""
""Martingale Pricing Theory""""Equivalent Martingale Measure and Risk Neutral Valuation""; ""Black-Scholes Model Revisited""; ""Black-Scholes Pricing Formulas and Their Properties""; ""Pricing Formulas for European Options""; ""Comparative Statics""; ""Extended Option Pricing Models""; ""Options on a Dividend-Paying Asset""; ""Futures Options""; ""Chooser Options""; ""Compound Options""; ""Merton's Model of Risky Debts""; ""Exchange Options""; ""Equity Options with Exchange Rate Risk Exposure""; ""Beyond the Black-Scholes Pricing Framework""; ""Transaction Costs Models""
""Jump-Diffusion Models""""Implied and Local Volatilities""; ""Stochastic Volatility Models""; ""Problems""; ""Path Dependent Options""; ""Barrier Options""; ""European Down-and-Out Call Options""; ""Transition Density Function and First Passage Time Density""; ""Options with Double Barriers""; ""Discretely Monitored Barrier Options""; ""Lookback Options""; ""European Fixed Strike Lookback Options""; ""European Floating Strike Lookback Options""; ""More Exotic Forms of European Lookback Options""; ""Differential Equation Formulation""; ""Discretely Monitored Lookback Options""
""Asian Options""
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