Mathematical Models of Financial Derivatives

Released on by Yue-Kuen Kwok
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  • Mathematical Models of Financial Derivatives Book Detail

  • Author : Yue-Kuen Kwok
  • Release Date : 2008-07-10
  • Publisher : Springer Science & Business Media
  • Genre : Mathematics
  • Pages : 541
  • ISBN 13 : 3540686886
  • File Size : 99,99 MB
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Mathematical Models of Financial Derivatives by Yue-Kuen Kwok PDF Summary

Book Description: This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.

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Any financial asset that is openly traded has a market price. Except for extreme market conditions, market price may be more or less than a “fair” value. Fa