Overview
Mathematical Models of Financial Derivatives is a textbook on the theory behindmodeling derivatives and their risk management, focussing on the valuationprinciples that are common to most derivative securities. A wide range offinancial derivatives commonly traded in the equity and fixed income markets areanalyzed, emphasizing on aspects of pricing, hedging and practical usage. Thereaders are guided through the text on new advances in analytic techniques andnumerical methods for solving various types of derivative pricing models. Inthis second edition, more emphasis has been placed on the discussion of Itocalculus and Girsanov's Theorem; and in particular, the concepts of risk neutralmeasure and equivalent martingale pricing approach. A new chapter on credit riskmodels and pricing of credit derivatives has been added. Most recent researchresults and concepts are made accessible to the readers through extensive, wellthought out exercises at the end of each chapter.
Full Product Details
Author: Yue-Kuen Kwok
Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition: Second Edition 2008
Dimensions:
Width: 15.50cm
, Height: 3.00cm
, Length: 23.50cm
Weight: 0.980kg
ISBN: 9783540422884
ISBN 10: 3540422889
Pages: 530
Publication Date: 09 July 2008
Audience:
College/higher education
,
Professional and scholarly
,
Undergraduate
,
Postgraduate, Research & Scholarly
Format: Hardback
Publisher's Status: Active
Availability: In Print
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Reviews
From the reviews of the second edition: Mathematical Models of Financial Derivatives is a ! comprehensive collection of known facts and techniques, as well as a methodologically thought-through textbook on derivative pricing in financial markets. The book is written both for a novice who will profit from its numerous and well-conceived exercises, and a practitioner who wants to brush up on finer points of the classical pricing theory behind a specific financial product. ! it will certainly attract many a non-mathematician with an interest in quantitative methods in finance ! . (Gordan A itkovic, The Mathematical Association of America, March, 2009) This book is written mainly as a textbook of modeling on derivative pricing theory for the students in financial engineering, computational finance etc. It provides basic knowledge of mathematical theory and applications of the financial derivatives. ! This book can also be used as an Instructor's Manual of reference of those in financial institutions. (Gong Guanglu, Zentralblatt MATH, Vol. 1146, 2008)
From the reviews of the second edition: ""Mathematical Models of Financial Derivatives is a … comprehensive collection of known facts and techniques, as well as a methodologically thought-through textbook on derivative pricing in financial markets. The book is written both for a novice who will profit from its numerous and well-conceived exercises, and a practitioner who wants to brush up on finer points of the classical pricing theory behind a specific financial product. … it will certainly attract many a non-mathematician with an interest in quantitative methods in finance … ."" (Gordan Žitkovic, The Mathematical Association of America, March, 2009) ""This book is written mainly as a textbook of modeling on derivative pricing theory for the students in financial engineering, computational finance etc. It provides basic knowledge of mathematical theory and applications of the financial derivatives. … This book can also be used as an Instructor’s Manual of reference of those in financial institutions."" (Gong Guanglu, Zentralblatt MATH, Vol. 1146, 2008)
Author Information
Yue-Kuen Kwok is Professor and Program Director of MSc in Mathematics (Financial Mathematics and Statistics) at the Department of Mathematics of Hong Kong University of Science and Technology
