Financial Calculus: An Introduction to Derivative Pricing

Financial Calculus
Cambridge University Press 1996-09-28 ISBN: 0521552893 233 pages DjVu 1,7 MB

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.Enjoy this great book! Brought to you by SMIRK
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