| Edition |
2nd ed. |
| Description |
1 online resource (xxvii, 527 pages) : illustrations |
| Physical Medium |
polychrome |
| Description |
text file |
| Bibliography |
Includes bibliographical references (pages 509-511) and index. |
| Contents |
Financial derivatives : a brief introduction -- A primer on the arbitrage theorem -- Calculus in deterministic and stochastic environments -- Pricing derivatives : models and notation -- Tools in probability theory -- Martingales and martingale representations -- Differentiation in stochastic environments -- The Wiener process and rare events in financial markets -- Integration in stochastic environments : the Ito integral -- Ito's lemma -- The dynamics of derivative prices : stochastic differential equations -- Pricing derivative products : partial differential equations -- The Black-Scholes PDE : an application -- Pricing derivative products : equivalent martingale measures -- Equivalent martingale measures : applications -- New results and tools for interest-sensitive securities -- Arbitrage theorem in a new setting : normalization and random interest rates -- Modeling term structure and related concepts -- Classical and HJM approaches to fixed income -- Classical PDE analysis for interest rate derivatives -- Relating conditional expectations to PDEs -- Stopping times and American-type securities. |
| Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
| Subject |
Derivative securities -- Mathematics.
|
|
Derivative securities -- Mathematics. |
|
Derivative securities. |
|
Securities -- Mathematics.
|
|
Securities. |
|
Mathematics. |
| Genre/Form |
Electronic books.
|
| Other Form: |
Print version: Neftci, Salih N. Introduction to the mathematics of financial derivatives. 2nd ed. San Diego : Academic Press, ©2000 0125153929 (DLC) 99069121 (OCoLC)44413717 |
| ISBN |
9780080478647 (electronic book) |
|
0080478646 (electronic book) |
|
9780125153928 (print) |
|
0125153929 (print) |
|
