Financial Calculus: An Introduction to Derivative Pricing / Edition 17

ISBN-13:	9780521552899
Publisher:	Cambridge University Press
Publication date:	09/19/1996
Edition description:	New Edition
Pages:	244
Sales rank:	79,813
Product dimensions:	6.46(w) x 9.41(h) x 0.71(d)

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.