Synopses & Reviews
Derivatives are financial entities whose value is derived from the value of other more concrete assets such as stocks and commodities. They are an important ingredient of modern financial markets.
This book covers mathematical modeling of financial markets and rational pricing of derivatives, a theory which underpins modern financial practice. Emphasizing clarity and rigor throughout, the theme is the problem of finding a fair price for a derivative.
Table of Contents
Derivative Pricing and Hedging.- A Simple Market Model.- Single-Period Models.- Multi-Period Models: No-Arbitrage Pricing.- Multi-Period Models: Risk-Neutral Pricing.- The Cox-Ross-Rubinstein model.- American Options.- Advanced Topics.