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Financial Derivatives: Pricing, Applications, and Mathematics

Autor Jamil Baz, George Chacko
en Limba Engleză Paperback – 14 dec 2008
This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter applies the pricing concepts to the special case of interest rate markets, namely, bonds and swaps, and discusses factor models and term structure consistent models. The fourth chapter deals with a variety of mathematical topics that underlie derivatives pricing and portfolio allocation decisions such as mean-reverting processes and jump processes and discusses related tools of stochastic calculus such as Kolmogorov equations, martingale techniques, stochastic control, and partial differential equations.
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Specificații

ISBN-13: 9780521066792
ISBN-10: 0521066794
Pagini: 352
Ilustrații: 16 tables
Dimensiuni: 150 x 226 x 23 mm
Greutate: 0.43 kg
Ediția:1
Editura: Cambridge University Press
Colecția Cambridge University Press
Locul publicării:New York, United States

Cuprins

1. Introduction; 2. Preliminary mathematics; 3. Principles of financial valuation; 4. Interest rate models; 5. Mathematics of asset pricing; 6. Bibliography.

Recenzii

'This introduction to the modeling of financial derivatives is ideal for quantitatively oriented traders, bank researchers, and masters or doctoral students in this field. The book has an elegant balance of concepts and applications that allows a full understanding of why the models work, without an overburden of technical details. Broader than its title suggests, the book contains a strong grounding in models of stochastic processes for financial applications, including portfolio choice and asset pricing theory.' Darrell Duffie, Stanford University
'In Financial Derivatives, Jamil Baz and George Chacko have shown their powerful command of the subject by combining a rigorous mathematical development with an intuitive presentation format that makes the complex analysis of derivative securities truly accessible to both the academic and practitioner who wants a deep foundation and breadth of applications. The discriminating choices of which financial instruments to include and the carefully selected examples to anchor each concept reflect their combined experiences as serious academic researchers, skilled practitioners, and seasoned teachers. The reader is in for a treat: Bon Appétit!' Robert Menton, Nobel Laureate, Harvard Business School
'Jamil Baz and George Chacko have written an invaluable book that combines the technical and the practical aspects of derivatives pricing, interest rate models, and pricing complex financial instruments in a manner that is accessible to the sophisticated and the lay reader. They handle the material in a pedagogical manner which makes it appropriate for graduate level finance courses and practitioners. This book is a must read for those looking to educate themselves on these topics.' Franco Modigliani, Nobel Laureate, MIT
'This book is a summa in the field of financial derivatives that will become the standard reference. The authors have masterfully written a reader-friendly book, accessible to graduate students in finance as well as the practitioner without sacrificing the rigor required to explain the underlying theory.' Sadek Wahba, Managing Director of Morgan Stanley, New York
'… altogether impressive …' Zentralblatt MATH

Notă biografică


Descriere

This book is a graduate level manual on the pricing of financial derivatives.