Financial Calculus: An Introduction to Derivative Pricing

Financial Calculus: An Introduction to Derivative Pricing

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SKU: DADAX0521552893
UPC: 9780521552899
Brand: Cambridge University Press
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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 HeathJarrowMorton model. Starting from discretetime hedging on binary trees, the authors develop continuoustime stock models (including the BlackScholes 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.

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