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Pricing Derivative Securities (2nd Edition),Used
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This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masterslevel programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods. The chapters are organized around the assumptions made about the dynamics of underlying price processes. Readers begin with simple, discretetime models that require little mathematical sophistication, proceed to the basic BlackScholes theory, and then advance to continuoustime models with multiple risk sources. The second edition takes account of the major developments in the field since 2000. New topics include the use of simulation to price Americanstyle derivatives, a new onestep approach to pricing options by inverting characteristic functions, and models that allow jumps in volatility and Markovdriven changes in regime. The new chapter on interestrate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement to the text, the book contains an accompanying CDROM with userfriendly FORTRAN, C++, and VBA program components.
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