MARC Record from harvard_bibliographic_metadata

LEADER: 02502cam a2200289 a 4500
001 009602129-2
005 20050412205820.0
008 991123s2000 caua b 001 0 eng
010 $a 99069121
015 $aGBA1-18778
020 $a0125153929
035 0 $aocm44413717
040 $aDLC$cDLC$dUKM$dLVB
050 00 $aHG6024.A3$bN44 2000
082 00 $a332.63/2$221
100 1 $aNeftci, Salih N.
245 13 $aAn introduction to the mathematics of financial derivatives /$cSalih N. Neftci.
250 $a2nd ed.
260 $aAmsterdam ;$aBoston :$bAcademic Press,$cc2000.
300 $axxvii, 527 p. :$bill. ;$c24 cm.
504 $aIncludes bibliographical references (p. 509-511) and index.
505 0 $aFinancial derivatives : a brief introduction -- A primer on the arbitrage theorem -- Calculus in deterministic and stochastic environments -- Pricing derivatives : models and notation -- Tools in probability theory -- Martingales and martingale representations -- Differentiation in stochastic environments -- The Wiener process and rare events in financial markets -- Integration in stochastic environments : the Ito integral -- Ito's lemma -- The dynamics of derivative prices : stochastic differential equations -- Pricing derivative products : partial differential equations -- The Black-Scholes PDE : an application -- Pricing derivative products : equivalent martingale measures -- Equivalent martingale measures : applications -- New results and tools for interest-sensitive securities -- Arbitrage theorem in a new setting : normalization and random interest rates -- Modeling term structure and related concepts -- Classical and HJM approaches to fixed income -- Classical PDE analysis for interest rate derivatives -- Relating conditional expectations to PDEs -- Stopping times and American-type securities.
520 1 $a"The step-by-step approach of this book makes it one of the most accessible and popular explanations of the mathematical models used to price derivatives. For the Second Edition, Salih Neftci has thoroughly expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He does not assume that the reader has a thorough mathematical background, and the math is lucid and fresh. His explanations of financial calculus are remarkable for their simplicity and perception."--BOOK JACKET.
650 0 $aDerivative securities$xMathematics.
650 6 $aInstruments dérivés (Finances)$xMathématiques.
988 $a20050412
906 $0DLC