MARC Record from marc_nuls

LEADER: 04846cam 2200289 a 4500
001 9920383430001661
005 20150423125725.0
008 991123s2000 caua b 001 0 eng
010 $a 99069121
020 $a0125153929
035 $a(CSdNU)u101017-01national_inst
035 $a(Sirsi) l99069121
035 $a(Sirsi) l99069121
035 $a(Sirsi) 01-AAM-7081
035 $a 99069121
040 $aDLC$cDLC$dDLC$dOrPss
050 00 $aHG 6024 A3$bN44 2000
100 1 $aNeftci, Salih N.
245 13 $aAn introduction to the mathematics of financial derivatives /$cSalih N. Neftci.
250 $a2nd ed.
260 $aSan Diego :$bAcademic Press,$cc2000.
300 $axxvii, 527 p. :$bill. ;$c24 cm.
504 $aIncludes bibliographical references (p. 509-511) and index.
505 0 $aTypes of Derivatives -- Forwards and Futures -- Options -- Swaps -- A Primer on the Arbitrage Theorem -- A Basic Example of Asset Pricing -- A Numerical Example -- An Application: Lattice Models -- Payouts and Foreign Currencies -- Conclusions: A Methodology for Pricing Assets -- Appendix: Generalization of the Arbitrage Theorem -- Calculus in Deterministic and Stochastic Environments -- Some Tools of Standard Calculus -- Functions -- Convergence and Limit -- Partial Derivatives -- Pricing Derivatives: Models and Notation -- Pricing Functions -- Application: Another Pricing Method -- The Problem -- Tools in Probability Theory -- Probability -- Moments -- Conditional Expectations -- Some Important Models -- Markov Processes and Their Relevance -- Convergence of Random Variables -- Martingales and Martingale Representations -- The Use of Martingales in Asset Pricing -- Relevance of Martingales in Stochastic Modeling -- Properties of Martingale Trajectories -- Examples of Martingales -- The Simplest Martingale -- Martingale Representations -- The First Stochastic Integral -- Martingale Methods and Pricing -- A Pricing Methodology -- Differentiation in Stochastic Environments -- Motivation -- A Framework for Discussing Differentiation -- The "Size" of Incremental Errors -- One Implication -- Putting the Results Together -- The Wiener Process and Rare Events in Financial Markets -- Two Generic Models -- SDE in Discrete Intervals, Again -- Characterizing Rare and Normal Events -- A Model for Rare Events -- Moments That Matter -- Rare and Normal Events in Practice -- Integration in Stochastic Environments: The Ito Integral -- The Ito Integral -- Properties of the Ito Integral -- Other Properties of the Ito Integral -- Integrals with Respect to Jump Processes -- Ito's Lemma -- Types of Derivatives -- Ito's Lemma -- The Ito Formula -- Uses of Ito's Lemma -- Integral Form of Ito's Lemma -- Ito's Formula in More Complex Settings -- The Dynamics of Derivative Prices: Stochastic Differential Equations -- A Geometric Description of Paths Implied by SDEs -- Solution of SDEs -- Major Models of SDEs -- Stochastic Volatility -- Pricing Derivative Products: Partial Differential Equations -- Forming Risk-Free Portfolios -- Accuracy of the Method -- Partial Differential Equations -- Classification of PDEs -- A Reminder: Bivariate, Second-Degree Equations -- Types of PDEs -- The Black--Scholes PDE: An Application -- The Black--Scholes PDE -- PDEs in Asset Pricing -- Exotic Options -- Solving PDEs in Practice -- Pricing Derivative Products: Equivalent Martingale Measures -- Translations of Probabilities -- Changing Means -- The Girsanov Theorem -- Statement of the Girsanov Theorem -- A Discussion of the Girsanov Theorem -- Which Probabilities? -- A Method for Generating Equivalent Probabilities -- Equivalent Martingale Measures: Applications -- A Martingale Measure -- Converting Asset Prices into Martingales -- Application: The Black--Scholes Formula -- Comparing Martingale and PDE Approaches -- New Results and Tools for Interest-Sensitive Securities -- Interest Rate Derivatives -- Complications -- Arbitrage Theorem in a New Setting: Normalization and Random Interest Rates -- A Model for New Instruments -- Modeling Term Structure and Related Concepts -- Main Concepts -- A Bond Pricing Equation -- Forward Rates and Bond Prices -- Conclusions: Relevance of the Relationships -- Classical and HJM Approaches to Fixed Income -- The Classical Approach -- The HJM Approach to Term Structure -- How to Fit r[subscript t] to Initial Term Structure -- Classical PDE Analysis for Interest Rate Derivatives -- The Framework -- Market Price of Interest Rate Risk -- Derivation of the PDE -- Closed-Form Solutions of the PDE -- Relating Conditional Expectations to PDEs -- From Conditional Expectations to PDEs.
650 0 $aDerivative securities$xMathematics.
948 $a03/24/2002$b03/26/2002
999 $aHG 6024 A3 N44 2000$wLC$c1$i31786101608278$d4/22/2004$f4/22/2004$g1 $lCIRCSTACKS$mNULS$rY$sY$tBOOK$u3/26/2002