Mathematical Models of Financial Derivatives

By:

Yue-Kuen Kwok

Format:

Hardback

Series:

Springer Finance Textbooks

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Description

Mathematical Models of Financial Derivatives is a textbook on the theory behindmodeling derivatives and their risk management, focussing on the valuationprinciples that are common to most derivative securities. A wide range offinancial derivatives commonly traded in the equity and fixed income markets areanalyzed, emphasizing on aspects of pricing, hedging and practical usage. Thereaders are guided through the text on new advances in analytic techniques andnumerical methods for solving various types of derivative pricing models. Inthis second edition, more emphasis has been placed on the discussion of Itocalculus and Girsanov's Theorem; and in particular, the concepts of risk neutralmeasure and equivalent martingale pricing approach. A new chapter on credit riskmodels and pricing of credit derivatives has been added. Most recent researchresults and concepts are made accessible to the readers through extensive, wellthought out exercises at the end of each chapter.

Author Biography:

Yue-Kuen Kwok is Professor and Program Director of MSc in Mathematics (Financial Mathematics and Statistics) at the Department of Mathematics of Hong Kong University of Science and Technology

Release date Australia

July 9th, 2008

Author

Yue-Kuen Kwok

Audiences

Postgraduate, Research & Scholarly
Professional & Vocational
Undergraduate

Edition

2nd ed. 2008

Illustrations

XV, 530 p.

Pages

530

Series

Springer Finance Textbooks

Dimensions

156x234x30

ISBN-13

9783540422884

Product ID

2494846

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