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Financial Calculus

Financial Calculus

Hardcover

EconomicsCalculusProbability & Statistics

ISBN10: 0521552893
ISBN13: 9780521552899
Publisher: Cambridge University Press
Published: Sep 19 1996
Pages: 244
Weight: 1.27
Height: 0.72 Width: 6.46 Depth: 9.40
Language: English
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 Heath-Jarrow-Morton model. Starting from discrete-time hedging on binary trees, the authors develop continuous-time stock models (including the Black-Scholes 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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Economics