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Description of Pricing and Hedging of Derivative Securities |
The theory of pricing and hedging of derivative securities is mathematically sophisticated. This book is an introduction to the use of advanced probability theory in financial economics, presenting the necessary mathematics in a precise and rigorous manner. Professor Nielsen's text enables the reader to approach the journal literature with confidence, apply the methods to new problems, or to do original research in the field.
Readership: Graduate and MBA students studying finance, particularly financial engineering and quantitative finance. Mathematicians looking for an introduction to mathematical finance. Practitioners working in financial markets.
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Reviews'It is clear that Lars Nielsen has both communicated the material and excited his students with his approach.' - Bruce D. Grundy, The Jnl of Financial Research Vol.XXIII, No.3. Fall 2000.
'This is a challenging and rewarding text. It will lead mathematics graduate students toward an interest in the problems of finance. It will lead finance graduate students toward the level of mathematical sophistication neccessary to contribute to the literature in this field. It will also allow some academics currently teaching undergraduate and MBA derivatives courses to confirm or challenge their own often intuitive understanding of pricing, hedging and arbitrage.' - Bruce D. Grundy, The Jnl of Financial Research. Vol.XXIII, No.3. Fall 2000.
'This book will prove valuable for those teaching graduate courses in continuous time finance and for researchers and practitioners who require access to a good reference book.' Economic Journal
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Contents of Pricing and Hedging of Derivative Securities |
1. Stochastic Processes
2. Ito Calculus
3. Gaussian Processes
4. Securities and Trading Strategies
5. The Martingale Valuation Principle
6. The Black-Scholes Model
7. Gaussian Term Structure Models
Appendix A Measure and Probability
Appendix B Lebesgue Integrals and Expectations
Appendix C The Heat Equation
Appendix D Suggested Solutions to Exercises for Chapters 1-7
Appendix E Suggested Solutions to Exercises for Appendix A and B
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