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- Product code: 9604
- ISBN: 0521584248,
ISBN13: 9780521584241,
600 pages, hardback
Published by Cambridge University Press on 1998
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Description of Mathematics of Derivative Securities |
During 1995 the Isaac Newton Institute for the Mathematical Sciences at Cambridge University hosted a six month research program on financial mathematics. During this period more than 300 scholars and financial practitioners attended to conduct research and to attend more than 150 research seminars. Many of the presented papers were on the subject of financial derivatives. The very best were selected to appear in this volume. They range from abstract financial theory to practical issues pertaining to the pricing and hedging of interest rate derivatives and exotic options in the market place. Hence this book will be of interest to both academic scholars and financial engineers.
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Contents of Mathematics of Derivative Securities |
PART I: Introduction
- Stochastic calculus and Markov methods
- Characteristics of economic equilibria which support Black-Scholes option pricing
- On the numeraire portfolio
PART II: Option Pricing and Hedging
- Convergence of Snell envelopes and critical prices in the American Put
- Some combinations of Asian, Parisian and Barrier options
- Pricing and hedging with smiles
- Filtering derivative security valuations from market prices
- Option pricing in the presence of extreme fluctuations
PART III: Valuation and Hedging With Market Imperfections
- Hedging long maturity commodity commitments with short-dated futures contracts
- Nonlinear financial markets: hedging portfolio optimization
- Semimartingales and asset pricing under constraints
- Option pricing in incomplete markets
- Option pricing and hedging in discrete time with transaction costs
PART IV: Term Structure and Interest rate Derivatives
- Bond and bond option pricing on the current term structure
- Dynamic models for yield curve evolution
- General interest-rate models and the universality of HJM
- Swap derivatives in a Gaussian HJM framework
- Modelling bonds and derivatives with default risk
- Term structure modelling under alternative official regimes
- Interest rate distributions, yield curve modelling and monetary policy
PART V: Numerical Methods
- Numerical option pricing using conditioned diffusions
- Numerical valuation of cross-currency swaps and swaptions
- Numerical methods for stochastic control problems in finance
- Simulation methods for option pricing
- New methodologies for valuing derivatives
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