Financial derivatives in theory and practice

By:

Hunt, P.J.; Kennedy, J.E

Material type: Text

TextPublication details: 2005 John Wiley & Sons Canada Ltd., TorontoEdition: Reprint Rev. edDescription: xx, 437 p. 24 cm; PbkISBN:

0 470 86359 5

Subject(s):

Derivatives Derivative securities

Contents:

pt. I. Theory 1. Single-Period Option Pricing 2. Brownian Motion 3. Martingales 4. Stochastic Integration 5. Girsanov and Martingale Representation 6. Stochastic Differential Equations 7. Option Pricing in Continuous Time 8. Dynamic Term Structure Models -- pt. II. Practice 9. Modelling in Practice 10. Basic Instruments and Terminology 11. Pricing Standard Market Derivatives 12. Futures Contracts. Orientation: Pricing Exotic European Derivatives 13. Terminal Swap-Rate Models 14. Convexity Corrections 15. Implied Interest Rate Pricing Models 16. Multi-Currency Terminal Swap-Rate Models 17. Short-Rate Models 18. Market Models.

Summary: This book brings together in one volume both a complete, rigorous and yet readable account of the mathematics underlying derivative pricing and a guide to applying these ideas to solve real pricing problems. It is aimed at practitioners and researchers who wish to understand the latest finance literature and develop their own pricing models. The authors' combination of strong theoretical knowledge and extensive market experience make this book particularly relevant for those interested in real world applications of mathematical finance

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Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode
Books	H.T. Parekh Library	GSB Collection	332.645 HUN (Browse shelf(Opens below))	Available		38072

pt. I. Theory
1. Single-Period Option Pricing
2. Brownian Motion
3. Martingales
4. Stochastic Integration
5. Girsanov and Martingale Representation
6. Stochastic Differential Equations
7. Option Pricing in Continuous Time
8. Dynamic Term Structure Models --
pt. II. Practice
9. Modelling in Practice
10. Basic Instruments and Terminology
11. Pricing Standard Market Derivatives
12. Futures Contracts. Orientation: Pricing Exotic European Derivatives
13. Terminal Swap-Rate Models
14. Convexity Corrections
15. Implied Interest Rate Pricing Models
16. Multi-Currency Terminal Swap-Rate Models
17. Short-Rate Models
18. Market Models.

This book brings together in one volume both a complete, rigorous and yet readable account of the mathematics underlying derivative pricing and a guide to applying these ideas to solve real pricing problems. It is aimed at practitioners and researchers who wish to understand the latest finance literature and develop their own pricing models. The authors' combination of strong theoretical knowledge and extensive market experience make this book particularly relevant for those interested in real world applications of mathematical finance

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