FINANCIAL DERIVATIVES PRICING APPLICATIONS AND MATHEMATICS BAZ J., CHACKO G. Księgarnia

This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter applies the pricing concepts to the special case of interest rate markets, namely, bonds and swaps, and discusses factor models and term structure consistent models. The fourth chapter deals with a variety of mathematical topics that underlie derivatives pricing and portfolio allocation decisions such as mean-reverting processes and jump processes and discusses related tools of stochastic calculus such as Kolmogorov equations, martingales techniques, stochastic control, and partial differential equations.

Succinct but complete overview of financial derivatives, hot topic in financial theory and practice

Walks readers from the basic concepts to their modeling and application, serving as a perfect manual for beginners and professionals

Authors well known both in US and Europe; treatment balances theory and real analysis

Table of Contents

1. Introduction; 2. Preliminary mathematics; 3. Principles of financial valuation; 4. Interest rate models; 5. Mathematics of asset pricing; 6. Bibliography.

Review

Advance praise: 'Jamil Baz and Geroge Chacko have written an invaluable book that combines the technical and the practical aspects of derivatives pricing, interest rate models, and pricing complex financial instruments in a manner that is accessible to the sophisticated and the lay reader. They handle the material in a pedagogical manner which makes it appropriate for graduate level finance courses and practitioners. This book is a must read for those looking to educate themselves on these topics.' Franco Modigliani, Emeritus Professor at MIT and Nobel Laureate in Economic Science

338 pages

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czy wybrany tytuł polskojęzyczny lub anglojęzyczny jest aktualnie na półce księgarni.