Description 
xii, 512 pages ; 24 cm 

regular print 
Series 
Applications of mathematics, 01724568 ; 36 

Applications of mathematics. 01724568 ; 36

Contents 
1. An Introduction to Financial Derivatives  2. The CoxRossRubinstein Model  3. Finite Security Markets  4. Market Imperfections  5. The BlackScholes Model  6. Modifications of the BlackScholes Model  7. Foreign Market Derivatives  8. American Options  9. Exotic Options  10. Continuoustime Security Markets  11. Interest Rates and Related Contracts  12. Models of the Shortterm Rate  13. Models of Instantaneous Forward Rates  14. Models of Bond Prices and LIBOR Rates  15. Option Valuation in Gaussian Models  16. Swap Derivatives  17. Crosscurrency Derivatives  App. A. Conditional Expectations  App. B. Ito Stochastic Calculus 
Summary 
The book provides a comprehensive, selfcontained and uptodate treatment of the main topics in the theory of option pricing. The first part of the text deals with simple discrete models of financial markets, including the CoxRossRubinstein binomial model. No knowledge of probability and stochastic processes is assumed at this stage, while most of the concepts from modern mathematical finance are explained at a very elementary mathematical level. The passage from the discrete to the continuous market models, done in the BlackScholes model setting, assumes familiarity with basic ideas and results from stochastic calculus such as Wiener process and Ito formula; however, an appendix containing all the necessary results is included. The BlackScholes setting is later generalized to cover standard and exotic options involving several assets and/or currencies. Numerous examples of exotic options are analysed. An outline of a general theory of arbitrage pricing is presented. A very substantial part of the text is devoted to term structure modelling and to the pricing of interest rate options. The HJM framework is discussed in detail. Models based on the forward LIBOR and forward swap rates are introduced. The main emphasis is on models that can be made consistent with the market pricing practice 
Analysis 
finansøkonomi 

matematiske 

modeller 

statistikk 
Bibliography 
Includes bibliographical references (pages [471]506) and index 
Subject 
Derivative securities  Mathematical models.


Finance  Mathematical models.


Fixedincome securities  Mathematical models.


Interest rates  Mathematical models.


Options (Finance)  Mathematical models.

Author 
Rutkowski, Marek, 1952

LC no. 
97011586 
ISBN 
354061477X 
