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Book Cover
Book
Author Neftci, Salih N.

Title An introduction to the mathematics of financial derivatives / Salih N. Neftci
Edition Second edition
Published San Diego : Academic Press, [2000]
©2000

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Location Call no. Vol. Availability
 MELB  332.632 Nef/Itt  AVAILABLE
Description xxvii, 527 pages : illustrations ; 24 cm
Contents Machine derived contents note: Table of contents for An introduction to the mathematics of financial derivatives / Salih N. Neftci. -- Bibliographic record and links to related information available from the Library of Congress catalog -- Information from electronic data provided by the publisher. May be incomplete or contain other coding. -- Financial Derivatives: A Brief Introduction. -- A Primer on Arbitrage Theorem. -- Calculus in Deterministic and Stochastic Environments. -- Pricing Derivatives: Models and Notation. -- Tools in Probability Theory. -- Martingales and Martingale Representations. -- Differentiation in Stochastic Environments. -- The Wiener Process and Rare Events in Financial Markets. -- Integration in Stochastic Environments: The Ito Integral. -- Ito's Lemma. -- The Dynamics of Derivative Prices: Stochastic Differential Equations. -- Pricing Derivative Products: Partial Differential Equations. -- The Black-Scholes PDE: An Application. -- Pricing Derivative Products: Equivalent Martingale Measures. -- Equivalent Martingale Measures: Applications. -- New Results and Tools for Interest Sensitive Securities. -- Arbitrage Theorem in a New Setting: Normalization and Random Interest Rates. -- Modeling Term Structure and Related Concepts. -- Classical and HJM Approaches to Fixed Income. -- Classical PDE Analysis for Interest Rate Derivatives. -- Relating Conditional Expectations to PDEs. -- Stopping Times and American-Type Securities. -- Bibliography. -- Index. -- Library of Congress subject headings for this publication: Derivative securities Mathematics
Summary "The step-by-step approach of this book makes it one of the most accessible and popular explanations of the mathematical models used to price derivatives. For the Second Edition, Salih Neftci has thoroughly expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He does not assume that the reader has a thorough mathematical background, and the math is lucid and fresh. His explanations of financial calculus are remarkable for their simplicity and perception."--BOOK JACKET
Notes Previous ed.: 1996
Bibliography Includes bibliographical references (pages 509-511) and index
Notes Print version record
Subject Derivative securities -- Mathematics.
Securities -- Mathematics.
LC no. 99069121
ISBN 0125153929