An Introduction to Financial Derivatives -- The Cox-Ross-Rubinstein Model -- Finite Security Markets -- The Black-Scholes Model -- Foreign Market Derivatives -- Americal Options -- Exotic Options -- Continuous-time Security Markets -- Interest Rates and Related Contracts -- Models of the Short-term Rate -- Models of Instantaneous Forward Rates -- Models of Bond Prices and LIBOR Rates -- Option Valuation in Gaussian Models -- Swap Derivatives -- Cross-currency Derivatives. Appendices: Conditional Expectations, Itô Stochastic Calculus
Summary
"This book provides a comprehensive, self-contained and up-to-date treatment of the main topics in the theory of option pricing. The first part of the text starts with discrete-time models of financial markets, including the Cox-Ross-Rubinstein binomial model. The passage from discrete- to continuous-time models, done in the Black-Scholes model setting, assumes familiarity with basic ideas and results from stochastic calculus. However, an Appendix containing all the necessary results is included." "This new edition of a well-established book, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader with a text focused on the practical rather than the theoretical aspects of financial modelling."--Jacket
Bibliography
Includes bibliographical references (pages 583-629) and index