Description 
1 online resource (xv, 530 pages) : illustrations 
Series 
Springer finance, 16160533 

Springer finance.

Contents 
Introduction to Derivative Instruments  Fundamental Concepts of Financial Economics and Asset Price Dynamics  Pricing Models for OneAsset European Options  Path Dependent Options  American Options and Free Boundary Value Problems  Numerical Schemes for Pricing Options  Interest Rate Models and Bond Pricing  Interest Rate Instruments 
Summary 
Mathematical Models of Financial Derivatives is a textbook on the theory behind modeling derivatives using the financial engineering approach, focussing on the martingale pricing principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analyzed, emphasizing on the aspects of pricing, hedging and their risk management. Starting from the renowned BlackScholesMerton formulation of option pricing model, readers are guided through the text on the new advances on the stateoftheart derivative pricing models and interest rate models. Both analytic techniques and numerical methods for solving various types of derivative pricing models are emphasized. The second edition presents a substantial revision of the first edition. The continuoustime martingale pricing theory is motivated through analysis of the underlying financial economics principles within a discretetime framework. A large collection of closedform formulas of various forms of exotic equity and fixed income derivatives are documented. The most recent research results and methodologies are made accessible to readers through the extensive set of exercises at the end of each chapter. YueKuen Kwok is Professor of Mathematics at Hong Kong University of Science and Technology. He is the author of over 80 research papers and several books, including Applied Complex Variables. He is an associate editor of Journal of Economic Dynamics and Control and AsiaPacific Financial Markets 
Bibliography 
Includes bibliographical references (pages 507516)and indexes 
Notes 
Print version record 
Subject 
Derivative securities  Mathematical models.


Derivative securities  Mathematical models.

Form 
Electronic book

ISBN 
9783540686880 

3540686886 

9783540862550 

3540862552 

9783642447938 

3642447937 
