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9780521584241

Mathematics of Derivative Securities

by
  • ISBN13:

    9780521584241

  • ISBN10:

    0521584248

  • Format: Hardcover
  • Copyright: 1997-10-13
  • Publisher: Cambridge University Press

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Summary

During 1995 the Isaac Newton Institute for the Mathematical Sciences at Cambridge University hosted a six month research program on financial mathematics. During this period more than 300 scholars and financial practitioners attended to conduct research and to attend more than 150 research seminars. Many of the presented papers were on the subject of financial derivatives. The very best were selected to appear in this volume. They range from abstract financial theory to practical issues pertaining to the pricing and hedging of interest rate derivatives and exotic options in the market place. Hence this book will be of interest to both academic scholars and financial engineers.

Table of Contents

Contributors vii(4)
Foreword xi(6)
R.C. Merton
Foreword xvii
M.F. Atiyah
PART I. INTRODUCTION 3(58)
1. Editors' Introduction
3(12)
2. Stochastic calculus and Markov methods
15(26)
L.C.G. Rogers
3. Characterisation of economic equilibria which support Black-Scholes option pricing
41(12)
S.D. Hodges
M.J.P. Selby
4. On the numeraire portfolio
53(8)
P. Artzner
PART II. OPTION PRICING AND HEDGING 61(104)
5. Convergence of Snell envelopes and critical prices in the American Put
61(27)
N. J. Cutland
P.E. Kopp
W. Willinger
M.C. Wyman
6. Some combinations of Asian, Parisian and Barrier options
88(15)
M. Yor
M. Chesnay
H. Geman
M. Jeanblanc-Pique
7. Co-movement term structure and the valuation of energy spread options
103(9)
A. Mbanefo
8. Pricing and hedging with smiles
112(14)
B. Dupire
9. Filtering derivative security valuations from market prices
126(15)
R. J. Elliott
C.H. Lahaie
D.B. Madan
10. Option pricing in the presence of extreme fluctuations
141(24)
J.P. Bouchard
D. Sornette
M. Potters
PART III. VALUATION AND HEDGING WITH MARKET IMPERFECTIONS 165(106)
11. Hedging long maturity commodity commitments with short-dated futures contracts
165(25)
M.J. Brennan
N.I. Crew
12. Nonlinear financial markets: hedging and portfolio optimization
190(26)
J. Cvitanic
13. Semimartingales and asset pricing under constraints
216(11)
M. Frittelli
14. Option pricing in incomplete markets
227(28)
M.H.A. Davis
15. Option pricing and hedging in discrete time with transaction costs
255(16)
F. Mercurio
T. C. F. Vorst
PART IV. TERM STRUCTURE AND INTEREST RATE DERIVATIVES 271(186)
16. Bond and bond option pricing based on the current term structure
271(23)
P.H. Dybvig
17. Dynamic models for yield curve evolution
294(21)
B. Flesaker
L.P. Hughston
18. General interest-rate models and the universality of HJM
315(21)
M.W. Baxter
19. Swap derivatives in a Gaussian HJM framework
336(33)
A. Brace
M. Musiela
20. Modelling bonds and derivatives with default risk
369(25)
D. Lando
21. Term structure modelling under alternative official regimes
394(29)
S.H. Babbs
N.J. Webber
22. Interest rate distributions, yield curve modelling and monetary policy
423(34)
L. El-Jahel
H. Lindberg
W. Perraudin
PART V. NUMERICAL METHODS 457
23. Numerical option pricing using conditioned diffusions
457(16)
S.K. Gandhi
P. J. Hunt
24. Numerical valuation of cross-currency swaps and swaptions
473(31)
M.A.H. Dempster
J.P. Hutton
25. Numerical methods for stochastic control problems in finance
504(24)
H.J. Kushner
26. Simulation methods for option pricing
528(17)
J.P. Lehoczky
27. New methodologies for valuing derivatives
545
S.H. Paskov

Supplemental Materials

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The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any access cards, study guides, lab manuals, CDs, etc.

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