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Here is the first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities. With mathematical precision and in a style tailored for market practioners, the authors describe key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model. Starting from discrete-time hedging on binary trees, the authors develop continuous-time stock models (including the Black-Scholes method). They stress practicalities including examples from stock, currency and interest rate markets, all accompanied by graphical illustrations with realistic data. The authors provide a full glossary of probabilistic and financial terms.
Here is the first rigorous and accessible account of the
mathematics behind the pricing, construction, and hedging of
derivative securities. With mathematical precision and in a style
tailored for market practioners, the authors describe key concepts
such as martingales, change of measure, and the Heath-Jarrow-Morton
model. Starting from discrete-time hedging on binary trees, the
authors develop continuous-time stock models (including the
Black-Scholes method). They stress practicalities including
examples from stock, currency and interest rate markets, all
accompanied by graphical illustrations with realistic data. The
authors provide a full glossary of probabilistic and financial
terms.
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