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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.
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