A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.
The first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities, this book explains, with mathematical precision and in a style tailored for market practitioners, such key concepts as martingales, change of measure, and the Heath-Jarrow-Morton model. A full Glossary of probabilistic and financial terms is provided along with graphical illustrations with realistic data.
Hardcover
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Summary
A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.
The first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities, this book explains, with mathematical precision and in a style tailored for market practitioners, such key concepts as martingales, change of measure, and the Heath-Jarrow-Morton model. A full Glossary of probabilistic and financial terms is provided along with graphical illustrations with realistic data.
Description
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.
Critic Reviews
“"This is an excellent book for anyone who want an intuitive understanding of the use of stochastic calculus in financial engineering." riskbook.com”
'... a very readable and useful introduction to the pricing of derivatives ... A recommendable book.' Wil Schilders, ITW Nieuws '... the first rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities.' L'Enseignement Mathematique
About the Author
Christof Paar holds the Chair for Communication Security at the Ruhr-University Bochum, Germany, and is director of the Horst GArtz Institute for IT Security. Before coming to Bochum, he was with WPIa (TM)s ECE Department, USA, for seven years. He is co-founder of CHES (Cryptographic Hardware and Embedded Systems), the international leading workshop series for embedded security. He has over 70 peer-reviewed publications and patents in the area of applied security. Dr. Paar has lectured intensively in academia and industry, including courses at NASA, Motorola Research and Philips Research. He i
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