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Mathematics of Derivative Securities

$268.00 (C)

Part of Publications of the Newton Institute

Editors:
Michael A. H. Dempster, University of Cambridge
Stanley R. Pliska, University of Illinois, Chicago

R. C. Merton, L. C. G. Rogers, S. D. Hodges, M. J. P. Selby, P. Artzner, N. J. Cutland, P. E. Kopp, W. Willinger, M. C. Wyman, M. Chesnay, H. Geman, M. Jeanblanc-Piqué, M. Yor, A. Mbanefo, B. Dupire, R. J. Elliott, C. H. Lahaie, D. B. Madan, J.-P. Bouchard, D. Sornette, M. Potters, M. J. Brennan, N. I. Crew, J. Cvitanic, M. Frittelli, M. H. A. Davis, F. Mercurio, T. C. F. Vorst, P. H. Dybvig, B. Flesaker, L. P. Hughston, M. W. Baxter, A. Brace, M. Musiela, D. Lando, S. H. Babbs, N. J. Webber, H. Lindberg, L. El-Jahel, W. Perraudin, S. K. Gandhi, P. J. Hunt, M. A. H. Dempster, J. P. Hutton, H. J. Kushner, J. P. Lehoczky, S. H. Paskov

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Date Published: October 1997
availability: Available
format: Hardback
isbn: 9780521584241

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About the Authors

The papers in this volume address various aspects of financial derivatives that 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. This broad and important collection will interest both academic scholars and financial engineers.
- Unique book that covers both theoretical ideas and their implementation in practice
- Top contributors
- International selection of authors from both banking and academic institutes
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Reviews & endorsements
"The papers are of exceptionally high quality, and the book works on different levels--as an introduction to the field or its particular aspects, as a survey of existing theories, models and techniques, and as a source for getting insight about important new directions and unsolved problems." Jaksa Cvitani^D'c, Mathematical Reviews

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Product details
- Date Published: October 1997
- format: Hardback
- isbn: 9780521584241
- length: 600 pages
- dimensions: 236 x 159 x 43 mm
- weight: 1.085kg
- contains: 60 b/w illus. 40 tables
- availability: Available
Table of Contents
Foreword R. C. Merton
Part I. Introduction:
1. Editors' introduction
2. Stochastic calculus and Markov methods L. C. G. Rogers
3. The risk premium in trading equilibria which support Black-Scholes option pricing S. D. Hodges and M. J. P. Selby
4. On the numeraire portfolio P. Artzner
Part II. Option Pricing and Hedging:
5. Convergence of Snell envelopes and critical prices in the American Put N. J. Cutland, P. E. Kopp, W. Willinger and M. C. Wyman
6. Some combination of Asian, Parisian and Barrier options M. Yor, M. Chesnay, H. Geman and M. Jeanblanc-Piqué
7. Co-movement term structure and the valuation of crack energy spread options A. Mbanefo
8. Pricing and hedging with Smiles B. Dupire
9. Filtering derivative security valuations from market prices R. J. Elliott, C. H. Lahaie and D. B. Madan
10. Option pricing in the presence of extreme fluctuations J.-P. Bouchard, D. Sornette and M. Potters
11. Hedging long maturity commodity commitments with short-dated futures contracts M. J. Brennan and N. I. Crew
12. Nonlinear financial markets: hedging and portfolio optimization J. Cvitanic
13. Semimartingales and asset pricing under constraints M. Frittelli
14. Option pricing in incomplete markets M. H. A. Davis
15. Option pricing and hedging in discrete time with transaction costs F. Mercurio and T. C. F. Vorst
Part III. Term Structure and Interest Rate Derivatives:
16. Bond and bond option pricing based on the current term structure P. H. Dybvig
17. Dynamic models for yield curve evolution B. Flesaker and L. P. Hughston
18. General interest rate models and the universality of HJM M. W. Baxter
19. Swap derivatives in a Gaussian HJM framework A. Brace and M. Musiela
20. Modelling bonds and derivatives with default risk D. Lando
21. Term structure modelling under alternative official regimes S. H. Babbs and N. J. Webber
22. Interest rate distributions, yield curve modelling and monetary policy L. El-Jahel, H. Lindberg and W. Perraudin
Part IV. Numerical Methods:
23. Numerical option pricing using conditioned diffusions S. K. Gandhi and P. J. Hunt
24. Numerical valuation of cross-currency swaps and swaptions M. A. H. Dempster and J. P. Hutton
25. Numerical methods for stochastic control problems in finance H. J. Kushner
26. Simulation methods for option pricing J. P. Lehoczky
27. New methodologies for valuing derivatives S. H. Paskov.
Look Inside
Editors
Michael A. H. Dempster, University of Cambridge
Stanley R. Pliska, University of Illinois, Chicago
Contributors
R. C. Merton, L. C. G. Rogers, S. D. Hodges, M. J. P. Selby, P. Artzner, N. J. Cutland, P. E. Kopp, W. Willinger, M. C. Wyman, M. Chesnay, H. Geman, M. Jeanblanc-Piqué, M. Yor, A. Mbanefo, B. Dupire, R. J. Elliott, C. H. Lahaie, D. B. Madan, J.-P. Bouchard, D. Sornette, M. Potters, M. J. Brennan, N. I. Crew, J. Cvitanic, M. Frittelli, M. H. A. Davis, F. Mercurio, T. C. F. Vorst, P. H. Dybvig, B. Flesaker, L. P. Hughston, M. W. Baxter, A. Brace, M. Musiela, D. Lando, S. H. Babbs, N. J. Webber, H. Lindberg, L. El-Jahel, W. Perraudin, S. K. Gandhi, P. J. Hunt, M. A. H. Dempster, J. P. Hutton, H. J. Kushner, J. P. Lehoczky, S. H. Paskov