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The term Financial Derivative is a very broad term which has come to mean any financial transaction whose value depends on the underlying value of the asset concerned. Sophisticated statistical modelling of derivatives enables practitioners in the banking industry to reduce financial risk and ultimately increase profits made from these transactions.
The book originally published in March 2000 to widespread acclaim. This revised edition has been updated with minor corrections and new references, and now includes a chapter of exercises and solutions, enabling use as a course text. _…mehr
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The term Financial Derivative is a very broad term which has come to mean any financial transaction whose value depends on the underlying value of the asset concerned. Sophisticated statistical modelling of derivatives enables practitioners in the banking industry to reduce financial risk and ultimately increase profits made from these transactions.
The book originally published in March 2000 to widespread acclaim. This revised edition has been updated with minor corrections and new references, and now includes a chapter of exercises and solutions, enabling use as a course text.
_ Comprehensive introduction to the theory and practice of financial derivatives.
_ Discusses and elaborates on the theory of interest rate derivatives, an area of increasing interest.
_ Divided into two self-contained parts - the first concentrating on the theory of stochastic calculus, and the second describes in detail the pricing of a number of different derivatives in practice.
_ Written by well respected academics with experience in the banking industry.
A valuable text for practitioners in research departments of all banking and finance sectors. Academic researchers and graduate students working in mathematical finance.
The book originally published in March 2000 to widespread acclaim. This revised edition has been updated with minor corrections and new references, and now includes a chapter of exercises and solutions, enabling use as a course text.
_ Comprehensive introduction to the theory and practice of financial derivatives.
_ Discusses and elaborates on the theory of interest rate derivatives, an area of increasing interest.
_ Divided into two self-contained parts - the first concentrating on the theory of stochastic calculus, and the second describes in detail the pricing of a number of different derivatives in practice.
_ Written by well respected academics with experience in the banking industry.
A valuable text for practitioners in research departments of all banking and finance sectors. Academic researchers and graduate students working in mathematical finance.
Produktdetails
- Produktdetails
- Wiley Series in Probability and Statistics
- Verlag: Wiley & Sons
- 1. Auflage
- Seitenzahl: 480
- Erscheinungstermin: 2. Juli 2004
- Englisch
- Abmessung: 229mm x 152mm x 28mm
- Gewicht: 670g
- ISBN-13: 9780470863596
- ISBN-10: 0470863595
- Artikelnr.: 14844723
- Wiley Series in Probability and Statistics
- Verlag: Wiley & Sons
- 1. Auflage
- Seitenzahl: 480
- Erscheinungstermin: 2. Juli 2004
- Englisch
- Abmessung: 229mm x 152mm x 28mm
- Gewicht: 670g
- ISBN-13: 9780470863596
- ISBN-10: 0470863595
- Artikelnr.: 14844723
Philip Hunt is the author of Financial Derivatives in Theory and Practice, Revised Edition, published by Wiley. Joanne Kennedy is the author of Financial Derivatives in Theory and Practice, Revised Edition, published by Wiley.
Preface to revised edition. Preface. Acknowledgements. Part I: Theory. 1
Single-Period Option Pricing. 1.1 Option pricing in a nutshell. 1.2 The
simplest setting. 1.3 General one-period economy. 1.4 A two-period example.
2 Brownian Motion. 2.1 Introduction. 2.2 Definition and existence. 2.3
Basic properties of Brownian motion. 2.4 Strong Markov property. 3
Martingales. 3.1 Definition and basic properties. 3.2 Classes of
martingales. 3.3 Stopping times and the optional sampling theorem. 3.4
Variation, quadratic variation and integration. 3.5 Local martingales and
semimartingales. 3.6 Supermartingales and the Doob--Meyer decomposition. 4
Stochastic Integration. 4.1 Outline. 4.2 Predictable processes. 4.3
Stochastic integrals: the L2 theory. 4.4 Properties of the stochastic
integral. 4.5 Extensions via localization. 4.6 Stochastic calculus: Itô's
formula. 5 Girsanov and Martingale Representation. 5.1 Equivalent
probability measures and the Radon--Nikodym derivative. 5.2 Girsanov's
theorem. 5.3 Martingale representation theorem. 6 Stochastic Differential
Equations. 6.1 Introduction. 6.2 Formal definition of an SDE. 6.3 An aside
on the canonical set-up. 6.4 Weak and strong solutions. 6.5 Establishing
existence and uniqueness: Itô theory. 6.6 Strong Markov property. 6.7
Martingale representation revisited. 7 Option Pricing in Continuous Time.
7.1 Asset price processes and trading strategies. 7.2 Pricing European
options. 7.3 Continuous time theory. 7.4 Extensions. 8 Dynamic Term
Structure Models. 8.1 Introduction. 8.2 An economy of pure discount bonds.
8.3 Modelling the term structure. Part II: Practice. 9 Modelling in
Practice. 9.1 Introduction. 9.2 The real world is not a martingale measure.
9.3 Product-based modelling. 9.4 Local versus global calibration. 10 Basic
Instruments and Terminology. 10.1 Introduction. 10.2 Deposits. 10.3 Forward
rate agreements. 10.4 Interest rate swaps. 10.5 Zero coupon bonds. 10.6
Discount factors and valuation. 11 Pricing Standard Market Derivatives.
11.1 Introduction. 11.2 Forward rate agreements and swaps. 11.3 Caps and
floors. 11.4 Vanilla swaptions. 11.5 Digital options. 12 Futures Contracts.
12.1 Introduction. 12.2 Futures contract definition. 12.3 Characterizing
the futures price process. 12.4 Recovering the futures price process. 12.5
Relationship between forwards and futures. Orientation: Pricing Exotic
European Derivatives. 13 Terminal Swap-Rate Models. 13.1 Introduction. 13.2
Terminal time modelling. 13.3 Example terminal swap-rate models. 13.4
Arbitrage-free property of terminal swap-rate models. 13.5 Zero coupon
swaptions. 14 Convexity Corrections. 14.1 Introduction. 14.2 Valuation of
'convexity-related' products. 14.3 Examples and extensions. 15 Implied
Interest Rate Pricing Models. 15.1 Introduction. 15.2 Implying the
functional form DTS. 15.3 Numerical implementation. 15.4 Irregular
swaptions. 15.5 Numerical comparison of exponential and implied swap-rate
models. 16 Multi-Currency Terminal Swap-Rate Models. 16.1 Introduction.
16.2 Model construction. 16.3 Examples. Orientation: Pricing Exotic
American and Path-Dependent Derivatives. 17 Short-Rate Models. 17.1
Introduction. 17.2 Well-known short-rate models. 17.3 Parameter fitting
within the Vasicek--Hull--White model. 17.4 Bermudan swaptions via
Vasicek--Hull--White. 18 Market Models. 18.1 Introduction. 18.2 LIBOR
market models. 18.3 Regular swap-market models. 18.4 Reverse swap-market
models. 19 Markov-Functional Modelling. 19.1 Introduction. 19.2
Markov-functional models. 19.3 Fitting a one-dimensional Markov-functional
model to swaption prices. 19.4 Example models. 19.5 Multidimensional
Markov-functional models. 19.6 Relationship to market models. 19.7 Mean
reversion, forward volatilities and correlation. 19.8 Some numerical
results. 20 Exercises and Solutions. Appendix 1: The Usual Conditions.
Appendix 2: L^2 Spaces. Appendix 3: Gaussian Calculations. References.
Index.
Single-Period Option Pricing. 1.1 Option pricing in a nutshell. 1.2 The
simplest setting. 1.3 General one-period economy. 1.4 A two-period example.
2 Brownian Motion. 2.1 Introduction. 2.2 Definition and existence. 2.3
Basic properties of Brownian motion. 2.4 Strong Markov property. 3
Martingales. 3.1 Definition and basic properties. 3.2 Classes of
martingales. 3.3 Stopping times and the optional sampling theorem. 3.4
Variation, quadratic variation and integration. 3.5 Local martingales and
semimartingales. 3.6 Supermartingales and the Doob--Meyer decomposition. 4
Stochastic Integration. 4.1 Outline. 4.2 Predictable processes. 4.3
Stochastic integrals: the L2 theory. 4.4 Properties of the stochastic
integral. 4.5 Extensions via localization. 4.6 Stochastic calculus: Itô's
formula. 5 Girsanov and Martingale Representation. 5.1 Equivalent
probability measures and the Radon--Nikodym derivative. 5.2 Girsanov's
theorem. 5.3 Martingale representation theorem. 6 Stochastic Differential
Equations. 6.1 Introduction. 6.2 Formal definition of an SDE. 6.3 An aside
on the canonical set-up. 6.4 Weak and strong solutions. 6.5 Establishing
existence and uniqueness: Itô theory. 6.6 Strong Markov property. 6.7
Martingale representation revisited. 7 Option Pricing in Continuous Time.
7.1 Asset price processes and trading strategies. 7.2 Pricing European
options. 7.3 Continuous time theory. 7.4 Extensions. 8 Dynamic Term
Structure Models. 8.1 Introduction. 8.2 An economy of pure discount bonds.
8.3 Modelling the term structure. Part II: Practice. 9 Modelling in
Practice. 9.1 Introduction. 9.2 The real world is not a martingale measure.
9.3 Product-based modelling. 9.4 Local versus global calibration. 10 Basic
Instruments and Terminology. 10.1 Introduction. 10.2 Deposits. 10.3 Forward
rate agreements. 10.4 Interest rate swaps. 10.5 Zero coupon bonds. 10.6
Discount factors and valuation. 11 Pricing Standard Market Derivatives.
11.1 Introduction. 11.2 Forward rate agreements and swaps. 11.3 Caps and
floors. 11.4 Vanilla swaptions. 11.5 Digital options. 12 Futures Contracts.
12.1 Introduction. 12.2 Futures contract definition. 12.3 Characterizing
the futures price process. 12.4 Recovering the futures price process. 12.5
Relationship between forwards and futures. Orientation: Pricing Exotic
European Derivatives. 13 Terminal Swap-Rate Models. 13.1 Introduction. 13.2
Terminal time modelling. 13.3 Example terminal swap-rate models. 13.4
Arbitrage-free property of terminal swap-rate models. 13.5 Zero coupon
swaptions. 14 Convexity Corrections. 14.1 Introduction. 14.2 Valuation of
'convexity-related' products. 14.3 Examples and extensions. 15 Implied
Interest Rate Pricing Models. 15.1 Introduction. 15.2 Implying the
functional form DTS. 15.3 Numerical implementation. 15.4 Irregular
swaptions. 15.5 Numerical comparison of exponential and implied swap-rate
models. 16 Multi-Currency Terminal Swap-Rate Models. 16.1 Introduction.
16.2 Model construction. 16.3 Examples. Orientation: Pricing Exotic
American and Path-Dependent Derivatives. 17 Short-Rate Models. 17.1
Introduction. 17.2 Well-known short-rate models. 17.3 Parameter fitting
within the Vasicek--Hull--White model. 17.4 Bermudan swaptions via
Vasicek--Hull--White. 18 Market Models. 18.1 Introduction. 18.2 LIBOR
market models. 18.3 Regular swap-market models. 18.4 Reverse swap-market
models. 19 Markov-Functional Modelling. 19.1 Introduction. 19.2
Markov-functional models. 19.3 Fitting a one-dimensional Markov-functional
model to swaption prices. 19.4 Example models. 19.5 Multidimensional
Markov-functional models. 19.6 Relationship to market models. 19.7 Mean
reversion, forward volatilities and correlation. 19.8 Some numerical
results. 20 Exercises and Solutions. Appendix 1: The Usual Conditions.
Appendix 2: L^2 Spaces. Appendix 3: Gaussian Calculations. References.
Index.
Preface to revised edition. Preface. Acknowledgements. Part I: Theory. 1
Single-Period Option Pricing. 1.1 Option pricing in a nutshell. 1.2 The
simplest setting. 1.3 General one-period economy. 1.4 A two-period example.
2 Brownian Motion. 2.1 Introduction. 2.2 Definition and existence. 2.3
Basic properties of Brownian motion. 2.4 Strong Markov property. 3
Martingales. 3.1 Definition and basic properties. 3.2 Classes of
martingales. 3.3 Stopping times and the optional sampling theorem. 3.4
Variation, quadratic variation and integration. 3.5 Local martingales and
semimartingales. 3.6 Supermartingales and the Doob--Meyer decomposition. 4
Stochastic Integration. 4.1 Outline. 4.2 Predictable processes. 4.3
Stochastic integrals: the L2 theory. 4.4 Properties of the stochastic
integral. 4.5 Extensions via localization. 4.6 Stochastic calculus: Itô's
formula. 5 Girsanov and Martingale Representation. 5.1 Equivalent
probability measures and the Radon--Nikodym derivative. 5.2 Girsanov's
theorem. 5.3 Martingale representation theorem. 6 Stochastic Differential
Equations. 6.1 Introduction. 6.2 Formal definition of an SDE. 6.3 An aside
on the canonical set-up. 6.4 Weak and strong solutions. 6.5 Establishing
existence and uniqueness: Itô theory. 6.6 Strong Markov property. 6.7
Martingale representation revisited. 7 Option Pricing in Continuous Time.
7.1 Asset price processes and trading strategies. 7.2 Pricing European
options. 7.3 Continuous time theory. 7.4 Extensions. 8 Dynamic Term
Structure Models. 8.1 Introduction. 8.2 An economy of pure discount bonds.
8.3 Modelling the term structure. Part II: Practice. 9 Modelling in
Practice. 9.1 Introduction. 9.2 The real world is not a martingale measure.
9.3 Product-based modelling. 9.4 Local versus global calibration. 10 Basic
Instruments and Terminology. 10.1 Introduction. 10.2 Deposits. 10.3 Forward
rate agreements. 10.4 Interest rate swaps. 10.5 Zero coupon bonds. 10.6
Discount factors and valuation. 11 Pricing Standard Market Derivatives.
11.1 Introduction. 11.2 Forward rate agreements and swaps. 11.3 Caps and
floors. 11.4 Vanilla swaptions. 11.5 Digital options. 12 Futures Contracts.
12.1 Introduction. 12.2 Futures contract definition. 12.3 Characterizing
the futures price process. 12.4 Recovering the futures price process. 12.5
Relationship between forwards and futures. Orientation: Pricing Exotic
European Derivatives. 13 Terminal Swap-Rate Models. 13.1 Introduction. 13.2
Terminal time modelling. 13.3 Example terminal swap-rate models. 13.4
Arbitrage-free property of terminal swap-rate models. 13.5 Zero coupon
swaptions. 14 Convexity Corrections. 14.1 Introduction. 14.2 Valuation of
'convexity-related' products. 14.3 Examples and extensions. 15 Implied
Interest Rate Pricing Models. 15.1 Introduction. 15.2 Implying the
functional form DTS. 15.3 Numerical implementation. 15.4 Irregular
swaptions. 15.5 Numerical comparison of exponential and implied swap-rate
models. 16 Multi-Currency Terminal Swap-Rate Models. 16.1 Introduction.
16.2 Model construction. 16.3 Examples. Orientation: Pricing Exotic
American and Path-Dependent Derivatives. 17 Short-Rate Models. 17.1
Introduction. 17.2 Well-known short-rate models. 17.3 Parameter fitting
within the Vasicek--Hull--White model. 17.4 Bermudan swaptions via
Vasicek--Hull--White. 18 Market Models. 18.1 Introduction. 18.2 LIBOR
market models. 18.3 Regular swap-market models. 18.4 Reverse swap-market
models. 19 Markov-Functional Modelling. 19.1 Introduction. 19.2
Markov-functional models. 19.3 Fitting a one-dimensional Markov-functional
model to swaption prices. 19.4 Example models. 19.5 Multidimensional
Markov-functional models. 19.6 Relationship to market models. 19.7 Mean
reversion, forward volatilities and correlation. 19.8 Some numerical
results. 20 Exercises and Solutions. Appendix 1: The Usual Conditions.
Appendix 2: L^2 Spaces. Appendix 3: Gaussian Calculations. References.
Index.
Single-Period Option Pricing. 1.1 Option pricing in a nutshell. 1.2 The
simplest setting. 1.3 General one-period economy. 1.4 A two-period example.
2 Brownian Motion. 2.1 Introduction. 2.2 Definition and existence. 2.3
Basic properties of Brownian motion. 2.4 Strong Markov property. 3
Martingales. 3.1 Definition and basic properties. 3.2 Classes of
martingales. 3.3 Stopping times and the optional sampling theorem. 3.4
Variation, quadratic variation and integration. 3.5 Local martingales and
semimartingales. 3.6 Supermartingales and the Doob--Meyer decomposition. 4
Stochastic Integration. 4.1 Outline. 4.2 Predictable processes. 4.3
Stochastic integrals: the L2 theory. 4.4 Properties of the stochastic
integral. 4.5 Extensions via localization. 4.6 Stochastic calculus: Itô's
formula. 5 Girsanov and Martingale Representation. 5.1 Equivalent
probability measures and the Radon--Nikodym derivative. 5.2 Girsanov's
theorem. 5.3 Martingale representation theorem. 6 Stochastic Differential
Equations. 6.1 Introduction. 6.2 Formal definition of an SDE. 6.3 An aside
on the canonical set-up. 6.4 Weak and strong solutions. 6.5 Establishing
existence and uniqueness: Itô theory. 6.6 Strong Markov property. 6.7
Martingale representation revisited. 7 Option Pricing in Continuous Time.
7.1 Asset price processes and trading strategies. 7.2 Pricing European
options. 7.3 Continuous time theory. 7.4 Extensions. 8 Dynamic Term
Structure Models. 8.1 Introduction. 8.2 An economy of pure discount bonds.
8.3 Modelling the term structure. Part II: Practice. 9 Modelling in
Practice. 9.1 Introduction. 9.2 The real world is not a martingale measure.
9.3 Product-based modelling. 9.4 Local versus global calibration. 10 Basic
Instruments and Terminology. 10.1 Introduction. 10.2 Deposits. 10.3 Forward
rate agreements. 10.4 Interest rate swaps. 10.5 Zero coupon bonds. 10.6
Discount factors and valuation. 11 Pricing Standard Market Derivatives.
11.1 Introduction. 11.2 Forward rate agreements and swaps. 11.3 Caps and
floors. 11.4 Vanilla swaptions. 11.5 Digital options. 12 Futures Contracts.
12.1 Introduction. 12.2 Futures contract definition. 12.3 Characterizing
the futures price process. 12.4 Recovering the futures price process. 12.5
Relationship between forwards and futures. Orientation: Pricing Exotic
European Derivatives. 13 Terminal Swap-Rate Models. 13.1 Introduction. 13.2
Terminal time modelling. 13.3 Example terminal swap-rate models. 13.4
Arbitrage-free property of terminal swap-rate models. 13.5 Zero coupon
swaptions. 14 Convexity Corrections. 14.1 Introduction. 14.2 Valuation of
'convexity-related' products. 14.3 Examples and extensions. 15 Implied
Interest Rate Pricing Models. 15.1 Introduction. 15.2 Implying the
functional form DTS. 15.3 Numerical implementation. 15.4 Irregular
swaptions. 15.5 Numerical comparison of exponential and implied swap-rate
models. 16 Multi-Currency Terminal Swap-Rate Models. 16.1 Introduction.
16.2 Model construction. 16.3 Examples. Orientation: Pricing Exotic
American and Path-Dependent Derivatives. 17 Short-Rate Models. 17.1
Introduction. 17.2 Well-known short-rate models. 17.3 Parameter fitting
within the Vasicek--Hull--White model. 17.4 Bermudan swaptions via
Vasicek--Hull--White. 18 Market Models. 18.1 Introduction. 18.2 LIBOR
market models. 18.3 Regular swap-market models. 18.4 Reverse swap-market
models. 19 Markov-Functional Modelling. 19.1 Introduction. 19.2
Markov-functional models. 19.3 Fitting a one-dimensional Markov-functional
model to swaption prices. 19.4 Example models. 19.5 Multidimensional
Markov-functional models. 19.6 Relationship to market models. 19.7 Mean
reversion, forward volatilities and correlation. 19.8 Some numerical
results. 20 Exercises and Solutions. Appendix 1: The Usual Conditions.
Appendix 2: L^2 Spaces. Appendix 3: Gaussian Calculations. References.
Index.