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Field name	Details
Dewey Class	519
Title	Mathematical Models of Financial Derivatives ([Ebook]) / by Yue-Kuen Kwok.
Author	Kwok, Yue-Kuen. , 1957-
Other name(s)	SpringerLink (Online service)
Edition statement	2nd ed.
Publication	Berlin, Heidelberg : Springer , 2008.
Physical Details	XV, 530 pages : online resource.
Series	Springer finance 1616-0533
ISBN	9783540686880
Summary Note	Mathematical Models of Financial Derivatives is a textbook on the theory behind modeling derivatives using the financial engineering approach, focussing on the martingale pricing principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analyzed, emphasizing on the aspects of pricing, hedging and their risk management. Starting from the renowned Black-Scholes-Merton formulation of option pricing model, readers are guided through the text on the new advances on the state-of-the-art derivative pricing models and interest rate models. Both analytic techniques and numerical methods for solving various types of derivative pricing models are emphasized. The second edition presents a substantial revision of the first edition. The continuous-time martingale pricing theory is motivated through analysis of the underlying financial economics principles within a discrete-time framework. A large collection of closed-form formulas of various forms of exotic equity and fixed income derivatives are documented. The most recent research results and methodologies are made accessible to readers through the extensive set of exercises at the end of each chapter. Yue-Kuen Kwok is Professor of Mathematics at Hong Kong University of Science and Technology. He is the author of over 80 research papers and several books, including Applied Complex Variables. He is an associate editor of Journal of Economic Dynamics and Control and Asia-Pacific Financial Markets.:
Contents note	Introduction to Derivative Instruments -- Fundamental Concepts of Financial Economics and Asset Price Dynamics -- Pricing Models for One-Asset European Options -- Path Dependent Options -- American Options and Free Boundary Value Problems -- Numerical Schemes for Pricing Options -- Interest Rate Models and Bond Pricing -- Interest Rate Instruments.
System details note	Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users).
Internet Site	http://dx.doi.org/10.1007/978-3-540-68688-0
Links to Related Works	Subject References: Applications of Mathematics . Banks and banking . Derivative securities. Mathematical models . Distribution (Probability theory) . Finance . Finance /Banking . Mathematical modelling . Mathematics . Probability theory and stochastic processes . Quantitative Finance . Authors: Kwok, Yue-Kuen. 1957- . Corporate Authors: SpringerLink (Online service) . Series: Springer finance . Classification: 519 . 519 (DDC 22) .

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Mathematical Models of Financial Derivatives

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