Mendeley出力
＜図書＞
Financial derivatives in theory and practice
| 責任表示 | P.J. Hunt, J.E. Kennedy |
|---|---|
| シリーズ | Wiley series in probability and mathematical statistics |
| データ種別 | 図書 |
| 出版情報 | Chichester : John Wiley , c2000 |
| 本文言語 | 英語 |
| 大きさ | xviii, 393 p. : ill. ; 24 cm |
| 概要 | "A masterful work which explains clearly and precisely the mathematics and the practicalities of derivative pricing. Written by two leading experts from academia and industry, this is a rigorous descr...ption of the cutting edge of both research and practice. The excellent in-depth coverage of the interest-rate markets includes the application of basic theory coupled with descriptions of real-world products, convexity effects, and state of the art modelling. A very valuable book, which is destined to be a key reference for bankers and researchers" Martin Baxter, Nomura International, London, UK (co-author of the best-selling Financial Calculus) "This work strikes an excellent balance between theory and applications, between rigor and accessibility. The early chapters develop mathematical tools lucidly and with a clear focus on the important issues. Later chapters apply these tools to a broad range of problems and models in mathematical finance. The book is rich in links between theory and industry practice, and covers many topics not easily found elsewhere. It is a valuable and authoritative resource for both students and experts." Paul Glasserman, Graduate School of Business, Columbia University, USA "This book achieves two main goals. First, it provides an excellent and highly comprehensive account of martingale theory and Itos stochastic calculus, which underpin arbitrage pricing theory. Secondly, it offers a thorough analysis of the fundamental ideas of modern financial modelling, with special emphasis on the concepts related to the valuation and hedging of interest-rate sensitive derivatives. The exceptional strength of the book lies in the fact that the authors never lose their perspective on the practical aspects of the theory. Hunt and Kennedy, who are themselves renowned experts in this area, have set a new high standard for future texts on term structure modelling." Marek Rutkowski, Financial Mathematics Centre, Warsaw University of Technology, Poland Contents Part I: Theory Single-period option pricing Brownian motion Martingales Stochastic integration Girsanov and martingale representation Stochastic differential equations Option pricing in continuous time Dynamic term structure models Part II: Practice Modelling in practice Basic instruments and terminology Pricing standard market derivatives Futures contracts Orientation: Pricing exotic European derivatives Terminal swap-rate models Convexity corrections Implied interest rate pricing models Multi-currency terminal swap-rate models Orientation: Pricing exotic American and path-dependent derivatives Short-rate models Market models Markov-functional modelling Appendices 続きを見る |
所蔵情報
| 状態 | 巻次 | 所蔵場所 | 請求記号 | 刷年 | 文庫名称 | 資料番号 | コメント | 予約・取寄 | 複写申込 | 自動書庫 |
|---|---|---|---|---|---|---|---|---|---|---|
|
|
|
理系図3F 数理独自 | HUNT/25/1 | 2000 |
|
023212000001292 |
|
書誌詳細
| 一般注記 | Includes bibliographical references (p. [379]-382) and index |
|---|---|
| 著者標目 | *Hunt, P. J. Kennedy, J. E. |
| 件 名 | LCSH:Financial futures LCSH:Derivative securities |
| 分 類 | NDC9:338.1 DC21:332.645 LCC:HG6024.A3 |
| 書誌ID | 1000704487 |
| ISBN | 0471967173 |
| NCID | BA46183831 |
| 巻冊次 | ISBN:0471967173 ; PRICE:£60.00 |
| 登録日 | 2009.09.15 |
| 更新日 | 2009.11.02 |