Financial mathematics :
xxvi, 805 p. : ill. ; 26 cm. - (Chapman & Hall/CRC financial mathematics series ) Content notes : I. Introduction to pricing and management of financial securites: 1. Mathematics of Compounding --
2. Primer on Pricing Risky Securities --
3. Portfolio Management -- Primer on Derivative Securities --
II. Discrete-time modeling:
5. Single-Period Arrow-Debreu Models --
6. Introduction to Discrete-Time Stochastic Calculus --
7. Replication and Pricing in the Binomial Tree Model --
8. General Multi-Asset Multi-Period Model --
III. Continuous-time modeling:
9. Essentials of General Probability Theory --
10. One-Dimensional Brownian Motion and Related Processes --
11. Introduction to Continuous-Time Stochastic Calculus --
12. Risk-Neutral Pricing in the (B, S) Economy: One Underlying Stock --
13. Risk-Neutral Pricing in a Multi-Asset Economy --
14. American Options --
15. Interest-Rate Modelling and Derivative Pricing --
16. Alternative Models of Asset Price Dynamics --
IV. Computational Techniques --
17. Introduction to Monte Carlo and Simulation Methods --
18. Numerical Applications to Derivative Pricing--
Appendix--
Glossary of symbols and abbreviations--
References--
Index.
