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Finance – The Mathematics Of Financial Derivatives
Finance is one of the fastest growing areas in the modern banking and corporate world. This, together with the sophistication of modern financial products, provides a rapidly growing impetus for new mathematical models and modern mathematical methods. Indeed, the area is an expanding source for novel and relevant “real-world” mathematics. In this book, the authors […]
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Credit Risk Modelling and Credit Derivatives
Credit Risk The creditrisk market is the fastest growing financial market in the world, attracting everyone from hedge funds to banks and insurance companies. Increasingly, professionals in corporate finance need to understand the workings of thecredit risk market in order to successfully manage risk in their own organizations; in addition, some wish to move into […]
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fi lecture16 exotic options credit derivatives
fi lecture16 exotic options credit derivatives Interest-rate exotic options usually are – Path-dependent – Correlation-dependent – Time-dependent – Or a mix of these features • Path-dependent options: option payoffs are a function of the path that interest rates follow over the option life • Correlation-dependent options: option payoffs are based on the relationship between several […]
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INTRODUCTION TO ARBITRAGE PRICING OF FINANCIAL DERIVATIVES
that is {{g(ST ) =½ST ¡ K if ST > K (option is exercised),0 if ST · K (option is abandoned).}} In fact, if at the expiry date T the stock price is lower than the strike price, the holder of the call option can purchase an underlying stock directly on a spot (i.e., cash) […]
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Rubinstein Mark – Rubinstein on Derivatives
Rubinstein Mark An introduction to modern derivatives pricing and hedging theory and practice. It includes discussion of binomial option pricing, futures and bonds, volatility, quantitative tahlil, exotic options, corporate securities, empirical tests, portfolio optimization and performance measurement.