Mathematics of Derivative Securities

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Oktober 1997



The papers in this volume address various aspects of financial derivatives that range from abstract financial theory to practical issues pertaining to the pricing and hedging of interest rate derivatives and exotic options in the market place. This broad and important collection will interest both academic scholars and financial engineers.


Foreword R. C. Merton; Part I. Introduction: 1. Editors' introduction; 2. Stochastic calculus and Markov methods L. C. G. Rogers; 3. The risk premium in trading equilibria which support Black-Scholes option pricing S. D. Hodges and M. J. P. Selby; 4. On the numeraire portfolio P. Artzner; Part II. Option Pricing and Hedging: 5. Convergence of Snell envelopes and critical prices in the American Put N. J. Cutland, P. E. Kopp, W. Willinger and M. C. Wyman; 6. Some combination of Asian, Parisian and Barrier options M. Yor, M. Chesnay, H. Geman and M. Jeanblanc-Pique; 7. Co-movement term structure and the valuation of crack energy spread options A. Mbanefo; 8. Pricing and hedging with Smiles B. Dupire; 9. Filtering derivative security valuations from market prices R. J. Elliott, C. H. Lahaie and D. B. Madan; 10. Option pricing in the presence of extreme fluctuations J.-P. Bouchard, D. Sornette and M. Potters; 11. Hedging long maturity commodity commitments with short-dated futures contracts M. J. Brennan and N. I. Crew; 12. Nonlinear financial markets: hedging and portfolio optimization J. Cvitanic; 13. Semimartingales and asset pricing under constraints M. Frittelli; 14. Option pricing in incomplete markets M. H. A. Davis; 15. Option pricing and hedging in discrete time with transaction costs F. Mercurio and T. C. F. Vorst; Part III. Term Structure and Interest Rate Derivatives: 16. Bond and bond option pricing based on the current term structure P. H. Dybvig; 17. Dynamic models for yield curve evolution B. Flesaker and L. P. Hughston; 18. General interest rate models and the universality of HJM M. W. Baxter; 19. Swap derivatives in a Gaussian HJM framework A. Brace and M. Musiela; 20. Modelling bonds and derivatives with default risk D. Lando; 21. Term structure modelling under alternative official regimes S. H. Babbs and N. J. Webber; 22. Interest rate distributions, yield curve modelling and monetary policy L. El-Jahel, H. Lindberg and W. Perraudin; Part IV. Numerical Methods: 23. Numerical option pricing using conditioned diffusions S. K. Gandhi and P. J. Hunt; 24. Numerical valuation of cross-currency swaps and swaptions M. A. H. Dempster and J. P. Hutton; 25. Numerical methods for stochastic control problems in finance H. J. Kushner; 26. Simulation methods for option pricing J. P. Lehoczky; 27. New methodologies for valuing derivatives S. H. Paskov.


' ... offers superb insight into many classical and less classical issues of modern quantitative finance.' Rudi Bogni, The Times Higher Education Supplement 'Merton, in his Foreword, characterizes the contents as 'representative of the high quality and mathematical sophistication of research in the field.' ... I have no reason to differ with this evaluation.' Peter Bloomfield, JASA
EAN: 9780521584241
ISBN: 0521584248
Untertitel: 'Publications of the Newston In'. Sprache: Englisch.
Erscheinungsdatum: Oktober 1997
Seitenanzahl: 600 Seiten
Format: gebunden
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