Financial Derivatives in Theory Rev: 556 (Wiley Series in Probability and Statistics) - Tapa dura

The term Financial Derivative is a very broad term which has come to mean any financial transaction whose value depends on the underlying value of the asset concerned. Sophisticated statistical modelling of derivatives enables practitioners in the banking industry to reduce financial risk and ultimately increase profits made from these transactions. The book originally published in March 2000 to widespread acclaim. This revised edition has been updated with minor corrections and new references, and now includes a chapter of exercises and solutions, enabling use as a course text.It provides a comprehensive introduction to the theory and practice of financial derivatives. It discusses and elaborates on the theory of interest rate derivatives, an area of increasing interest. It is divided into two self-contained parts the first concentrating on the theory of stochastic calculus, and the second describes in detail the pricing of a number of different derivatives in practice. It is written by well respected academics with experience in the banking industry. It is a valuable text for practitioners in research departments of all banking and finance sectors. It is also suitable for academic researchers and graduate students working in mathematical finance.

Originally published in 2000, Financial Derivatives in Theory and Practice is a complete, rigorous and readable account of the mathematics underlying derivative pricing and a guide to applying these ideas to solve real pricing problems. It is aimed at practitioners and researchers who wish to understand the latest finance literature and develop their own pricing models. The authors’ combination of strong theoretical knowledge and extensive market experience make this book particularly relevant for those interested in real world applications of mathematical finance.

This revised edition has been updated with minor corrections, and now includes a dedicated chapter of exercises and solutions. The balance of rigor and readability makes the book an ideal textbook for masters and postgraduate students of mathematical finance, stochastic calculus and derivatives pricing.

• Detailed coverage of interest rate derivatives, from 'vanilla' instruments through to many of the more exotic products currently being traded.
• Overview of popular term structure models along with their relationships to each other (including Heath-Jarrow-Morton, short rate models and the latest market models).
• Explanation of numeraires as a modelling and pricing tool.
• Pricing models for constant maturity swaps and other convexity products.
• Models and efficient algorithms for path-dependent and Bermudan swaptions.
• Insights into how to go about pricing products beyond those treated in the text.
• Accessible yet rigorous treatment of the stochastic calculus required for option pricing.
• A chapter of exercises and solutions enabling use as a course text or for self-study.