Financial derivatives in theory and practice [[electronic resource] /] / P.J. Hunt, J.E. Kennedy

• Record Nr.: UNINA9910830663103321
• Autore: Hunt P. J (Philip James), <1964->
• Pubbl/distr/stampa: Southern Gate, Chichester, West Sussex, England ; ; Hoboken, NJ, : John Wiley & Sons, c2004
• ISBN: 0-470-86360-9; 1-280-27170-1; 9786610271702; 0-470-30038-8; 0-470-86361-7
• Edizione: [Rev. ed.]
• Descrizione fisica: 1 online resource (469 p.)
• Collana: Wiley series in probability and statistics
• Altri autori (Persone): KennedyJ. E
• Disciplina: 332.64; 332.64/57; 332.6457
• Soggetti: Derivative securities; Stocks
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references (p. [423]-426) and index.
• Nota di contenuto: ""Financial Derivatives in Theory and Practice""; ""Contents""; ""Preface to revised edition""; ""Preface""; ""Acknowledgements""; ""Part I: Theory""; ""1 Single-Period Option Pricing""; ""1.1 Option pricing in a nutshell""; ""1.2 The simplest setting""; ""1.3 General one-period economy""; ""1.3.1 Pricing""; ""1.3.2 Conditions for no arbitrage: existence of Z""; ""1.3.3 Completeness: uniqueness of Z""; ""1.3.4 Probabilistic formulation""; ""1.3.5 Units and numeraires""; ""1.4 A two-period example""; ""2 Brownian Motion""; ""2.1 Introduction""; ""2.2 Definition and existence""; ""2.3 Basic properties of Brownian motion""""2.3.1 Limit of a random walk""; ""2.3.2 Deterministic transformations of Brownian motion""; ""2.3.3 Some basic sample path properties""; ""2.4 Strong Markov property""; ""2.4.1 Reflection principle""; ""3 Martingales""; ""3.1 Definition and basic properties""; ""3.2 Classes of martingales""; ""3.2.1 Martingales bounded in L(1)""; ""3.2.2 Uniformly integrable ; martingales""; ""3.2.3 Square-integrable martingales""; ""3.3 Stopping times and the optional sampling theorem""; ""3.3.1 Stopping times""; ""3.3.2 Optional sampling theorem""; ""3.4 Variation, quadratic variation and integration""""3.4.1 Total variation and Stieltjes integration""; ""3.4.2 Quadratic variation""; ""3.4.3 Quadratic covariation""; ""3.5 Local martingales and semimartingales""; ""3.5.1 The space cM(loc)""; ""3.5.2 Semimartingales""; ""3.6 Supermartingales and the Doobâ€?Meyer decomposition""; ""4 Stochastic Integration""; ""4.1 Outline""; ""4.2 Predictable processes""; ""4.3 Stochastic integrals: the L(2) theory""; ""4.3.1 The simplest integral""; ""4.3.2 The Hilbert space L(2)(M)""; ""4.3.3 The L(2) integral""; ""5.1.1 Basic results and properties""""5.1.2 Equivalent and locally equivalent measures on a filtered space""; ""5.1.3 Novikovâ€?s condition""; ""5.2 Girsanovâ€?s theorem""; ""5.2.1 Girsanovâ€?s theorem for continuous semimartingales""; ""5.2.2 Girsanovâ€?s theorem for Brownian motion""; ""5.3 Martingale representation theorem""; ""5.3.1 The space I(2)(M) and its orthogonal complement""; ""5.3.2 Martingale measures and the martingale representation theorem""; ""5.3.3 Extensions and the Brownian case""; ""6 Stochastic Differential Equations""; ""6.1 Introduction""; ""6.2 Formal definition of an SDE""
• Sommario/riassunto: 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 be