LEADER 05150nam 2200757Ia 450 001 9910840974003321 005 20180731043439.0 010 $a0-470-86360-9 010 $a1-280-27170-1 010 $a9786610271702 010 $a0-470-30038-8 010 $a0-470-86361-7 035 $a(CKB)1000000000018898 035 $a(EBL)210561 035 $a(OCoLC)475919085 035 $a(SSID)ssj0000296401 035 $a(PQKBManifestationID)11267034 035 $a(PQKBTitleCode)TC0000296401 035 $a(PQKBWorkID)10326800 035 $a(PQKB)10507091 035 $a(SSID)ssj0000154968 035 $a(PQKBManifestationID)12010293 035 $a(PQKBTitleCode)TC0000154968 035 $a(PQKBWorkID)10104947 035 $a(PQKB)11122518 035 $a(MiAaPQ)EBC210561 035 $a(PPN)185060544 035 $a(EXLCZ)991000000000018898 100 $a20040419d2004 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aFinancial derivatives in theory and practice$b[electronic resource] /$fP.J. Hunt, J.E. Kennedy 205 $aRev. ed. 210 $aSouthern Gate, Chichester, West Sussex, England ;$aHoboken, NJ $cJohn Wiley & Sons$dc2004 215 $a1 online resource (469 p.) 225 1 $aWiley series in probability and statistics 300 $aDescription based upon print version of record. 311 $a0-470-86359-5 311 $a0-470-86358-7 320 $aIncludes bibliographical references (p. [423]-426) and index. 327 $a""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"" 327 $a""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"" 327 $a""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 Dooba???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"" 327 $a""5.1.1 Basic results and properties""""5.1.2 Equivalent and locally equivalent measures on a filtered space""; ""5.1.3 Novikova???s condition""; ""5.2 Girsanova???s theorem""; ""5.2.1 Girsanova???s theorem for continuous semimartingales""; ""5.2.2 Girsanova???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"" 327 $a""6.2 Formal definition of an SDE"" 330 $aOriginally published in 2000, Financial Derivatives in Theory and Practice is a complete, rigorous and readable account of the mathematics underlying derivative pricing and a guide to applying these ideas to solve real pricing problems. It is aimed at practitioners and researchers who wish to understand the latest finance literature and develop their own pricing models. The authors' combination of strong theoretical knowledge and extensive market experience make this book particularly relevant for those interested in real world applications of mathematical finance. This revised edition has be 410 0$aWiley series in probability and statistics. 606 $aDerivative securities 606 $aStocks 615 0$aDerivative securities. 615 0$aStocks. 676 $a332.64 676 $a332.64/57 676 $a332.6457 700 $aHunt$b P. J$g(Philip James),$f1964-$0884238 701 $aKennedy$b J. E$0593071 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910840974003321 996 $aFinancial derivatives in theory and practice$91974514 997 $aUNINA