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101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aFinancial derivatives in theory and practice /$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   $a332.64/57
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   $a9910877473803321
996   $aFinancial derivatives in theory and practice$91974514
997   $aUNINA