{"product_id":"financial-derivatives-in-theory-and-practice-isbn-9780470863589","title":"Financial Derivatives in Theory and Practice","description":"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.  \u003cp\u003eThe 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.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eComprehensive introduction to the theory and practice of financial derivatives.\u003c\/li\u003e \u003cli\u003eDiscusses and elaborates on the theory of interest rate derivatives, an area of increasing interest.\u003c\/li\u003e \u003cli\u003eDivided 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.\u003c\/li\u003e \u003cli\u003eWritten by well respected academics with experience in the banking industry.\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eA valuable text for practitioners in research departments of all banking and finance sectors. Academic researchers and graduate students working in mathematical finance.\u003c\/p\u003e  Preface to revised edition.  \u003cp\u003ePreface.\u003c\/p\u003e \u003cp\u003eAcknowledgements.\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart I: Theory.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Single-Period Option Pricing.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Option pricing in a nutshell.\u003c\/p\u003e \u003cp\u003e1.2 The simplest setting.\u003c\/p\u003e \u003cp\u003e1.3 General one-period economy.\u003c\/p\u003e \u003cp\u003e1.4 A two-period example.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Brownian Motion.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Introduction.\u003c\/p\u003e \u003cp\u003e2.2 Definition and existence.\u003c\/p\u003e \u003cp\u003e2.3 Basic properties of Brownian motion.\u003c\/p\u003e \u003cp\u003e2.4 Strong Markov property.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Martingales.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Definition and basic properties.\u003c\/p\u003e \u003cp\u003e3.2 Classes of martingales.\u003c\/p\u003e \u003cp\u003e3.3 Stopping times and the optional sampling theorem.\u003c\/p\u003e \u003cp\u003e3.4 Variation, quadratic variation and integration.\u003c\/p\u003e \u003cp\u003e3.5 Local martingales and semimartingales.\u003c\/p\u003e \u003cp\u003e3.6 Supermartingales and the Doob—Meyer decomposition.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Stochastic Integration.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Outline.\u003c\/p\u003e \u003cp\u003e4.2 Predictable processes.\u003c\/p\u003e \u003cp\u003e4.3 Stochastic integrals: the L2 theory.\u003c\/p\u003e \u003cp\u003e4.4 Properties of the stochastic integral.\u003c\/p\u003e \u003cp\u003e4.5 Extensions via localization.\u003c\/p\u003e \u003cp\u003e4.6 Stochastic calculus: Itô’s formula.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Girsanov and Martingale Representation.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Equivalent probability measures and the Radon—Nikodým derivative.\u003c\/p\u003e \u003cp\u003e5.1.1 Basic results and properties.\u003c\/p\u003e \u003cp\u003e5.2 Girsanov’s theorem.\u003c\/p\u003e \u003cp\u003e5.3 Martingale representation theorem.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Stochastic Differential Equations.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Introduction.\u003c\/p\u003e \u003cp\u003e6.2 Formal definition of an SDE.\u003c\/p\u003e \u003cp\u003e6.3 An aside on the canonical set-up.\u003c\/p\u003e \u003cp\u003e6.4 Weak and strong solutions.\u003c\/p\u003e \u003cp\u003e6.5 Establishing existence and uniqueness: Itô theory.\u003c\/p\u003e \u003cp\u003e6.6 Strong Markov property.\u003c\/p\u003e \u003cp\u003e6.7 Martingale representation revisited.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Option Pricing in Continuous Time.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Asset price processes and trading strategies.\u003c\/p\u003e \u003cp\u003e7.2 Pricing European options.\u003c\/p\u003e \u003cp\u003e7.3 Continuous time theory.\u003c\/p\u003e \u003cp\u003e7.4 Extensions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Dynamic Term Structure Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Introduction.\u003c\/p\u003e \u003cp\u003e8.2 An economy of pure discount bonds.\u003c\/p\u003e \u003cp\u003e8.3 Modelling the term structure.\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart II: Practice.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Modelling in Practice.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Introduction.\u003c\/p\u003e \u003cp\u003e9.2 The real world is not a martingale measure.\u003c\/p\u003e \u003cp\u003e9.3 Product-based modelling.\u003c\/p\u003e \u003cp\u003e9.4 Local versus global calibration.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Basic Instruments and Terminology.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 Introduction.\u003c\/p\u003e \u003cp\u003e10.2 Deposits.\u003c\/p\u003e \u003cp\u003e10.3 Forward rate agreements.\u003c\/p\u003e \u003cp\u003e10.4 Interest rate swaps.\u003c\/p\u003e \u003cp\u003e10.5 Zero coupon bonds.\u003c\/p\u003e \u003cp\u003e10.6 Discount factors and valuation.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 Pricing Standard Market Derivatives.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Introduction.\u003c\/p\u003e \u003cp\u003e11.2 Forward rate agreements and swaps.\u003c\/p\u003e \u003cp\u003e11.3 Caps and floors.\u003c\/p\u003e \u003cp\u003e11.4 Vanilla swaptions.\u003c\/p\u003e \u003cp\u003e11.5 Digital options.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 Futures Contracts.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 Introduction.\u003c\/p\u003e \u003cp\u003e12.2 Futures contract definition.\u003c\/p\u003e \u003cp\u003e12.3 Characterizing the futures price process.\u003c\/p\u003e \u003cp\u003e12.4 Recovering the futures price process.\u003c\/p\u003e \u003cp\u003e12.5 Relationship between forwards and futures.\u003c\/p\u003e \u003cp\u003eOrientation: Pricing Exotic European Derivatives.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13 Terminal Swap-Rate Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e13.1 Introduction.\u003c\/p\u003e \u003cp\u003e13.2 Terminal time modelling.\u003c\/p\u003e \u003cp\u003e13.3 Example terminal swap-rate models.\u003c\/p\u003e \u003cp\u003e13.4 Arbitrage-free property of terminal swap-rate models.\u003c\/p\u003e \u003cp\u003e13.5 Zero coupon swaptions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14 Convexity Corrections.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e14.1 Introduction.\u003c\/p\u003e \u003cp\u003e14.2 Valuation of ‘convexity-related’ products.\u003c\/p\u003e \u003cp\u003e14.3 Examples and extensions.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e15 Implied Interest Rate Pricing Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e15.1 Introduction.\u003c\/p\u003e \u003cp\u003e15.2 Implying the functional form DTS.\u003c\/p\u003e \u003cp\u003e15.3 Numerical implementation.\u003c\/p\u003e \u003cp\u003e15.4 Irregular swaptions.\u003c\/p\u003e \u003cp\u003e15.5 Numerical comparison of exponential and implied swap-rate models.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e16 Multi-Currency Terminal Swap-Rate Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e16.1 Introduction.\u003c\/p\u003e \u003cp\u003e16.2 Model construction.\u003c\/p\u003e \u003cp\u003e16.3 Examples.\u003c\/p\u003e \u003cp\u003e16.3.1 Spread options.\u003c\/p\u003e \u003cp\u003e\u003cb\u003eOrientation: Pricing Exotic American and Path-Dependent Derivatives.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e17 Short-Rate Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e17.1 Introduction.\u003c\/p\u003e \u003cp\u003e17.2 Well-known short-rate models.\u003c\/p\u003e \u003cp\u003e17.3 Parameter fitting within the Vasicek—Hull—White model.\u003c\/p\u003e \u003cp\u003e17.4 Bermudan swaptions via Vasicek—Hull—White.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e18 Market Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e18.1 Introduction.\u003c\/p\u003e \u003cp\u003e18.2 LIBOR market models.\u003c\/p\u003e \u003cp\u003e18.3 Regular swap-market models.\u003c\/p\u003e \u003cp\u003e18.4 Reverse swap-market models.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e19 Markov-Functional Modelling.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e19.1 Introduction.\u003c\/p\u003e \u003cp\u003e19.2 Markov-functional models.\u003c\/p\u003e \u003cp\u003e19.3 Fitting a one-dimensional Markov-functional model to swaption prices.\u003c\/p\u003e \u003cp\u003e19.4 Example models.\u003c\/p\u003e \u003cp\u003e19.5 Multidimensional Markov-functional models.\u003c\/p\u003e \u003cp\u003e19.5.1 Log-normally driven Markov-functional models.\u003c\/p\u003e \u003cp\u003e19.6 Relationship to market models.\u003c\/p\u003e \u003cp\u003e19.7 Mean reversion, forward volatilities and correlation.\u003c\/p\u003e \u003cp\u003e19.7.1 Mean reversion and correlation.\u003c\/p\u003e \u003cp\u003e19.7.2 Mean reversion and forward volatilities.\u003c\/p\u003e \u003cp\u003e19.7.3 Mean reversion within the Markov-functional LIBOR model.\u003c\/p\u003e \u003cp\u003e19.8 Some numerical results.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e20 Exercises and Solutions.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAppendix 1: The Usual Conditions.\u003c\/p\u003e \u003cp\u003eAppendix 2: \u003ci\u003eL\u003c\/i\u003e\u003csup\u003e2\u003c\/sup\u003e Spaces.\u003c\/p\u003e \u003cp\u003eAppendix 3: Gaussian Calculations.\u003c\/p\u003e \u003cp\u003eReferences.\u003c\/p\u003e \u003cp\u003eIndex.\u003c\/p\u003e  \u003cp\u003e\u003cstrong\u003ePhilip Hunt\u003c\/strong\u003e is the author of \u003cem\u003eFinancial Derivatives in Theory and Practice\u003c\/em\u003e, Revised Edition, published by Wiley. \u003c\/p\u003e\u003cp\u003e\u003cstrong\u003eJoanne Kennedy\u003c\/strong\u003e is the author of \u003cem\u003eFinancial Derivatives in Theory and Practice\u003c\/em\u003e, Revised Edition, published by Wiley.   Originally published in 2000, \u003ci\u003eFinancial Derivatives in Theory and Practice\u003c\/i\u003e 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.  \u003c\/p\u003e\u003cp\u003eThis 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.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eDetailed coverage of interest rate derivatives, from 'vanilla' instruments through to many of the more exotic products currently being traded.\u003c\/li\u003e \u003cli\u003eOverview of popular term structure models along with their relationships to each other (including Heath-Jarrow-Morton, short rate models and the latest market models).\u003c\/li\u003e \u003cli\u003eExplanation of numeraires as a modelling and pricing tool.\u003c\/li\u003e \u003cli\u003ePricing models for constant maturity swaps and other convexity products.\u003c\/li\u003e \u003cli\u003eModels and efficient algorithms for path-dependent and Bermudan swaptions.\u003c\/li\u003e \u003cli\u003eInsights into how to go about pricing products beyond those treated in the text.\u003c\/li\u003e \u003cli\u003eAccessible yet rigorous treatment of the stochastic calculus required for option pricing.\u003c\/li\u003e \u003cli\u003eA chapter of exercises and solutions enabling use as a course text or for self-study.\u003c\/li\u003e \u003c\/ul\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989209432293,"sku":"NP9780470863589","price":231.95,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470863589.jpg?v=1761783218","url":"https:\/\/k12savings.com\/products\/financial-derivatives-in-theory-and-practice-isbn-9780470863589","provider":"K12savings","version":"1.0","type":"link"}