Descript |
xviii, 539 p. : ill. ; 26 cm. |
Edition |
2nd ed. |
Note |
Previous ed. published: Cambridge: Cambridge University Press, 2003. |
Contents |
Contents: Risk -- Pricing methodologies and arbitrage -- Trees and option pricing -- Practicalities -- The Ito calculus -- Risk neutrality and martingale measures -- The practical pricing of a European option -- continuous barrier options -- Multi-look exotic options -- Static replication -- Multiple sources of risk -- Options with early exercise features -- Interest rate derivatives -- The pricing of exotic interest rate derivatives -- Incomplete markets and jump-diffusion processes -- Stochastic volatility -- Variance gamma models -- Smile dynamics and the pricing of exotic options. |
ISBN |
9780521514088 (hardback) |
|
0521514088 (hardback) |
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