An Introduction to the Mathematics of Financial Derivatives (Hardcover, 2nd)

Financial Derivatives; A Primer on Arbitrage Theorem; Calculus in Deterministic and Stochastic Environments; Pricing Derivatives: Models and Notation; Tools in Probability Theory; Martingales and Martingale Representations; Differentiation in Stochastic Environments; The Wiener Process and Rare Events in Financial Markets; Integration in Stochastic Environments; The Dynamics of Derivative Prices; Pricing Derivative Products; The Black-Scholes PDE; Pricing Derivative Products; Equivalent Martingale Measures; New Results and Tools for Interest Sensitive Securities; Arbitrage Theorem in a New Setting: Normalization and Random Interest Rates; Modeling Term Structure and Related Concepts; Classical and HJM Approaches to Fixed Income; Classical PDE Analysis for Interest Rate Derivatives; Relating Conditional Expectations to PDEs; Stopping Times and American-Type Securities; Bibliography; Index.