The Mathematics of Financial Derivatives : A Student Introduction (Paperback)

Part I. Basic Option Theory: 1. An introduction to options and markets; 2. Asset price random walks; 3. The Black-Scholes model; 4. Partial differential equations; 5. The Black?Scholes formulae; 6. Variations on the Black-Scholes model; 7. American options; Part II. Numerical Methods: 8. Finite-difference methods; 9. Methods for American options; 10. Binomial methods; Part III. Further Option Theory: 11. Exotic and path-dependent options; 12. Barrier options; 13. A unifying framework for path-dependent options; 14. Asian options; 15. Lookback options; 16. Options with transaction costs; Part IV. Interest Rate Derivative Products: 17. Interest rate derivatives; 18. Convertible bonds; Hints to selected exercises; Bibliography; Index.