Mathematical Models of Financial Derivatives

Mathematical Models of Financial Derivatives is a textbook on the theory behindmodeling derivatives and their risk management, focussing on the valuationprinciples that are common to most derivative securities. A wide range offinancial derivatives commonly traded in the equity and fixed income markets areanalyzed, emphasizing on aspects of pricing, hedging and practical usage. Thereaders are guided through the text on new advances in analytic techniques andnumerical methods for solving various types of derivative pricing models. Inthis second edition, more emphasis has been placed on the discussion of Itocalculus and Girsanov's Theorem; and in particular, the concepts of risk neutralmeasure and equivalent martingale pricing approach. A new chapter on credit riskmodels and pricing of credit derivatives has been added. Most recent researchresults and concepts are made accessible to the readers through extensive, wellthought out exercises at the end of each chapter.