Pricing and hedging of derivative securities /
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| Author / Creator: | Nielsen, L. T. (Lars Tyge) |
|---|---|
| Imprint: | Oxford ; New York : Oxford University Press, 1999. |
| Description: | xiii, 444 p. : ill. ; 25 cm. |
| Language: | English |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/4131456 |
Table of Contents:
- 1. Stochastic Processes
- 2. Ito Calculus
- 3. Gaussian Processes
- 4. Securities and Trading Strategies
- 5. The Martingale Valuation Principle
- 6. The Black-Scholes Model
- 7. Gaussian Term Structure Models
- Appendix A. Measure and Probability
- Appendix B. Lebesgue Integrals and Expectations
- Appendix C. The Heat Equation
- Appendix D. Suggested Solutions to Exercises for Chapters 1-7
- Appendix E. Suggested Solutions to Exercises for Appendix A and B