This text introduces quantitative tools used in pricing financial derivatives to those with basic knowledge of calculus and probability. It reviews basic derivative instruments, the arbitrage
theorem, and deterministic calculus, and describes models and notation in pricing derivatives, tools in probability theory, martingales and martingale representations, differentiation in
stochastic environments, the Wiener and Lévy processes and rare events in financial markets, integration in stochastic environments, and Ito’s Lemma. Additional topics consist of the dynamics
of derivative prices, pricing derivative products using partial differential equations, partial-integro differential equations, equivalent martingale measures, new results and tools for
interest-sensitive securities, modeling term structure and related concepts, the classical and Heath-Jarrow-Morton (HJM) approach to fixed income, classical partial differential equation
analysis for interest rate derivatives, relating conditional expectations to partial differential equations, pricing derivatives via Fourier transform technique, stopping times and
American-type securities, and calibration and estimation techniques. Annotation ©2014 Book News, Inc., Portland, OR (booknews.com)
