Financial Mathematics---Introduction to Derivative Pricing

Author: Ye Zhongxing
Publisher:
Publish Date: 2006-01-01
Features: One of the core contents of financial mathematics is the pricing of derivative products. This book delves into the mathematics behind the pricing, structure, and hedging of derivative securities, presented in a rigorous yet accessible manner. The author introduces new concepts such as martingales, measure transformations, and the Heath-Jarrow-Morton model in a way that is easy for market practitioners to understand. Starting with discrete-time hedging using a binomial tree, the book further extends to continuous-time stock models (including the Black-Scholes model). Emphasizing practicality, the book includes numerous examples from stock, currency, and interest rate markets, along with graphs drawn based on real-world data. The appendix provides a glossary of terms related to probability and financial concepts. As a foundational textbook in financial mathematics, this book is suitable for undergraduate and graduate courses in relevant fields. It can also serve as a reference for professionals in the financial industry, quantitative analysts, and derivative traders.