Foundations of the Pricing of Financial Derivatives: Theory and Analysis

The book Foundations of the Pricing of Financial Derivatives: Theory and Analysis is a comprehensive and accessible resource for masters and PhD students, providing a balance between quantitative detail and theoretical explanations. It covers calculus, probability theory, asset pricing, the binomial and Black-Scholes-Merton models, arbitrage, forwards, futures, and swaps, and offers practical applications and a solutions manual.

Format: Hardback
Length: 624 pages
Publication date: 25 January 2024
Publisher: John Wiley & Sons Inc

In Foundations of the Pricing of Financial Derivatives: Theory and Analysis, two esteemed finance academics with extensive professional experience present a comprehensive and mathematically rigorous resource designed specifically for advanced degree students, as well as aspiring practitioners. Drawing upon their extensive collective expertise in teaching, research, and consulting on this subject, the authors have crafted a practical and insightful text that strikes a harmonious balance between intricate quantitative detail and comprehensive theoretical explanations.

This book fills a crucial gap in the literature, addressing the needs of both masters-level students who require mathematical rigor but often lack comprehensive quantitative explanations, and mathematically trained graduate students who require foundational materials and critical insights into advanced mathematics. By providing the necessary technical background, this book empowers readers to comprehend the more advanced mathematics employed in this discipline, facilitating their understanding both in classroom settings, research endeavors, and practical applications.

The book offers a wealth of valuable features to enhance the learning experience. It includes comprehensive tables, figures, line drawings, practice problems accompanied by a solutions manual, extensive references, and a glossary of commonly used specialist terms. These elements not only aid in clarifying complex concepts but also provide practical insights and hands-on practice for readers.

The review of material in calculus, probability theory, and asset pricing provides a solid foundation for understanding the mathematical principles underlying financial derivatives pricing. The coverage extends to both arithmetic and geometric Brownian motion, enabling readers to grasp the intricacies of these dynamic models. Extensive treatment of the mathematical and economic foundations of the binomial and Black-Scholes-Merton models deepens readers' understanding of these essential models, facilitating their application and derivation.

A profound discussion of essential concepts such as arbitrage broadens students' comprehension of the basis for derivative pricing. The book also covers pricing of forwards, futures, and swaps, including arbitrage-free term structures and interest rate derivatives. This comprehensive coverage equips readers with the skills and knowledge necessary to navigate the complex world of financial derivatives pricing.

In conclusion, Foundations of the Pricing of Financial Derivatives: Theory and Analysis is an indispensable resource for advanced degree students, aspiring practitioners, and anyone seeking to delve into the intricate world of financial derivatives pricing. With its rigorous mathematical approach, comprehensive coverage, and practical insights, this book empowers readers to grasp the theoretical foundations and apply them effectively in real-world scenarios. By bridging the gap between mathematical rigor and practical application, it serves as a valuable companion for those seeking to excel in this field.

Weight: 1346g
Dimension: 261 x 190 x 40 (mm)
ISBN-13: 9781394179657