{"product_id":"derivatives-pricing-paperback-softback-9781009554657","title":"Derivatives Pricing (Paperback \/ softback) 9781009554657","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eDerivatives Pricing\u003c\/font\u003e\u003cbr\u003e\r\n\r\n\r\n\u003c\/p\u003e\n\u003cp\u003e\u003cem\u003eA masters-level introduction offering a unique compromise between intuition and the mathematics underlying derivatives pricing.\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eFrédéric D. Vrins (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9781009554657, Cambridge University Press\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003ePaperback \/ softback, published 20 March 2025\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e494 pages\u003cbr\u003e24.5 x 16.8 x 2.6 cm, 0.85 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cem\u003e\u003cfont size=\"3\"\u003e'This textbook is a master's-level exposition of mathematical concepts in financial derivatives pricing, useful for both industry and academia … [It] offers an interesting introduction to the field of financial derivatives and their valuation, enabling readers without prior exposure to mathematical finance or probability theory to develop a solid understanding of this area.' MathSciNet\u003c\/font\u003e\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003eThis is a masters-level overview of the mathematical concepts needed to fully grasp the art of derivatives pricing, and a must-have for anyone considering a career in quantitative finance in industry or academia. Starting from the foundations of probability, this textbook allows students with limited technical background to build a solid knowledge of the most important principles. It offers a unique compromise between intuition and mathematics, even when discussing abstract ideas such as change of measure. Mathematical concepts are introduced initially using toy examples, before moving on to examples of finance cases, both in discrete and continuous time. Throughout, numerical applications and simulations illuminate the analytical results. The end-of-chapter exercises test students' understanding, with solved exercises at the end of each part to aid self-study. Additional resources are available online, including slides, code and an interactive app.\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eForeword\u003cbr\u003e General Introduction\u003cbr\u003e Part I. Probability Theory: 1. Probability space\u003cbr\u003e 2. Random variables and distributions\u003cbr\u003e 3. Moments and measure changes\u003cbr\u003e 4. Dealing with partial information\u003cbr\u003e 5. Sampling and Monte Carlo simulation\u003cbr\u003e 6. Solved exercises\u003cbr\u003e Part II. Pricing by Risk-Neutral Expectation: 7. Stochastic process and related concepts\u003cbr\u003e 8. The random walk\u003cbr\u003e 9. Derivative pricing using CRR\u003cbr\u003e 10. The Brownian motion\u003cbr\u003e 11. Derivative pricing using GBM\u003cbr\u003e 12. Solved exercises\u003cbr\u003e Part III. Pricing by Dynamic Replication: 13. Stochastic integrals\u003cbr\u003e 14. Stochastic differential equations\u003cbr\u003e 15. Itô calculus\u003cbr\u003e 16. The Black-Scholes-Merton equation\u003cbr\u003e 17. Solved exercises\u003cbr\u003e Part IV. Hedging and Beyond: 18. Replication and hedging\u003cbr\u003e 19. Fundamental theorems of asset pricing\u003cbr\u003e 20. Pricing via change of numéraire\u003cbr\u003e 21. Beyond Black-Scholes-Merton\u003cbr\u003e 22. Solved exercises\u003cbr\u003e Part V. Appendices: Appendix A. Short-selling in a nutshell\u003cbr\u003e Appendix B. Important functions of distributions\u003cbr\u003e Appendix C. Covergence of random variables\u003cbr\u003e Appendix D. Quadratic variation of smooth functions\u003cbr\u003e Appendix E. Connections between CRR and GBM\u003cbr\u003e Appendix F. Pricing Asian options via Monte Carlo\u003cbr\u003e Appendix G. Itô vs Stratanovich integrals\u003cbr\u003e Appendix H. Itô's lemma: sketch of proof\u003cbr\u003e Appendix I. Acronyms\u003cbr\u003e Bibliography\u003cbr\u003e Index.\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Applied mathematics [\u003ca title=\"See our other books on Applied mathematics\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Applied%20mathematics%20%5BPBW%5D%22\"\u003ePBW\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Cambridge University Press","offers":[{"title":"Brand New","offer_id":52475086602520,"sku":"9781009554657","price":50.19,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/files\/9781009554657i.jpg?v=1785804472","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/derivatives-pricing-paperback-softback-9781009554657","provider":"Freshly Printed Books","version":"1.0","type":"link"}