Foundations of the Pricing of Financial Derivatives - Hardback Book - Theory and Analysis - by Don M. Chance - 9781394179657 - John Wiley & Sons Inc

In Foundations of the Pricing of Financial Derivatives: Theory and Analysis two expert finance academics with professional experience deliver a practical new text for doctoral and masters’ students and also new practitioners. The book draws on the authors extensive combined experience teaching, researching, and consulting on this topic and strikes an effective balance between fine-grained quantitative detail and high-level theoretical explanations.

The authors fill the gap left by books directed at masters’-level students that often lack mathematical rigor. Further, books aimed at mathematically trained graduate students often lack quantitative explanations and critical foundational materials. Thus, this book provides the technical background required to understand the more advanced mathematics used in this discipline, in class, in research, and in practice.

Readers will also find:

Tables, figures, line drawings, practice problems (with a solutions manual), references, and a glossary of commonly used specialist terms

Review of material in calculus, probability theory, and asset pricing

Coverage of both arithmetic and geometric Brownian motion

Extensive treatment of the mathematical and economic foundations of the binomial and Black-Scholes-Merton models that explains their use and derivation, deepening readers’ understanding of these essential models

Deep discussion of essential concepts, like arbitrage, that broaden students’ understanding of the basis for derivative pricing

Coverage of pricing of forwards, futures, and swaps, including arbitrage-free term structures and interest rate derivatives