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Comprehensive introduction to financial derivatives modeling for graduate students and professionals
Applies derivatives pricing methods to all major asset classes
Contains an extensive list of stochastic differential equations with solution methods
Includes a detailed description of the challenges associated with the calibration of, and risk management with, derivatives pricing models
This book gives a comprehensive introduction to the modeling of financial derivatives, covering all major asset classes (equities, commodities, interest rates and foreign exchange) and stretching from Black and Scholes' lognormal modeling to current-day research on skew and smile models. The intended reader has a solid mathematical background and is a graduate/final-year undergraduate student specializing in Mathematical Finance, or works at a financial institution such as an investment bank or a hedge fund.