内容

目次

Financial derivatives - a brief introduction; a primer on arbitragetheorem; calculus in deterministic and stochastic environments; pricingderivatives - models and notations; tools in probability theory;martingales and martingale representations; differentiation instochastic environments; wiener process and rare events in financialmarkets, integration in stochastic environments - Ito integral; Ito'slemma; the dynamics of derivatives prices - stochastic differentialequations; pricing derivative products - partial differentialequations; an application - the black-scholes PDE; pricing derivativeproducts - equivalent martingale measures; equivalent martingalemeasures - applications; tools for complicated derivative structures.