内容

目次

Preface; Acknowledgements; 1. Risk; 2. Pricing methodologies andarbitrage; 3. Trees and option pricing; 4. Practicalities; 5. The Itocalculus; 6. Risk neutrality and martingale measures; 7. The practicalpricing of a European option; 8. Continuous barrier options; 9. Multi-lookexotic options; 10. Static replication; 11. Multiple sources of risk; 12.Options with early exercise features; 13. Interest rate derivatives; 14. Thepricing of exotic interest rate derivatives; 15. Incomplete markets andjump-diffusion processes; 16. Stochastic volatility; 17. Variance gammamodels; 18. Smile dynamics and the pricing of exotic options; Appendix A.Financial and mathematical jargon; Appendix B. Computer projects; Appendix C.Elements of probability theory; Appendix D. Hints and answers to exercises;Bibliography; Index.