Pricing Derivatives (McGraw-Hill Library of Investment and Finance)

Irwin Library Of Investment And Finance Pricing Derivatives Provides Investors With A Clear Understanding Of Derivative Pricing Models By First Focusing On The Underlying Mathematics And Financial Concepts Upon Which The Models Were Originally Built. Trading Consultant Professor Ambar Sengupta Uses Short, To-the-point Chapters To Examine The Relation Between Price And Probability As Well As Pricing Structures Of All Major Derivative Instruments. Other Topics Covered Include Foundations Of Stochastic Models Of Pricing, Along With Methods For Establishing Optimal Prices In Terms Of The Max-min Principles That Underlie Game Theory. Pt. 1. Fundamentals -- Ch. 1. Price And Probability -- Ch. 2. The Market Equilibrium Measure -- Ch. 3. Price As Expectation -- Ch. 4. Changing Numeraires -- Ch. 5. Changing Numeraires : Examples -- Ch. 6. No-arbitrage And The Min-max Argument -- Ch. 7. Conditional Price As Conditional Expectation : The Martingale Principle -- Pt. 2. Prices Of Basic Instruments -- Ch. 8. Bonds And Interest -- Ch. 9. Forward Prices -- Ch. 10. Futures Prices -- Ch. 11. Calls And Puts -- Ch. 12. Forward Rate -- Ch. 13. Swaps And The Swap Rate -- Ch. 14. Natural Time Lag And The Convexity Adjustment -- Ch. 15. Swaption Price -- Ch. 16. Volatility And Hedging -- Pt. 3. Model Prices -- Ch. 17. Option Prices In The Log-normal Case Ambar N. Sengupta. Includes Bibliographical References (p. 269-271) And Index.