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Book Categories |
Pt. I | Theory | 1 |
1 | Single-period option pricing | 3 |
2 | Brownian motion | 19 |
3 | Martingales | 31 |
4 | Stochastic integration | 63 |
5 | Girsanov and Martingale representation | 91 |
6 | Stochastic differential equations | 115 |
7 | Option pricing in continuous time | 141 |
8 | Dynamic term structure models | 183 |
Pt. II | Practice | 213 |
9 | Modelling in practice | 215 |
10 | Basic instruments and terminology | 227 |
11 | Pricing standard market derivatives | 237 |
12 | Futures contracts | 247 |
Orientation : pricing exotic European derivatives | 259 | |
13 | Terminal swap-rate models | 263 |
14 | Convexity corrections | 277 |
15 | Implied interest rate pricing models | 287 |
16 | Multi-currency terminal swap-rate models | 303 |
Orientation : pricing exotic American and path-dependent derivatives | 315 | |
17 | Short-rate models | 319 |
18 | Market models | 337 |
19 | Markov-functional modelling | 351 |
20 | Exercises and solutions | 373 |
App. 1 | The usual conditions | 417 |
App. 2 | L[superscript 2] spaces | 419 |
App. 3 | Gaussian calculations | 421 |
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