1st Edition
Derivatives Mathematical Foundations for Finance Students
Notation. Preface. Part I: Background 1. Calculus background 2. Statistical background 3. Introduction to derivative securities Part II: Stochastic Calculus 4. Standard Brownian motion 5. Itô formula 6. Stochastic integrals Part III: Pricing Derivatives 7. Geometric Brownian Motion 8. The binomial model 9. Black-Scholes equation 10. Option pricing in continuous time 11. Option Greeks Part IV: Interest Rate Derivatives 12. Fixed-income instruments 13. Black’s model 14. Short-rate models 15. Heath–Jarrow–Morton model. Bibliography
Biography
Declan French is Professor of Finance at Queen's Business School, Queen's University Belfast, United Kingdom.
“Declan French has produced an exceptional text, combining rigour and practical relevance. Using examples and simulations, the book moves with remarkable accessibility from core calculus and probability to stochastic calculus, Itô’s formula, and risk-neutral pricing. French’s ability to connect theory with real-world applications makes this an invaluable resource for finance and actuarial students.”
John O.S. Wilson, Professor, University of St Andrews, UK
“This excellent textbook makes quantitative finance simple and intuitive. Its mathematical content is succinct, engaging, and focused on key concepts, making it ideal for new undergraduates studying option pricing or derivatives modules who want a solid grounding in mathematics, statistics, and probability to support their understanding.”
Danny McGowan, Professor of Business, Durham University, UK
