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1、FinancialDerivativesPricing,Applications,andMathematicsJamilBaz,GeorgeChacko0.1FinancialDerivativesThisbookoffersasuccinctaccountoftheprinciplesoffinancialderivativespricing.Thefirstchapterprovidesreaderswithanintuitiveexpositionofbasicrandomcalculus.C
2、onceptssuchasvolatilityandtime,randomwalks,geometricBrownianmotion,andIto’slemmaarediscussedheuristically.Theˆsecondchapterdevelopsgenericpricingtechniquesforassetsandderivatives,determiningthenotionofastochasticdiscountfactororpricingkernel,andthenu
3、sesthisconcepttopriceconventionalandexoticderivatives.Thethirdchapterappliesthepricingconceptstothespecialcaseofinterestratemarkets,namely,bondsandswaps,anddiscussfactormodelsandterm-structure-consistentmodels.Thefourthchapterdealswithavarietyofmathe
4、maticaltopicsthatunderliederivativespricingandportfolioallocationdecisions,suchasmeanrevertingprocessesandjumpprocesses,anddiscussesrelatedtoolsofstochasticcalculus,suchasKolmogorovequations,martingalestechniques,stochasticcontrol,andpartialdifferent
5、ialequations.JamilBazisHeadofGlobalFixedIncomeResearchatDeutscheBank,London.Priortothisappointment,hewasaManagingDirectoratLehmanBrothers.Dr.BazisaResearchFellowatOxfordUniversity,whereheteachesfinancialeconomics.HehasdegreesfromtheEcoledesHautesEtude
6、sCommerciales(Dilplome),theLondonSchoolofEconomics(MSc),MIT(SM),andHarvardˆUniversity(AM,PhD).GeorgeChackoisAssociateProfessorintheFinanceFacultyofHarvardUniversityBusinessSchool.HehasdegreesfromMIT(SB),theUniversityofChicago(MBA),andHarvardUniversit
7、y(PhD).ProfessorChacko’sresearchcontinuestofocusonoptimalportfoliochoiceandconsumptiondecisionsinadynamicframework.10.2AcknowledgementsWeareaseverinmanypeople’sdebt.BothauthorsareluckytohaveworkedwithorbeentaughtbyeminentexpertssuchasJohnCampbell,San
8、jivDas,JeromeDetemple,KenFroot,AndrewLo,FrancoModigliani,VasantNaik,MichaelPascutti,LesterSeigel,PeterTufano,LuisViceira,andJean-LucVila.Alist,bynomeansexhaustive,ofcolleagueswhohavereadorinfluencedthismanuscriptincludesRichardBateson,EricBriys,Robert
