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1、FINANCIALDERIVATIVESPRICING,APPLICATIONS,ANDMATHEMATICSJamilBaz,GeorgeChackoFinancialDerivativesThisbookoffersasuccinctaccountoftheprinciplesoffinancialderivativespricing.Thefirstchapterprovidesreaderswithanintuitiveexpositionofbasicrandomcalculus.Conceptssuchasvolatilityandtime,randomwalks,geometr
2、icBrownianmotion,andItô’slemmaarediscussedheuristically.Thesecondchapterdevelopsgenericpricingtechniquesforasstsandderivatives,determiningthenotionofastochasticdiscountfactororpricingkernel,andthenusesthisconcepttopriceconventionalandexoticderivatives.Thethirdchapterappliesthepricingconceptstothesp
3、ecialcaseofinterestratemarkets,namely,bondsandswaps,anddiscussfactormodelsandterm-structure-consistentmodels.Thefourthchapterdealswithavarietyofmathematicaltopicsthatunderliederivativespricingandportfolioallocationdecisions,suchasmean-revertingprocessesandjumpprocesses,anddiscussesrelatedtoolsofsto
4、chasticcalculus,suchasKolmogorovequations,martingalestechniques,stochasticcontrol,andpartialdifferentialequations.JamilBazisHeadofGlobalFixedIncomeResearchatDeutscheBank,London.Priortothisappointment,hewasaManagingDirectoratLehmanBrothers.Dr.BazisaResearchFellowatOxfordUniversity,whereheteachesfina
5、ncialeconomics.HehasdegreesfromtheEcoledesHautesEtudesCommerciales(Dilplôme),theLondonSchoolofEconomics(MSc),MIT(SM),andHarvardUniversity(AM,PhD).GeorgeChackoisAssociateProfessorintheFinanceFacultyofHarvardUniversityBusinessSchool.HehasdegreesfromMIT(SB),theUniversityofChicago(MBA),andHarvardUniver
6、sity(PhD).ProfessorChacko’sresearchcontinuestofocusonoptimalportfoliochoiceandconsumptiondecisionsinadynamicframework.1AcknowledgementsWeareaseverinmanypeople’sdebt.BothauthorsareluckytohaveworkedwithorbeentaughtbyeminentexpertssuchasJohnCampbell,SanjivDas,JeromeDetemple,KenFroot,AndrewLo,FrancoMod
7、igliani,VasantNaik,MichaelPascutti,LesterSeigel,PeterTufano,LuisViceira,andJean-LucVila.Alist,bynomeansexhaustive,ofcolleagueswhohavereadorinfluencedthismanuscriptincludesRichardBateson,EricBriys,RobertCamp
