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Mathematics of Derivative Securities

Editor

Listed:
  • Dempster,Michael A. H.
  • Pliska,Stanley R.

Abstract

During 1995 the Isaac Newton Institute for the Mathematical Sciences at Cambridge University hosted a six month research program on financial mathematics. During this period more than 300 scholars and financial practitioners attended to conduct research and to attend more than 150 research seminars. Many of the presented papers were on the subject of financial derivatives. The very best were selected to appear in this volume. They range from abstract financial theory to practical issues pertaining to the pricing and hedging of interest rate derivatives and exotic options in the market place. Hence this book will be of interest to both academic scholars and financial engineers.

Suggested Citation

  • Dempster,Michael A. H. & Pliska,Stanley R. (ed.), 1997. "Mathematics of Derivative Securities," Cambridge Books, Cambridge University Press, number 9780521584241, January.
    • Handle: RePEc:cup:cbooks:9780521584241
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    Cited by:

    1. Edward P. C. Kao & Weiwei Xie, 2017. "Pricing spread options by generalized bivariate edgeworth expansion," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-30, June.
    2. Dorje C. Brody & Lane P. Hughston, 2011. "Interest Rates and Information Geometry," Papers 1111.3757, arXiv.org.

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