ABOUT THIS BOOK
Here is the first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities. With mathematical precision and in a style tailored for market practioners, the authors describe key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model. Starting from discrete-time hedging on binary trees, the authors develop continuous-time stock models (including the Black-Scholes method). They stress practicalities including examples from stock, currency and interest rate markets, all accompanied by graphical illustrations with realistic data. The authors provide a full glossary of probabilistic and financial terms.

TABLE OF CONTENTS
1. Introduction
2. Discrete processes
3. Continuous processes
4. Pricing market securities
5. Interest rates
6. Bigger models
Appendix 1. Further reading
Appendix 2. Notation
Appendix 3. Answers to exercises
Appendix 4. Glossary of technical terms
Index.