Pricing derivative securities

The development of successful techniques for valuing derivative assets is among the most influential achievements of economic science.

This text presents the theory of financial derivatives in a way that emphasizes both its mathematical foundations and its practical implementation.

The book is divided into three sections: firstly it surveys the necessary tools of analysis, probability theory and stochastic calculus; part two is organized around the dynamics of the price processes of underlying assets; and the final part of the text is devoted to the empirical implementation of the pricing formulas.