Quantitative Modeling of Derivative Securities

Based primarily on the analysis of derivatives, Quantitative Modeling of Derivative Securities emphasizes relative-value and hedging ideas applied to different financial instruments. It demonstrates how to take the basic ideas of arbitrage theory and apply them to the design and analysis of financial products. Using a financial engineering approach, the theory is developed progressively, focusing on specific aspects of pricing and hedging and on problems that the technical analyst or trader has to consider in practice. Anyone who has mastered the contents of this book will have bridged the gap between newcomers and the technical and research literature.