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Bielecki T.R. and Rutkowski M. , Credit Risk: Modeling, Valuation and Hedging (2002)

Bingham N.H. and Kiesel R. , Risk-Neutral Valuation: Pricing and Hedging of Financial

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Brigo D. and Mercurio F. , Interest Rate Models: Theory and Practice (2001, 2nd ed. 2006)

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Külpmann M. , Irrational Exuberance Reconsidered (2004)

Kwok Y.-K. , Mathematical Models of Financial Derivatives (1998, 2nd ed. 2008)

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Shreve S.E. , Stochastic Calculus for Finance I (2004)

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Yue-Kuen Kwok

Mathematical Models

of Financial Derivatives

Second Edition

Yue-Kuen Kwok

Department of Mathematics

Hong Kong University of Science & Technology

Clear Water Bay

Kowloon

Hong Kong/PR China

maykwok@ust.hk

ISBN 978-3-540-42288-4

e-ISBN 978-3-540-68688-0

Springer Finance ISSN 1616-0533

Library of Congress Control Number: 2008924369

Mathematics Subject Classiﬁcation (2000): 60Hxx, 62P05, 90A09, 91B28, 91B50

JEL Classiﬁcation: G12, G13

Revised and enlarged 2nd edition to the 1st edition originally published by Springer Singapore 1998

(ISBN 981-3083-25-5).

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