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Ammann M.
, Credit Risk Valuation: Methods, Models, and Application (2001)
Back K.
, A Course in Derivative Securities: Introduction to Theory and Computation (2005)
Barucci E.
, Financial Markets Theory. Equilibrium, Efficiency and Information (2003)
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
Derivatives (1998, 2nd ed. 2004)
Brigo D. and Mercurio F.
, Interest Rate Models: Theory and Practice (2001, 2nd ed. 2006)
Buff R.
, Uncertain Volatility Models –Theory and Application (2002)
Carmona R.A. and Tehranchi M.R.
, Interest Rate Models: An Infinite Dimensional Stochastic
Analysis Perspective (2006)
Dana R.-A. and Jeanblanc M.
, Financial Markets in Continuous Time (2003)
Deboeck G. and Kohonen T. (Editors)
, Visual Explorations in Finance with Self-Organizing
Maps (1998)
Delbaen F. and Schachermayer W.
, The Mathematics of Arbitrage (2005)
Elliott R.J. and Kopp P.E.
, Mathematics of Financial Markets (1999, 2nd ed. 2005)
Fengler M.R.
, Semiparametric Modeling of Implied Volatility (2005)
Filipovic D.
, Term-Structure Models (2008 forthcoming)
Fusai G. and Roncoroni A.
, Implementing Models in Quantitative Finance (2008)
Geman H., Madan D., Pliska S.R. and Vorst T. (Editors)
, Mathematical Finance – Bachelier
Congress 2000 (2001)
Gundlach M., Lehrbass F. (Editors)
, CreditRisk
+
in the Banking Industry (2004)
Jondeau E.
, Financial Modeling Under Non-Gaussian Distributions (2007)
Kabanov, Y.A. and Safarian M.
, Markets with Transaction Costs (2008 forthcoming)
Kellerhals B.P.
, Asset Pricing (2004)
Külpmann M.
, Irrational Exuberance Reconsidered (2004)
Kwok Y.-K.
, Mathematical Models of Financial Derivatives (1998, 2nd ed. 2008)
Malliavin P. and Thalmaier A.
, Stochastic Calculus of Variations in Mathematical Finance
(2005)
Meucci A.
, Risk and Asset Allocation (2005)
Pelsser A.
, Efficient Methods for Valuing Interest Rate Derivatives (2000)
Prigent J.-L.
, Weak Convergence of Financial Markets (2003)
Schmid B.
, Credit Risk Pricing Models (2004)
Shreve S.E.
, Stochastic Calculus for Finance I (2004)
Shreve S.E.
, Stochastic Calculus for Finance II (2004)
Yo r M .
, Exponential Functionals of Brownian Motion and Related Processes (2001)
Zagst R.
, Interest-Rate Management (2002)
Zhu Y.-L., Wu X. and Chern I.-L.
, Derivative Securities and Difference Methods (2004)
Ziegler A.
, Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance
(2003)
Ziegler A.
, A Game Theory Analysis of Options (2004)
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
© Springer Berlin Heidelberg 2008
Revised and enlarged 2nd edition to the 1st edition originally published by Springer Singapore 1998
(ISBN 981-3083-25-5).
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