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Mathematics of Derivative Securities (Publications of the Newton Institute) [Hardcover]

Michael A. H. Dempster , Stanley R. Pliska

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Book Description

13 Oct 1997 Publications of the Newton Institute (Book 15)
During 1995 the Isaac Newton Institute for the Mathematical Sciences at Cambridge University hosted a six month research program on financial mathematics. During this period more than 300 scholars and financial practitioners attended to conduct research and to attend more than 150 research seminars. Many of the presented papers were on the subject of financial derivatives. The very best were selected to appear in this volume. They range from abstract financial theory to practical issues pertaining to the pricing and hedging of interest rate derivatives and exotic options in the market place. Hence this book will be of interest to both academic scholars and financial engineers.

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' … offers superb insight into many classical and less classical issues of modern quantitative finance.' Rudi Bogni, The Times Higher Education Supplement

'Merton, in his Foreword, characterizes the contents as 'representative of the high quality and mathematical sophistication of research in the field.' … I have no reason to differ with this evaluation.' Peter Bloomfield, JASA

Book Description

A collection of premier papers on financial mathematics ranging from abstract financial theory to practical issues pertaining to the pricing and hedging of interest rate derivatives and exotic options in the market place. Hence this book will be of interest both to academics and financial engineers.

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First Sentence
This book is one of several volumes of proceedings of the Mathematical Finance Programme held from January through June 1995 at the Isaac Newton Institute for Mathematical Sciences, Cambridge, England. Read the first page
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1 of 3 people found the following review helpful
5.0 out of 5 stars A Newton's work 12 July 1999
By A Customer - Published on Amazon.com
This is an excellent book which covers many great ideas and potential methodologies applied to derivative pricing. It should have been published much earlier.
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