Pricing Derivatives: The Financial Concepts Underlying the Mathematics of Pricing Derivatives
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Description
A fresh, fundamentals-based approach for accurate derivative pricing
Pricing Derivatives presents a specialized approach to accurately pricing derivatives by stressing the conceptual foundations underlying the mathematics. Noted mathematics professor and investing consultant Ambar Sengupta provides a sound understanding of the essential topics of derivative pricing and outlines methodologies for arriving at exact pricing formulas based on the fundamental relationship between price and probability.
Short, to-the-point chapters present original ideas and approaches for pricing derivative products, supplying professional money managers and institutional investors with the foundation they need to: Integrate both the theoretical and mathematical foundations of pricing derivatives Establish optimal prices in terms of the no-arbitrage principle Derive model-independent pricing formulas for options, futures, forwards, and other key derivatives
Experience has shown that derivative traders must focus on conceptual, as opposed to trading, issues if they are to improve trading accuracy and profitability. Pricing Derivatives presents conceptually sound approaches for pricing derivatives and shows how to use them to compute specific pricing formulas.
Pricing Derivatives unveils a fundamentally clear-cut approach to accurate derivative pricing. Based upon author Ambar Sengupta's years of consulting experience working with derivatives traders to hone their trading performance, it steers around the mechanics of popular financial models to focus on the conceptual foundations and underlying mathematics of pricing derivatives as well as other financial instruments.
Exploring the relationshipbetween price and probability, Pricing Derivatives demonstrates methods for determining model-independent pricing formulas and applying them to specific market models for more distinct and applicable pricing formulas.
Link to Catalog
LOC Call Number
HG6024 .A3 S44 2005
Publication Date
2005
Department
Department of Mathematics
Publisher
McGraw-Hill
City
New York
Recommended Citation
Sengupta, Ambar, "Pricing Derivatives: The Financial Concepts Underlying the Mathematics of Pricing Derivatives" (2005).