The origin of this book can be traced to courses on financial mathematics taught by us at the University of New South Wales in Sydney, Technical University of Warsaw (Politechnika Watszawska) and Institut National Polytechnique de Grenoble.Our initial aim was to write a short text around the material used in two one-semester graduate courses attended by students with diverse disciplinary backgrounds.

Preface of the First Edition

Perface of the Second Edition

PartⅠ.Psot to the Futures Markets

 1. An Introduction to Financial Derivatives

1.1 Options

1.2 Futures Contracts and Options

1.3 Forward Contracts

1.4 Call and Put Spot Options

 1.4.1 One-period Spot Market

 1.4.2 Replicating Portfolios

 1.4.3 Martingale Measure for a Spot Market

 1.4.4 Absence of Arbitrage

 1.4.5 Optimality of Replication

 1.4.6 Put Option

1.5 Futures Call and Put Options

 1.5.1 Futures Contracts and Futures Prices

 1.5.2 One-period Futures Market

 1.5.3 Martingale Measure for a Futures Market

 1.5.4 Absence of Arbitrage

 1.5.5 One-period Spot/Futures Market

1.6 Forward Contracts

 1.6.1 Forward Price

1.7 Options of American Style

1.8 Universal No-arbitrage Inequalities

 2. Discrete-time Security Markets

 3. Benchmar Models in Continuous Time

 4. Foreign Market derivatives

 5. American Options

 6. Exotic Options

 7. Volatility Risk

 8. Continuous-time Security Markets

PartⅡ Fixes-income Markets

 9. Inerest Rates and related Contracts

 10 Short-term Rate Models

 11. Models of Instantaneous Forwars Rates

 12. Market LIBOR Models

 13. Alternative Market Models

 14. Cross-currency Dericativer

PartⅢ APPENDICES

References

Index