ESCP Europe

This book introduces the mathematics underlying the pricing of derivatives : financial derivatives ; a primer on the arbitrage theorem ; calculus in deterministic and stochastic environments ; pricing derivatives ; tools in probability theory ; martingales and martingale representations ; differentiation in stochastic environments ; the wiener process and rare events in financial markets ; integration in stochastic environments ; Ito's lemma ; the dynamics of derivative prices ; pricing derivatives products ; the black-scholes PDE ; pricing derivative products ; equivalent martingale measures ; new results and tools for interest-sensitive securities ; arbitrage theorem in a new setting.