PRICING AND HEDGING OF DERIVATIVE SECURITIES

<b>CONTENTS</b>

1. Stochastic processes

2. Itô calculus

3. Gaussiand processes

4. Securities and trading strategies

5. The martingale valuation principle

6. The blac-scholes model

7. Gaussian term structure models

A. Measure and probability

B. Lebesgue integrals and expectations

C. The heat equation

D. Suggestes solutions to exercises

E. Suggestes solutions to exercises

References

Index