Mathematics of Derivative Securities

This volume compiles premier papers on financial mathematics, including topics relevant to Mathematics of Derivative Securities.

The book Mathematics of Derivative Securities presents a curated collection of outstanding papers focusing on financial mathematics. This compilation covers a broad range of topics, from abstract financial theory to practical applications in pricing and hedging interest rate derivatives and exotic options. It serves as a valuable resource for both academics and financial engineers looking to deepen their understanding of the field.

In 1995, the Isaac Newton Institute for the Mathematical Sciences in Cambridge University hosted an extensive six-month research program dedicated to financial mathematics. This initiative attracted over 300 scholars and financial practitioners who engaged in research and participated in more than 150 seminars. The insights and findings from these discussions led to the selection of the most impactful papers, which are now featured in Mathematics of Derivative Securities.

By bringing together these premier contributions, the book not only showcases the advancements in financial derivatives but also highlights the intersection of theory and practice. Readers will find that the diverse range of topics covered makes this volume a significant addition to the literature, appealing to those who are deeply involved in the financial sector as well as those in academia.