Mathematical Models of Financial Derivatives

Mathematical Models of Financial Derivatives
Author: Yue-Kuen Kwok
Publsiher: Springer Science & Business Media
Total Pages: 530
Release: 2008-07-10
Genre: Mathematics
ISBN: 9783540686880

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This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.

The Mathematics of Financial Derivatives

The Mathematics of Financial Derivatives
Author: Paul Wilmott,Sam Howison,Jeff Dewynne
Publsiher: Cambridge University Press
Total Pages: 338
Release: 1995-09-29
Genre: Business & Economics
ISBN: 0521497892

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Basic option theory - Numerical methods - Further option theory - Interest rate derivative products.

Modelling Financial Derivatives with MATHEMATICA

Modelling Financial Derivatives with MATHEMATICA
Author: William T. Shaw
Publsiher: Cambridge University Press
Total Pages: 570
Release: 1998-12-10
Genre: Business & Economics
ISBN: 052159233X

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CD plus book for financial modelling, requires Mathematica 3 or 2.2; runs on most platforms.

An Introduction to the Mathematics of Financial Derivatives

An Introduction to the Mathematics of Financial Derivatives
Author: Salih N. Neftci
Publsiher: Academic Press
Total Pages: 550
Release: 2000-05-19
Genre: Business & Economics
ISBN: 9780125153928

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A step-by-step explanation of the mathematical models used to price derivatives. For this second edition, Salih Neftci has expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He does not assume that the reader has a thorough mathematical background. His explanations of financial calculus seek to be simple and perceptive.

Mathematical Modeling And Computation In Finance With Exercises And Python And Matlab Computer Codes

Mathematical Modeling And Computation In Finance  With Exercises And Python And Matlab Computer Codes
Author: Cornelis W Oosterlee,Lech A Grzelak
Publsiher: World Scientific
Total Pages: 1310
Release: 2019-10-29
Genre: Business & Economics
ISBN: 9781786347961

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This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.Supplementary Material:Solutions Manual is available to instructors who adopt this textbook for their courses. Please contact [email protected].

The Mathematics of Financial Derivatives

The Mathematics of Financial Derivatives
Author: Paul Wilmott,Sam Howison,Jeff Dewynne
Publsiher: Cambridge University Press
Total Pages: 135
Release: 1995-09-29
Genre: Mathematics
ISBN: 9781139810975

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Finance is one of the fastest growing areas in the modern banking and corporate world. This, together with the sophistication of modern financial products, provides a rapidly growing impetus for new mathematical models and modern mathematical methods; the area is an expanding source for novel and relevant 'real-world' mathematics. In this book the authors describe the modelling of financial derivative products from an applied mathematician's viewpoint, from modelling through analysis to elementary computation. A unified approach to modelling derivative products as partial differential equations is presented, using numerical solutions where appropriate. Some mathematics is assumed, but clear explanations are provided for material beyond elementary calculus, probability, and algebra. Over 140 exercises are included. This volume will become the standard introduction to this exciting new field for advanced undergraduate students.

Mathematical Modeling in Economics and Finance Probability Stochastic Processes and Differential Equations

Mathematical Modeling in Economics and Finance  Probability  Stochastic Processes  and Differential Equations
Author: Steven R. Dunbar
Publsiher: American Mathematical Soc.
Total Pages: 232
Release: 2019-04-03
Genre: Economics
ISBN: 9781470448394

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Mathematical Modeling in Economics and Finance is designed as a textbook for an upper-division course on modeling in the economic sciences. The emphasis throughout is on the modeling process including post-modeling analysis and criticism. It is a textbook on modeling that happens to focus on financial instruments for the management of economic risk. The book combines a study of mathematical modeling with exposure to the tools of probability theory, difference and differential equations, numerical simulation, data analysis, and mathematical analysis. Students taking a course from Mathematical Modeling in Economics and Finance will come to understand some basic stochastic processes and the solutions to stochastic differential equations. They will understand how to use those tools to model the management of financial risk. They will gain a deep appreciation for the modeling process and learn methods of testing and evaluation driven by data. The reader of this book will be successfully positioned for an entry-level position in the financial services industry or for beginning graduate study in finance, economics, or actuarial science. The exposition in Mathematical Modeling in Economics and Finance is crystal clear and very student-friendly. The many exercises are extremely well designed. Steven Dunbar is Professor Emeritus of Mathematics at the University of Nebraska and he has won both university-wide and MAA prizes for extraordinary teaching. Dunbar served as Director of the MAA's American Mathematics Competitions from 2004 until 2015. His ability to communicate mathematics is on full display in this approachable, innovative text.

Financial Derivatives Modeling

Financial Derivatives Modeling
Author: Christian Ekstrand
Publsiher: Springer Science & Business Media
Total Pages: 319
Release: 2011-08-26
Genre: Business & Economics
ISBN: 9783642221552

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This book gives a comprehensive introduction to the modeling of financial derivatives, covering all major asset classes (equities, commodities, interest rates and foreign exchange) and stretching from Black and Scholes' lognormal modeling to current-day research on skew and smile models. The intended reader has a solid mathematical background and is a graduate/final-year undergraduate student specializing in Mathematical Finance, or works at a financial institution such as an investment bank or a hedge fund.