Mathematical Models Of Financial Derivatives
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Mathematical Models Of Financial Derivatives
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Author : Yue-Kuen Kwok
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-07-10
Mathematical Models Of Financial Derivatives written by Yue-Kuen Kwok and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-07-10 with Mathematics categories.
Objectives and Audience In the past three decades, we have witnessed the phenomenal growth in the trading of financial derivatives and structured products in the financial markets around the globe and the surge in research on derivative pricing theory. Leading financial ins- tutions are hiring graduates with a science background who can use advanced analytical and numerical techniques to price financial derivatives and manage portfolio risks, a phenomenon coined as Rocket Science on Wall Street. There are now more than a hundred Master level degree programs in Financial Engineering/Quantitative Finance/Computational Finance on different continents. This book is written as an introductory textbook on derivative pricing theory for students enrolled in these degree programs. Another audience of the book may include practitioners in quantitative teams in financial institutions who would like to acquire the knowledge of option pricing techniques and explore the new development in pricing models of exotic structured derivatives. The level of mathematics in this book is tailored to readers with preparation at the advanced undergraduate level of science and engineering majors, in particular, basic profiiencies in probability and statistics, differential equations, numerical methods, and mathematical analysis. Advance knowledge in stochastic processes that are relevant to the martingale pricing theory, like stochastic differential calculus and theory of martingale, are introduced in this book. The cornerstones of derivative pricing theory are the Black–Scholes–Merton pricing model and the martingale pricing theory of financial derivatives.
The Mathematics Of Financial Derivatives
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Author : Paul Wilmott
language : en
Publisher: Cambridge University Press
Release Date : 1995-09-29
The Mathematics Of Financial Derivatives written by Paul Wilmott and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-09-29 with Business & Economics categories.
Basic option theory - Numerical methods - Further option theory - Interest rate derivative products.
An Introduction To The Mathematics Of Financial Derivatives
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Author : Salih N. Neftci
language : en
Publisher: Academic Press
Release Date : 2000-05-19
An Introduction To The Mathematics Of Financial Derivatives written by Salih N. Neftci and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-05-19 with Business & Economics categories.
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.
Financial Derivatives Modeling
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Author : Christian Ekstrand
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-08-26
Financial Derivatives Modeling written by Christian Ekstrand and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-26 with Business & Economics categories.
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.
Financial Derivatives
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Author : Jamil Baz
language : en
Publisher: Cambridge University Press
Release Date : 2004-01-12
Financial Derivatives written by Jamil Baz and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-01-12 with Business & Economics categories.
This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter applies the pricing concepts to the special case of interest rate markets, namely, bonds and swaps, and discusses factor models and term structure consistent models. The fourth chapter deals with a variety of mathematical topics that underlie derivatives pricing and portfolio allocation decisions such as mean-reverting processes and jump processes and discusses related tools of stochastic calculus such as Kolmogorov equations, martingale techniques, stochastic control, and partial differential equations.
Mathematical Modeling And Computation In Finance With Exercises And Python And Matlab Computer Codes
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Author : Cornelis W Oosterlee
language : en
Publisher: World Scientific
Release Date : 2019-10-29
Mathematical Modeling And Computation In Finance With Exercises And Python And Matlab Computer Codes written by Cornelis W Oosterlee and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-29 with Business & Economics categories.
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.
Mathematics Of The Financial Markets
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Author : Alain Ruttiens
language : en
Publisher: John Wiley & Sons
Release Date : 2013-08-05
Mathematics Of The Financial Markets written by Alain Ruttiens and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-05 with Business & Economics categories.
Mathematics of the Financial Markets Financial Instruments and Derivatives Modeling, Valuation and Risk Issues "Alain Ruttiens has the ability to turn extremely complex concepts and theories into very easy to understand notions. I wish I had read his book when I started my career!" Marco Dion, Global Head of Equity Quant Strategy, J.P. Morgan "The financial industry is built on a vast collection of financial securities that can be valued and risk profiled using a set of miscellaneous mathematical models. The comprehension of these models is fundamental to the modern portfolio and risk manager in order to achieve a deep understanding of the capabilities and limitations of these methods in the approximation of the market. In his book, Alain Ruttiens exposes these models for a wide range of financial instruments by using a detailed and user friendly approach backed up with real-life data examples. The result is an excellent entry-level and reference book that will help any student and current practitioner up their mathematical modeling skills in the increasingly demanding domain of asset and risk management." Virgile Rostand, Consultant, Toronto ON "Alain Ruttiens not only presents the reader with a synthesis between mathematics and practical market dealing, but, more importantly a synthesis of his thinking and of his life." René Chopard, CEO, Centro di Studi Bancari Lugano, Vezia / Professor, Università dell'Insubria, Varese "Alain Ruttiens has written a book on quantitative finance that covers a wide range of financial instruments, examples and models. Starting from first principles, the book should be accessible to anyone who is comfortable with trading strategies, numbers and formulas." Dr Yuh-Dauh Lyuu, Professor of Finance & Professor of Computer Science & Information Engineering, National Taiwan University
Derivative Pricing In Discrete Time
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Author : Nigel J. Cutland
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-09-13
Derivative Pricing In Discrete Time written by Nigel J. Cutland and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-13 with Mathematics categories.
This book provides an introduction to the mathematical modelling of real world financial markets and the rational pricing of derivatives, which is part of the theory that not only underpins modern financial practice but is a thriving area of mathematical research. The central theme is the question of how to find a fair price for a derivative; defined to be a price at which it is not possible for any trader to make a risk free profit by trading in the derivative. To keep the mathematics as simple as possible, while explaining the basic principles, only discrete time models with a finite number of possible future scenarios are considered. The theory examines the simplest possible financial model having only one time step, where many of the fundamental ideas occur, and are easily understood. Proceeding slowly, the theory progresses to more realistic models with several stocks and multiple time steps, and includes a comprehensive treatment of incomplete models. The emphasis throughout is on clarity combined with full rigour. The later chapters deal with more advanced topics, including how the discrete time theory is related to the famous continuous time Black-Scholes theory, and a uniquely thorough treatment of American options. The book assumes no prior knowledge of financial markets, and the mathematical prerequisites are limited to elementary linear algebra and probability. This makes it accessible to undergraduates in mathematics as well as students of other disciplines with a mathematical component. It includes numerous worked examples and exercises, making it suitable for self-study.