Mathematics And Tools For Financial Engineering
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Mathematics And Tools For Financial Engineering
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Author : Petros A. Ioannou
language : en
Publisher: SIAM
Release Date : 2021-09-07
Mathematics And Tools For Financial Engineering written by Petros A. Ioannou and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-09-07 with Mathematics categories.
This book presents an overview of fundamental concepts in mathematics and how they are applied to basic financial engineering problems, with the goal of teaching students to use mathematics and engineering tools to understand and solve financial problems. Part I covers mathematical preliminaries (set theory, linear algebra, sequences and series, real functions and analysis, numerical approximations and computations, basic optimization theory, and stochastic processes), and Part II addresses financial topics ranging from low- to high-risk investments (interest rates and value of money, bonds, dynamic asset modeling, portfolio theory and optimization, option pricing, and the concept of hedging). Based on lectures for a master’s program in financial engineering given by the author over 12 years at the University of Southern California, Mathematics and Tools for Financial Engineering contains numerous examples and problems, establishes a strong general mathematics background and engineering modeling techniques in a pedagogical fashion, and covers numerical techniques with applications to solving financial problems using different software tools. This textbook is intended for graduate and advanced undergraduate students in finance or financial engineering and is useful to readers with no prior knowledge in finance who want to understand some basic mathematical tools and theories associated with financial engineering. It is also appropriate as an overview of many mathematical concepts and engineering tools relevant to courses on numerical analysis, modeling and data science, numerical optimization, and approximation theory.
Mathematics For Finance
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Author : Marek Capinski
language : en
Publisher: Springer
Release Date : 2006-04-18
Mathematics For Finance written by Marek Capinski and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-04-18 with Business & Economics categories.
This textbook contains the fundamentals for an undergraduate course in mathematical finance aimed primarily at students of mathematics. Assuming only a basic knowledge of probability and calculus, the material is presented in a mathematically rigorous and complete way. The book covers the time value of money, including the time structure of interest rates, bonds and stock valuation; derivative securities (futures, options), modelling in discrete time, pricing and hedging, and many other core topics. With numerous examples, problems and exercises, this book is ideally suited for independent study.
Statistical Methods For Financial Engineering
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Author : Bruno Remillard
language : en
Publisher: CRC Press
Release Date : 2016-04-19
Statistical Methods For Financial Engineering written by Bruno Remillard and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-19 with Business & Economics categories.
While many financial engineering books are available, the statistical aspects behind the implementation of stochastic models used in the field are often overlooked or restricted to a few well-known cases. Statistical Methods for Financial Engineering guides current and future practitioners on implementing the most useful stochastic models used in f
Principles Of Financial Engineering
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Author : Salih N. Neftci
language : en
Publisher: Academic Press
Release Date : 2008-12-09
Principles Of Financial Engineering 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 2008-12-09 with Mathematics categories.
Principles of Financial Engineering, Second Edition, is a highly acclaimed text on the fast-paced and complex subject of financial engineering. This updated edition describes the "engineering" elements of financial engineering instead of the mathematics underlying it. It shows you how to use financial tools to accomplish a goal rather than describing the tools themselves. It lays emphasis on the engineering aspects of derivatives (how to create them) rather than their pricing (how they act) in relation to other instruments, the financial markets, and financial market practices. This volume explains ways to create financial tools and how the tools work together to achieve specific goals. Applications are illustrated using real-world examples. It presents three new chapters on financial engineering in topics ranging from commodity markets to financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles, and how to incorporate counterparty risk into derivatives pricing. Poised midway between intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pricing. This latest edition of Principles of Financial Engineering is ideal for financial engineers, quantitative analysts in banks and investment houses, and other financial industry professionals. It is also highly recommended to graduate students in financial engineering and financial mathematics programs. - The Second Edition presents 5 new chapters on structured product engineering, credit markets and instruments, and principle protection techniques, among other topics - Additions, clarifications, and illustrations throughout the volume show these instruments at work instead of explaining how they should act - The Solutions Manual enhances the text by presenting additional cases and solutions to exercises
Financial Engineering And Computation
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Author : Yuh-Dauh Lyuu
language : en
Publisher: Cambridge University Press
Release Date : 2002
Financial Engineering And Computation written by Yuh-Dauh Lyuu 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 2002 with Business & Economics categories.
A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.
A Primer For The Mathematics Of Financial Engineering
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Author : Dan Stefanica
language : en
Publisher:
Release Date : 2008
A Primer For The Mathematics Of Financial Engineering written by Dan Stefanica and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business mathematics categories.
Monte Carlo Methods In Financial Engineering
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Author : Paul Glasserman
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Monte Carlo Methods In Financial Engineering written by Paul Glasserman 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 2013-03-09 with Mathematics categories.
Monte Carlo simulation has become an essential tool in the pricing of derivative securities and in risk management. These applications have, in turn, stimulated research into new Monte Carlo methods and renewed interest in some older techniques. This book develops the use of Monte Carlo methods in finance and it also uses simulation as a vehicle for presenting models and ideas from financial engineering. It divides roughly into three parts. The first part develops the fundamentals of Monte Carlo methods, the foundations of derivatives pricing, and the implementation of several of the most important models used in financial engineering. The next part describes techniques for improving simulation accuracy and efficiency. The final third of the book addresses special topics: estimating price sensitivities, valuing American options, and measuring market risk and credit risk in financial portfolios. The most important prerequisite is familiarity with the mathematical tools used to specify and analyze continuous-time models in finance, in particular the key ideas of stochastic calculus. Prior exposure to the basic principles of option pricing is useful but not essential. The book is aimed at graduate students in financial engineering, researchers in Monte Carlo simulation, and practitioners implementing models in industry. Mathematical Reviews, 2004: "... this book is very comprehensive, up-to-date and useful tool for those who are interested in implementing Monte Carlo methods in a financial context."
Financial Engineering With Copulas Explained
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Author : J. Mai
language : en
Publisher: Springer
Release Date : 2014-10-02
Financial Engineering With Copulas Explained written by J. Mai and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-10-02 with Business & Economics categories.
This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit risk modelling, copulas are now widely used across a range of derivatives transactions, asset pricing techniques and risk models and are a core part of the financial engineer's toolkit.
Mathematical Methods For Foreign Exchange
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Author : Alexander Lipton
language : en
Publisher: World Scientific
Release Date : 2001
Mathematical Methods For Foreign Exchange written by Alexander Lipton and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Business & Economics categories.
This comprehensive book presents a systematic and practically oriented approach to mathematical modeling in finance, particularly in the foreign exchange context. It describes all the relevant aspects of financial engineering, including derivative pricing, in detail. The book is self-contained, with the necessary mathematical, economic, and trading background carefully explained. In addition to the lucid treatment of the standard material, it describes many original results. The book can be used both as a text for students of financial engineering, and as a basic reference for risk managers, traders, and academics.
Financial Statistics And Mathematical Finance
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Author : Ansgar Steland
language : en
Publisher: John Wiley & Sons
Release Date : 2012-06-21
Financial Statistics And Mathematical Finance written by Ansgar Steland 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 2012-06-21 with Business & Economics categories.
Mathematical finance has grown into a huge area of research which requires a lot of care and a large number of sophisticated mathematical tools. Mathematically rigorous and yet accessible to advanced level practitioners and mathematicians alike, it considers various aspects of the application of statistical methods in finance and illustrates some of the many ways that statistical tools are used in financial applications. Financial Statistics and Mathematical Finance: Provides an introduction to the basics of financial statistics and mathematical finance. Explains the use and importance of statistical methods in econometrics and financial engineering. Illustrates the importance of derivatives and calculus to aid understanding in methods and results. Looks at advanced topics such as martingale theory, stochastic processes and stochastic integration. Features examples throughout to illustrate applications in mathematical and statistical finance. Is supported by an accompanying website featuring R code and data sets. Financial Statistics and Mathematical Finance introduces the financial methodology and the relevant mathematical tools in a style that is both mathematically rigorous and yet accessible to advanced level practitioners and mathematicians alike, both graduate students and researchers in statistics, finance, econometrics and business administration will benefit from this book.