Modelling Financial Derivatives With Mathematica
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Modelling Financial Derivatives With Mathematica
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Author : William T. Shaw
language : en
Publisher: Cambridge University Press
Release Date : 1998-12-10
Modelling Financial Derivatives With Mathematica written by William T. Shaw 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 1998-12-10 with Business & Economics categories.
CD plus book for financial modelling, requires Mathematica 3 or 2.2; runs on most platforms.
Modelling Financial Derivatives With Mathematica
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Author : William T. Shaw
language : en
Publisher:
Release Date : 1998
Modelling Financial Derivatives With Mathematica written by William T. Shaw and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with categories.
Computational Financial Mathematics Using Mathematica
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Author : Srdjan Stojanovic
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Computational Financial Mathematics Using Mathematica written by Srdjan Stojanovic 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 2012-12-06 with Business & Economics categories.
Given the explosion of interest in mathematical methods for solving problems in finance and trading, a great deal of research and development is taking place in universities, large brokerage firms, and in the supporting trading software industry. Mathematical advances have been made both analytically and numerically in finding practical solutions. This book provides a comprehensive overview of existing and original material, about what mathematics when allied with Mathematica can do for finance. Sophisticated theories are presented systematically in a user-friendly style, and a powerful combination of mathematical rigor and Mathematica programming. Three kinds of solution methods are emphasized: symbolic, numerical, and Monte-- Carlo. Nowadays, only good personal computers are required to handle the symbolic and numerical methods that are developed in this book. Key features: * No previous knowledge of Mathematica programming is required * The symbolic, numeric, data management and graphic capabilities of Mathematica are fully utilized * Monte--Carlo solutions of scalar and multivariable SDEs are developed and utilized heavily in discussing trading issues such as Black--Scholes hedging * Black--Scholes and Dupire PDEs are solved symbolically and numerically * Fast numerical solutions to free boundary problems with details of their Mathematica realizations are provided * Comprehensive study of optimal portfolio diversification, including an original theory of optimal portfolio hedging under non-Log-Normal asset price dynamics is presented The book is designed for the academic community of instructors and students, and most importantly, will meet the everyday trading needs of quantitatively inclined professional and individual investors.
Risk Neutral Valuation
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Author : Nicholas H. Bingham
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-29
Risk Neutral Valuation written by Nicholas H. Bingham 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 2013-06-29 with Mathematics categories.
Written by Nick Bingham, Chairman and Professor of Statistics at Birkbeck College, and Rüdiger Kiesel, an "up-and-coming" academic, Risk Neutrality will benefit the Springer Finance Series in many ways. It provides a valuable introduction to Mathematical Finance for Graduate Students, and also comprehensive coverage of Financial subjects which should also stimulate practitioners of the subject. Based on a graduate course given to practitioners of Finance, the book identifies a clear gap in the market of Mathematical Finance. The authors approach is simple and designed to accommodate a wide audience. Springer Finance is a new programme of books aimed at students, academics and practitioners working on increasingly technical approaches to the analysis of financial markets. It aims to cover a
Pde And Martingale Methods In Option Pricing
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Author : Andrea Pascucci
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-04-15
Pde And Martingale Methods In Option Pricing written by Andrea Pascucci 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 2011-04-15 with Mathematics categories.
This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for readers with a basic mathematical background. The first part contains a presentation of the arbitrage theory in discrete time. In the second part, the theories of stochastic calculus and parabolic PDEs are developed in detail and the classical arbitrage theory is analyzed in a Markovian setting by means of of PDEs techniques. After the martingale representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics. General tools from PDE and martingale theories are also used in the analysis of volatility modeling. The book also contains an Introduction to Lévy processes and Malliavin calculus. The last part is devoted to the description of the numerical methods used in option pricing: Monte Carlo, binomial trees, finite differences and Fourier transform.
Stochastic Modeling In Economics And Finance
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Author : Jitka Dupacova
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-12-30
Stochastic Modeling In Economics And Finance written by Jitka Dupacova 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 2005-12-30 with Mathematics categories.
In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to bridge the elements of financial arithmetic and complex models of financial math developed in the later parts. It covers characteristics of cash flows, yield curves, and valuation of securities. Part II is devoted to the allocation of funds and risk management: classics (Markowitz theory of portfolio), capital asset pricing model, arbitrage pricing theory, asset & liability management, value at risk. The method explanation takes into account the computational aspects. Part III explains modeling aspects of multistage stochastic programming on a relatively accessible level. It includes a survey of existing software, links to parametric, multiobjective and dynamic programming, and to probability and statistics. It focuses on scenario-based problems with the problems of scenario generation and output analysis discussed in detail and illustrated within a case study.
Proceedings Of The Conference On Applied Mathematics And Scientific Computing
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Author : Zlatko Drmac
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-12-05
Proceedings Of The Conference On Applied Mathematics And Scientific Computing written by Zlatko Drmac 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 2005-12-05 with Mathematics categories.
This book brings together contributed papers presenting new results covering different areas of applied mathematics and scientific computing. Firstly, four invited lectures give state-of-the-art presentations in the fields of numerical linear algebra, shape preserving approximation and singular perturbation theory. Then an overview of numerical solutions to skew-Hamiltonian and Hamiltonian eigenvalue problems in system and control theory is given by Benner, Kressner and Mehrmann. The important issue of structure preserving algorithms and structured condition numbers is discussed. Costantini and Sampoli review the basic ideas of the abstract schemes and show that they can be used to solve any problem concerning the construction of spline curves subject to local constraints. Kvasov presents a novel approach in solving the problem of shape preserving spline interpolation. Formulating this problem as a differential multipoint boundary value problem for hyperbolic and biharmonic tension splines he considers its finite difference approximation. Miller and Shishkin consider the Black-Scholes equation that, for some values of the parameters, may be a singularly perturbed problem. They construct a new numerical method, on an appropriately fitted piecewise-uniform mesh, which is parameter-uniformly convergent.
Introductory Mathematical Analysis For Quantitative Finance
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Author : Daniele Ritelli
language : en
Publisher: CRC Press
Release Date : 2020-04-13
Introductory Mathematical Analysis For Quantitative Finance written by Daniele Ritelli and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-04-13 with Mathematics categories.
Introductory Mathematical Analysis for Quantitative Finance is a textbook designed to enable students with little knowledge of mathematical analysis to fully engage with modern quantitative finance. A basic understanding of dimensional Calculus and Linear Algebra is assumed. The exposition of the topics is as concise as possible, since the chapters are intended to represent a preliminary contact with the mathematical concepts used in Quantitative Finance. The aim is that this book can be used as a basis for an intensive one-semester course. Features: Written with applications in mind, and maintaining mathematical rigor. Suitable for undergraduate or master's level students with an Economics or Management background. Complemented with various solved examples and exercises, to support the understanding of the subject.
Complex Analysis With Mathematica
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Author : William T. Shaw
language : en
Publisher: Cambridge University Press
Release Date : 2006-04-20
Complex Analysis With Mathematica written by William T. Shaw 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 2006-04-20 with Computers categories.
This book presents a way of learning complex analysis, using Mathematica. Includes CD with electronic version of the book.
Introduction To Financial Mathematics
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Author : Donald R. Chambers
language : en
Publisher: CRC Press
Release Date : 2021-06-16
Introduction To Financial Mathematics written by Donald R. Chambers and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-06-16 with Computers categories.
This book’s primary objective is to educate aspiring finance professionals about mathematics and computation in the context of financial derivatives. The authors offer a balance of traditional coverage and technology to fill the void between highly mathematical books and broad finance books. The focus of this book is twofold: To partner mathematics with corresponding intuition rather than diving so deeply into the mathematics that the material is inaccessible to many readers. To build reader intuition, understanding and confidence through three types of computer applications that help the reader understand the mathematics of the models. Unlike many books on financial derivatives requiring stochastic calculus, this book presents the fundamental theories based on only undergraduate probability knowledge. A key feature of this book is its focus on applying models in three programming languages –R, Mathematica and EXCEL. Each of the three approaches offers unique advantages. The computer applications are carefully introduced and require little prior programming background. The financial derivative models that are included in this book are virtually identical to those covered in the top financial professional certificate programs in finance. The overlap of financial models between these programs and this book is broad and deep.