Mathematics of Financial Derivatives: A Student Introduction more books like this

by P Wilmott, Ernest Savage, S Howison

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 ...

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Arbitrage Theory in Continuous Time more books like this

by Tomas Bjork

The second edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory and Merton's ...

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Mathematical Models of Financial Derivatives more books like this

by Yue-Kuen Kwok

This second edition of "Mathematical Models of Financial Derivatives", 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. ...

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Binomial Models in Finance more books like this

by John Van Der Hoek, Robert J Elliott

This book deals with many topics in modern financial mathematics in a way that does not use advanced mathematical tools and shows how these models can be numerically implemented in a practical way. The book is aimed at undergraduate students, MBA students, and executives who wish to understand and apply financial models in the spreadsheet ...

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An Introduction to Financial Option Valuation: Mathematics, Stochastics and Computation more books like this

by Desmond Higham

This is a lively textbook providing a solid introduction to financial option valuation for undergraduate students armed with a working knowledge of a first year calculus. Written in a series of short chapters, its self-contained treatment gives equal weight to applied mathematics, stochastics and computational algorithms. No prior background in ...

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Implementing Derivative Models more books like this

by Les Clewlow, Chris Strickland

Derivatives markets are continuing to expand all over the world. In particular the over-the-counter market in complex/exotic options is continuing to expand both in volume and complexity. New and more complex options continue to appear and they generally require numerical techniques to price and hedge. This text provides up-to-date coverage of the ...

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Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling more books like this

by Rama Cont (Editor)

The Petit D'euner de la Finance - which author Rama Cont has been co-organizing in Paris since 1998 - is a well-known quantitative finance seminar that has progressively become a platform for the exchange of ideas between the academic and practitioner communities in quantitative finance. "Frontiers in Quantitative Finance" is a selection of recent ...

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Financial Engineering: Derivatives and Risk Management more books like this

by Dirk Nitzsche, Keith Cuthbertson

This title provides a treatment of futures, "plain vanilla" options, swaps and the use of exotic, interest rate options in speculation and hedging. Pricing of options using numerical methods such as lattices (BOPM), Monte Carlo simulation and finite difference methods as well as solutions via continuous time stochastic processes are also covered. ...

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Mathematical Asset Management more books like this

by Thomas Hoglund

A practical approach to the mathematical tools needed to increase portfolio growth, learn successful trading strategies, and manage the risks associated with market fluctuation "Mathematical Asset Management" presents an accessible and practical introduction to financial derivatives and portfolio selection while also acting as a basis for further ...

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Modeling Derivatives Applications in MATLAB, C++, and Excel more books like this

by Justin London

Prebuilt Code for Modeling and Pricing Today's Complex Derivatives Justin London shows how to implement pricing algorithms for a wide variety of complex derivatives, including rapidly emerging instruments covered in no other book. Utilizing actual Bloomberg data, London covers credit derivatives, CDOs, mortgage-backed securities, asset-backed ...

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Parimutuel Applications in Finance: New Markets for New Risks more books like this

by Ken Baron, Jeffrey Lange

Financial intermediaries supply derivatives to their customers when they can hedge the exposures from these transactions. A static hedge is typically employed by arranging an offsetting transaction with a different customer or a dynamic hedge by trading in the underlying derivatives. There is however a broad range of uncertain exposures where ...

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Municipal Derivative Securities: Uses and Valuation more books like this

by Gary Gray, Patrick Cusatis

Valued at over $1 trillion, municipal bonds comprise one of the fastest-growing areas of investing activity. The dizzying array of new financial products derived from these bonds has forced investors to adopt more sophisticated, complex valuation techniques. This book clearly explains the new securities, their payment characteristics, and price ...

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Interest Rate Dynamics, Derivatives Pricing, and Risk Management more books like this

by Lin Chen

This text presents a three-factor model of the term structure of interest rates in which the short mean and volatility of the short rate are stochastic. By this specification, this model has nested many of the term structure models in the existing literature.

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Paul Wilmott on Quantitative Finance 3 Volume Set more books like this

by Paul Wilmott

"Paul Wilmott on Quantitative Finance, Second Edition" provides a thoroughly updated look at derivatives and financial engineering, published in three volumes with additional CD ROM. Volume 1: "Mathematical and Financial Foundations; Basic Theory of Derivatives; Risk and Return". The reader is introduced to the fundamental mathematical tools and ...

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Credit derivatives more books like this

by D. C. Gardner, Fairplace Institute of Banking & Finance

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