An Introduction to the Mathematics of Financial Derivatives Book
Score: 4
From 9 Ratings

An Introduction to the Mathematics of Financial Derivatives


  • Author : Salih N. Neftci
  • Publisher : Academic Press
  • Release Date : 2000-06-02
  • Genre: Business & Economics
  • Pages : 527
  • ISBN 10 : 9780125153928

GET BOOK
An Introduction to the Mathematics of Financial Derivatives Excerpt :

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.

The Mathematics of Financial Derivatives Book
Score: 4
From 3 Ratings

The Mathematics of Financial Derivatives


  • Author : Paul Wilmott
  • Publisher : Cambridge University Press
  • Release Date : 1995-09-29
  • Genre: Business & Economics
  • Pages : 317
  • ISBN 10 : 0521497892

GET BOOK
The Mathematics of Financial Derivatives Excerpt :

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

An Introduction to the Mathematics of Financial Derivatives Book
Score: 5
From 1 Ratings

An Introduction to the Mathematics of Financial Derivatives


  • Author : Salih N. Neftci
  • Publisher : Elsevier
  • Release Date : 2000-06-22
  • Genre: Business & Economics
  • Pages : 527
  • ISBN 10 : 9780080478647

GET BOOK
An Introduction to the Mathematics of Financial Derivatives Excerpt :

An Introduction to the Mathematics of Financial Derivatives, Second Edition, introduces the mathematics underlying the pricing of derivatives. The increased interest in dynamic pricing models stems from their applicability to practical situations: with the freeing of exchange, interest rates, and capital controls, the market for derivative products has matured and pricing models have become more accurate. This updated edition has six new chapters and chapter-concluding exercises, plus one thoroughly expanded chapter. The text answers the need for a resource targeting professionals, Ph.D. students, and advanced MBA students who are specifically interested in financial derivatives. This edition is also designed to become the main text in first year masters and Ph.D. programs for certain courses, and will continue to be an important manual for market professionals and professionals with mathematical, technical, or physics backgrounds.

Financial Calculus Book

Financial Calculus


  • Author : Martin Baxter
  • Publisher : Cambridge University Press
  • Release Date : 1996-09-19
  • Genre: Mathematics
  • Pages : null
  • ISBN 10 : 9781139643276

GET BOOK
Financial Calculus Excerpt :

The rewards and dangers of speculating in the modern financial markets have come to the fore in recent times with the collapse of banks and bankruptcies of public corporations as a direct result of ill-judged investment. At the same time, individuals are paid huge sums to use their mathematical skills to make well-judged investment decisions. Here now is the first rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities. Key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model are described with mathematical precision in a style tailored for market practitioners. Starting from discrete-time hedging on binary trees, continuous-time stock models (including Black-Scholes) are developed. Practicalities are stressed, including examples from stock, currency and interest rate markets, all accompanied by graphical illustrations with realistic data. A full glossary of probabilistic and financial terms is provided. This unique book will be an essential purchase for market practitioners, quantitative analysts, and derivatives traders.

Financial Derivatives Book

Financial Derivatives


  • Author : Jamil Baz
  • Publisher : Cambridge University Press
  • Release Date : 2004-01-12
  • Genre: Business & Economics
  • Pages : 338
  • ISBN 10 : 052181510X

GET BOOK
Financial Derivatives Excerpt :

Publisher Description

Introduction to Financial Mathematics Book

Introduction to Financial Mathematics


  • Author : Donald R. Chambers
  • Publisher : CRC Press
  • Release Date : 2021-06-17
  • Genre: Mathematics
  • Pages : 580
  • ISBN 10 : 9781000370126

GET BOOK
Introduction to Financial Mathematics Excerpt :

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.

Mathematical Models of Financial Derivatives Book

Mathematical Models of Financial Derivatives


  • Author : Yue-Kuen Kwok
  • Publisher : Springer Science & Business Media
  • Release Date : 2008-07-10
  • Genre: Mathematics
  • Pages : 530
  • ISBN 10 : 9783540686880

GET BOOK
Mathematical Models of Financial Derivatives Excerpt :

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.

Derivative Pricing in Discrete Time Book

Derivative Pricing in Discrete Time


  • Author : Nigel J. Cutland
  • Publisher : Springer Science & Business Media
  • Release Date : 2012-09-13
  • Genre: Mathematics
  • Pages : 325
  • ISBN 10 : 9781447144083

GET BOOK
Derivative Pricing in Discrete Time Excerpt :

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.

Introduction to the Mathematics of Finance Book

Introduction to the Mathematics of Finance


  • Author : Steven Roman
  • Publisher : Springer Science & Business Media
  • Release Date : 2013-12-01
  • Genre: Mathematics
  • Pages : 356
  • ISBN 10 : 9781441990051

GET BOOK
Introduction to the Mathematics of Finance Excerpt :

An elementary introduction to probability and mathematical finance including a chapter on the Capital Asset Pricing Model (CAPM), a topic that is very popular among practitioners and economists. Dr. Roman has authored 32 books, including a number of books on mathematics, such as Coding and Information Theory, Advanced Linear Algebra, and Field Theory, published by Springer-Verlag.

Financial Mathematics  Derivatives and Structured Products Book

Financial Mathematics Derivatives and Structured Products


  • Author : Raymond H. Chan
  • Publisher : Springer
  • Release Date : 2019-02-27
  • Genre: Mathematics
  • Pages : 395
  • ISBN 10 : 9789811336966

GET BOOK
Financial Mathematics Derivatives and Structured Products Excerpt :

This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales or risk managers. As the book seeks to unify the derivatives modelling and the financial engineering practice in the market, it will be of interest to financial practitioners and academic researchers alike. Further, it takes a different route from the existing financial mathematics books, and will appeal to students and practitioners with or without a scientific background. The book can also be used as a textbook for the following courses: • Financial Mathematics (undergraduate level) • Stochastic Modelling in Finance (postgraduate level) • Financial Markets and Derivatives (undergraduate level) • Structured Products and Solutions (undergraduate/postgraduate level)

Introduction to the Economics and Mathematics of Financial Markets Book
Score: 4
From 2 Ratings

Introduction to the Economics and Mathematics of Financial Markets


  • Author : Jaksa Cvitanic
  • Publisher : MIT Press
  • Release Date : 2004-02-27
  • Genre: Business & Economics
  • Pages : 516
  • ISBN 10 : 0262033208

GET BOOK
Introduction to the Economics and Mathematics of Financial Markets Excerpt :

An innovative textbook for use in advanced undergraduate and graduate courses; accessible to students in financial mathematics, financial engineering and economics. Introduction to the Economics and Mathematics of Financial Markets fills the longstanding need for an accessible yet serious textbook treatment of financial economics. The book provides a rigorous overview of the subject, while its flexible presentation makes it suitable for use with different levels of undergraduate and graduate students. Each chapter presents mathematical models of financial problems at three different degrees of sophistication: single-period, multi-period, and continuous-time. The single-period and multi-period models require only basic calculus and an introductory probability/statistics course, while an advanced undergraduate course in probability is helpful in understanding the continuous-time models. In this way, the material is given complete coverage at different levels; the less advanced student can stop before the more sophisticated mathematics and still be able to grasp the general principles of financial economics. The book is divided into three parts. The first part provides an introduction to basic securities and financial market organization, the concept of interest rates, the main mathematical models, and quantitative ways to measure risks and rewards. The second part treats option pricing and hedging; here and throughout the book, the authors emphasize the Martingale or probabilistic approach. Finally, the third part examines equilibrium models—a subject often neglected by other texts in financial mathematics, but included here because of the qualitative insight it offers into the behavior of market participants and pricing.

Financial Derivatives in Theory and Practice Book
Score: 4
From 4 Ratings

Financial Derivatives in Theory and Practice


  • Author : Philip Hunt
  • Publisher : John Wiley & Sons
  • Release Date : 2004-11-19
  • Genre: Mathematics
  • Pages : 468
  • ISBN 10 : 9780470863602

GET BOOK
Financial Derivatives in Theory and Practice Excerpt :

The term Financial Derivative is a very broad term which has come to mean any financial transaction whose value depends on the underlying value of the asset concerned. Sophisticated statistical modelling of derivatives enables practitioners in the banking industry to reduce financial risk and ultimately increase profits made from these transactions. The book originally published in March 2000 to widespread acclaim. This revised edition has been updated with minor corrections and new references, and now includes a chapter of exercises and solutions, enabling use as a course text. Comprehensive introduction to the theory and practice of financial derivatives. Discusses and elaborates on the theory of interest rate derivatives, an area of increasing interest. Divided into two self-contained parts ? the first concentrating on the theory of stochastic calculus, and the second describes in detail the pricing of a number of different derivatives in practice. Written by well respected academics with experience in the banking industry. A valuable text for practitioners in research departments of all banking and finance sectors. Academic researchers and graduate students working in mathematical finance.

Mathematics of Derivative Securities Book
Score: 3.5
From 4 Ratings

Mathematics of Derivative Securities


  • Author : Mathematical Finance Programme
  • Publisher : Cambridge University Press
  • Release Date : 1997-10-13
  • Genre: Business & Economics
  • Pages : 582
  • ISBN 10 : 0521584248

GET BOOK
Mathematics of Derivative Securities Excerpt :

A collection of premier papers on financial mathematics. Broad coverage.

Introduction to the Mathematics of Finance Book

Introduction to the Mathematics of Finance


  • Author : Ruth J. Williams
  • Publisher : American Mathematical Soc.
  • Release Date : 2006
  • Genre: Business & Economics
  • Pages : 150
  • ISBN 10 : 9780821839034

GET BOOK
Introduction to the Mathematics of Finance Excerpt :

The modern subject of mathematical finance has undergone considerable development, both in theory and practice, since the seminal work of Black and Scholes appeared a third of a century ago. This book is intended as an introduction to some elements of the theory that will enable students and researchers to go on to read more advanced texts and research papers. The book begins with the development of the basic ideas of hedging and pricing of European and American derivatives in the discrete (i.e., discrete time and discrete state) setting of binomial tree models. Then a general discrete finite market model is introduced, and the fundamental theorems of asset pricing are proved in this setting. Tools from probability such as conditional expectation, filtration, (super)martingale, equivalent martingale measure, and martingale representation are all used first in this simple discrete framework. This provides a bridge to the continuous (time and state) setting, which requires the additional concepts of Brownian motion and stochastic calculus. The simplest model in the continuous setting is the famous Black-Scholes model, for which pricing and hedging of European and American derivatives are developed. The book concludes with a description of the fundamental theorems for a continuous market model that generalizes the simple Black-Scholes model in several directions.

A Course in Derivative Securities Book

A Course in Derivative Securities


  • Author : Kerry Back
  • Publisher : Springer Science & Business Media
  • Release Date : 2006-03-30
  • Genre: Business & Economics
  • Pages : 356
  • ISBN 10 : 9783540279006

GET BOOK
A Course in Derivative Securities Excerpt :

"Deals with pricing and hedging financial derivatives.... Computational methods are introduced and the text contains the Excel VBA routines corresponding to the formulas and procedures described in the book. This is valuable since computer simulation can help readers understand the theory....The book...succeeds in presenting intuitively advanced derivative modelling... it provides a useful bridge between introductory books and the more advanced literature." --MATHEMATICAL REVIEWS