An Introduction to the Mathematics of Financial Derivatives

An Introduction to the Mathematics of Financial Derivatives
Author: Salih N. Neftci,Ali Hirsa,Salih N.. Neftci
Publsiher: Academic Press
Total Pages: 527
Release: 2000-06-02
ISBN 10: 0125153929
ISBN 13: 9780125153928
Language: EN, FR, DE, ES & NL

An Introduction to the Mathematics of Financial Derivatives Book Review:

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

The Mathematics of Financial Derivatives
Author: Paul Wilmott,Susan Howson,Sam Howison,Wilmott-Howison-Dewynne ...,Jeff Dewynne
Publsiher: Cambridge University Press
Total Pages: 317
Release: 1995-09-29
ISBN 10: 9780521497893
ISBN 13: 0521497892
Language: EN, FR, DE, ES & NL

The Mathematics of Financial Derivatives Book Review:

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

Financial Calculus

Financial Calculus
Author: Martin Baxter,Andrew Rennie
Publsiher: Cambridge University Press
Total Pages: 329
Release: 1996-09-19
ISBN 10: 1139643274
ISBN 13: 9781139643276
Language: EN, FR, DE, ES & NL

Financial Calculus Book Review:

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

Financial Derivatives
Author: Jamil Baz,George Chacko
Publsiher: Cambridge University Press
Total Pages: 338
Release: 2004-01-12
ISBN 10: 9780521815109
ISBN 13: 052181510X
Language: EN, FR, DE, ES & NL

Financial Derivatives Book Review:

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.

Derivatives

Derivatives
Author: Paul Wilmott
Publsiher: Wiley
Total Pages: 768
Release: 1998-12-08
ISBN 10: 9780471983668
ISBN 13: 0471983667
Language: EN, FR, DE, ES & NL

Derivatives Book Review:

Derivatives by Paul Wilmott provides the most comprehensive and accessible analysis of the art of science in financial modeling available. Wilmott explains and challenges many of the tried and tested models while at the same time offering the reader many new and previously unpublished ideas and techniques. Paul Wilmott has produced a compelling and essential new work in this field. The basics of the established theories-such as stochastic calculus, Black-Scholes, binomial trees and interest-rate models-are covered in clear and precise detail, but Derivatives goes much further. Complex models-such as path dependency, non-probabilistic models, static hedging and quasi-Monte Carlo methods-are introduced and explained to a highly sophisticated level. But theory in itself is not enough, an understanding of the role the techniques play in the daily world of finance is also examined through the use of spreadsheets, examples and the inclusion of Visual Basic programs. The book is divided into six parts: Part One: acts as an introduction and explanation of the fundamentals of derivatives theory and practice, dealing with the equity, commodity and currency worlds. Part Two: takes the mathematics of Part One to a more complex level, introducing the concept of path dependency. Part Three: concerns extensions of the Black-Scholes world, both classic and modern. Part Four: deals with models for fixed-income products. Part Five: describes models for risk management and measurement. Part Six: delivers the numerical methods required for implementing the models described in the rest of the book. Derivatives also includes a CD containing a wide variety of implementation material related to the book in the form of spreadsheets and executable programs together with resource material such as demonstration software and relevant contributed articles. At all times the style remains readable and compelling making Derivatives the essential book on every finance shelf.

Mathematical Models of Financial Derivatives

Mathematical Models of Financial Derivatives
Author: Yue-Kuen Kwok
Publsiher: Springer Science & Business Media
Total Pages: 530
Release: 2008-07-10
ISBN 10: 9783540686880
ISBN 13: 3540686886
Language: EN, FR, DE, ES & NL

Mathematical Models of Financial Derivatives Book Review:

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.

The Mathematics of Derivatives Securities with Applications in MATLAB

The Mathematics of Derivatives Securities with Applications in MATLAB
Author: Mario Cerrato
Publsiher: John Wiley & Sons
Total Pages: 248
Release: 2012-02-24
ISBN 10: 1119973414
ISBN 13: 9781119973416
Language: EN, FR, DE, ES & NL

The Mathematics of Derivatives Securities with Applications in MATLAB Book Review:

Quantitative Finance is expanding rapidly. One of the aspects of the recent financial crisis is that, given the complexity of financial products, the demand for people with high numeracy skills is likely to grow and this means more recognition will be given to Quantitative Finance in existing and new course structures worldwide. Evidence has suggested that many holders of complex financial securities before the financial crisis did not have in-house experts or rely on a third-party in order to assess the risk exposure of their investments. Therefore, this experience shows the need for better understanding of risk associate with complex financial securities in the future. The Mathematics of Derivative Securities with Applications in MATLAB provides readers with an introduction to probability theory, stochastic calculus and stochastic processes, followed by discussion on the application of that knowledge to solve complex financial problems such as pricing and hedging exotic options, pricing American derivatives, pricing and hedging under stochastic volatility and an introduction to interest rates modelling. The book begins with an overview of MATLAB and the various components that will be used alongside it throughout the textbook. Following this, the first part of the book is an in depth introduction to Probability theory, Stochastic Processes and Ito Calculus and Ito Integral. This is essential to fully understand some of the mathematical concepts used in the following part of the book. The second part focuses on financial engineering and guides the reader through the fundamental theorem of asset pricing using the Black and Scholes Economy and Formula, Options Pricing through European and American style options, summaries of Exotic Options, Stochastic Volatility Models and Interest rate Modelling. Topics covered in this part are explained using MATLAB codes showing how the theoretical models are used practically. Authored from an academic’s perspective, the book discusses complex analytical issues and intricate financial instruments in a way that it is accessible to postgraduate students with or without a previous background in probability theory and finance. It is written to be the ideal primary reference book or a perfect companion to other related works. The book uses clear and detailed mathematical explanation accompanied by examples involving real case scenarios throughout and provides MATLAB codes for a variety of topics.

Financial Derivatives in Theory and Practice

Financial Derivatives in Theory and Practice
Author: Philip Hunt,Joanne Kennedy
Publsiher: John Wiley & Sons
Total Pages: 468
Release: 2004-11-19
ISBN 10: 0470863609
ISBN 13: 9780470863602
Language: EN, FR, DE, ES & NL

Financial Derivatives in Theory and Practice Book Review:

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.

Financial Mathematics Derivatives and Structured Products

Financial Mathematics  Derivatives and Structured Products
Author: Raymond H. Chan,Yves ZY. Guo,Spike T. Lee,Xun Li
Publsiher: Springer
Total Pages: 395
Release: 2019-02-27
ISBN 10: 9811336962
ISBN 13: 9789811336966
Language: EN, FR, DE, ES & NL

Financial Mathematics Derivatives and Structured Products Book Review:

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 Mathematics of Finance

Introduction to the Mathematics of Finance
Author: Steven Roman
Publsiher: Springer Science & Business Media
Total Pages: 356
Release: 2013-12-01
ISBN 10: 1441990054
ISBN 13: 9781441990051
Language: EN, FR, DE, ES & NL

Introduction to the Mathematics of Finance Book Review:

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.

Actuarial Finance

Actuarial Finance
Author: Mathieu Boudreault,Jean-François Renaud
Publsiher: John Wiley & Sons
Total Pages: 592
Release: 2019-03-22
ISBN 10: 1119137012
ISBN 13: 9781119137016
Language: EN, FR, DE, ES & NL

Actuarial Finance Book Review:

A new textbook offering a comprehensive introduction to models and techniques for the emerging field of actuarial Finance Drs. Boudreault and Renaud answer the need for a clear, application-oriented guide to the growing field of actuarial finance with this volume, which focuses on the mathematical models and techniques used in actuarial finance for the pricing and hedging of actuarial liabilities exposed to financial markets and other contingencies. With roots in modern financial mathematics, actuarial finance presents unique challenges due to the long-term nature of insurance liabilities, the presence of mortality or other contingencies and the structure and regulations of the insurance and pension markets. Motivated, designed and written for and by actuaries, this book puts actuarial applications at the forefront in addition to balancing mathematics and finance at an adequate level to actuarial undergraduates. While the classical theory of financial mathematics is discussed, the authors provide a thorough grounding in such crucial topics as recognizing embedded options in actuarial liabilities, adequately quantifying and pricing liabilities, and using derivatives and other assets to manage actuarial and financial risks. Actuarial applications are emphasized and illustrated with about 300 examples and 200 exercises. The book also comprises end-of-chapter point-form summaries to help the reader review the most important concepts. Additional topics and features include: Compares pricing in insurance and financial markets Discusses event-triggered derivatives such as weather, catastrophe and longevity derivatives and how they can be used for risk management; Introduces equity-linked insurance and annuities (EIAs, VAs), relates them to common derivatives and how to manage mortality for these products Introduces pricing and replication in incomplete markets and analyze the impact of market incompleteness on insurance and risk management; Presents immunization techniques alongside Greeks-based hedging; Covers in detail how to delta-gamma/rho/vega hedge a liability and how to rebalance periodically a hedging portfolio. This text will prove itself a firm foundation for undergraduate courses in financial mathematics or economics, actuarial mathematics or derivative markets. It is also highly applicable to current and future actuaries preparing for the exams or actuary professionals looking for a valuable addition to their reference shelf. As of 2019, the book covers significant parts of the Society of Actuaries’ Exams FM, IFM and QFI Core, and the Casualty Actuarial Society’s Exams 2 and 3F. It is assumed the reader has basic skills in calculus (differentiation and integration of functions), probability (at the level of the Society of Actuaries’ Exam P), interest theory (time value of money) and, ideally, a basic understanding of elementary stochastic processes such as random walks.

Introduction to the Mathematics of Finance

Introduction to the Mathematics of Finance
Author: Ruth J. Williams
Publsiher: American Mathematical Soc.
Total Pages: 150
Release: 2006
ISBN 10: 0821839039
ISBN 13: 9780821839034
Language: EN, FR, DE, ES & NL

Introduction to the Mathematics of Finance Book Review:

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

A Course in Derivative Securities
Author: Kerry Back
Publsiher: Springer Science & Business Media
Total Pages: 356
Release: 2006-03-30
ISBN 10: 3540279008
ISBN 13: 9783540279006
Language: EN, FR, DE, ES & NL

A Course in Derivative Securities Book Review:

"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

An Introduction to Financial Mathematics

An Introduction to Financial Mathematics
Author: Hugo D. Junghenn
Publsiher: CRC Press
Total Pages: 304
Release: 2019-03-14
ISBN 10: 0429558961
ISBN 13: 9780429558962
Language: EN, FR, DE, ES & NL

An Introduction to Financial Mathematics Book Review:

Introduction to Financial Mathematics: Option Valuation, Second Edition is a well-rounded primer to the mathematics and models used in the valuation of financial derivatives. The book consists of fifteen chapters, the first ten of which develop option valuation techniques in discrete time, the last five describing the theory in continuous time. The first half of the textbook develops basic finance and probability. The author then treats the binomial model as the primary example of discrete-time option valuation. The final part of the textbook examines the Black-Scholes model. The book is written to provide a straightforward account of the principles of option pricing and examines these principles in detail using standard discrete and stochastic calculus models. Additionally, the second edition has new exercises and examples, and includes many tables and graphs generated by over 30 MS Excel VBA modules available on the author’s webpage https://home.gwu.edu/~hdj/.

Mathematics for Finance

Mathematics for Finance
Author: Marek Capinski,Tomasz Zastawniak
Publsiher: Springer
Total Pages: 314
Release: 2006-04-18
ISBN 10: 1852338466
ISBN 13: 9781852338466
Language: EN, FR, DE, ES & NL

Mathematics for Finance Book Review:

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.

Modelling Financial Derivatives with MATHEMATICA

Modelling Financial Derivatives with MATHEMATICA
Author: William Shaw,William T. Shaw
Publsiher: Cambridge University Press
Total Pages: 537
Release: 1998-12-10
ISBN 10: 9780521592338
ISBN 13: 052159233X
Language: EN, FR, DE, ES & NL

Modelling Financial Derivatives with MATHEMATICA Book Review:

CD plus book for financial modelling, requires Mathematica 3 or 2.2; runs on most platforms.

An Introduction to Quantitative Finance

An Introduction to Quantitative Finance
Author: Stephen Blyth
Publsiher: Oxford University Press
Total Pages: 175
Release: 2013-11
ISBN 10: 0199666598
ISBN 13: 9780199666591
Language: EN, FR, DE, ES & NL

An Introduction to Quantitative Finance Book Review:

The quantitative nature of complex financial transactions makes them a fascinating subject area for mathematicians of all types. This book gives an insight into financial engineering while building on introductory probability courses by detailing one of the most fascinating applications of the subject.

Analytical Finance Volume II

Analytical Finance  Volume II
Author: Jan R. M. Röman
Publsiher: Springer
Total Pages: 728
Release: 2017-11-30
ISBN 10: 3319525840
ISBN 13: 9783319525846
Language: EN, FR, DE, ES & NL

Analytical Finance Volume II Book Review:

Analytical Finance is a comprehensive introduction to the financial engineering of equity and interest rate instruments for financial markets. Developed from notes from the author’s many years in quantitative risk management and modeling roles, and then for the Financial Engineering course at Mälardalen University, it provides exhaustive coverage of vanilla and exotic mathematical finance applications for trading and risk management, combining rigorous theory with real market application. Coverage includes: • Date arithmetic’s, quote types of interest rate instruments • The interbank market and reference rates, including negative rates• Valuation and modeling of IR instruments; bonds, FRN, FRA, forwards, futures, swaps, CDS, caps/floors and others • Bootstrapping and how to create interest rate curves from prices of traded instruments• Risk measures of IR instruments• Option Adjusted Spread and embedded options• The term structure equation, martingale measures and stochastic processes of interest rates; Vasicek, Ho-Lee, Hull-While, CIR• Numerical models; Black-Derman-Toy and forward induction using Arrow-Debreu prices and Newton–Raphson in 2 dimension• The Heath-Jarrow-Morton framework• Forward measures and general option pricing models• Black log-normal and, normal model for derivatives, market models and managing exotics instruments• Pricing before and after the financial crisis, collateral discounting, multiple curve framework, cheapest-to-deliver curves, CVA, DVA and FVA

Introduction to the Mathematics of Financial Derivatives

Introduction to the Mathematics of Financial Derivatives
Author: Salih N. Neftci
Publsiher: Unknown
Total Pages: 329
Release: 2006-07
ISBN 10: 9780123693853
ISBN 13: 0123693853
Language: EN, FR, DE, ES & NL

Introduction to the Mathematics of Financial Derivatives Book Review:

An Introduction to the Mathematics of Finance

An Introduction to the Mathematics of Finance
Author: Stephen Garrett
Publsiher: Butterworth-Heinemann
Total Pages: 464
Release: 2013-05-28
ISBN 10: 0080982751
ISBN 13: 9780080982755
Language: EN, FR, DE, ES & NL

An Introduction to the Mathematics of Finance Book Review:

An Introduction to the Mathematics of Finance: A Deterministic Approach, 2e, offers a highly illustrated introduction to mathematical finance, with a special emphasis on interest rates. This revision of the McCutcheon-Scott classic follows the core subjects covered by the first professional exam required of UK actuaries, the CT1 exam. It realigns the table of contents with the CT1 exam and includes sample questions from past exams of both The Actuarial Profession and the CFA Institute. With a wealth of solved problems and interesting applications, An Introduction to the Mathematics of Finance stands alone in its ability to address the needs of its primary target audience, the actuarial student. Closely follows the syllabus for the CT1 exam of The Institute and Faculty of Actuaries Features new content and more examples Online supplements available: http://booksite.elsevier.com/9780080982403/ Includes past exam questions from The Institute and Faculty of Actuaries and the CFA Institute