Risk Neutral Pricing and Financial Mathematics

Risk Neutral Pricing and Financial Mathematics
Author: Peter M. Knopf,John L. Teall
Publsiher: Academic Press
Total Pages: 325
Release: 2015-05-01
ISBN 10: 9780128015346
ISBN 13: 0128015349
Language: EN, FR, DE, ES & NL

Risk Neutral Pricing and Financial Mathematics Book Review:

Risk Neutral Pricing and Financial Mathematics: A Primer provides a foundation to financial mathematics for those whose undergraduate quantitative preparation does not extend beyond calculus, statistics, and linear math. It covers a broad range of foundation topics related to financial modeling, including probability, discrete and continuous time and space valuation, stochastic processes, equivalent martingales, option pricing, and term structure models, along with related valuation and hedging techniques. The joint effort of two authors with a combined 70 years of academic and practitioner experience, Risk Neutral Pricing and Financial Mathematics takes a reader from learning the basics of beginning probability, with a refresher on differential calculus, all the way to Doob-Meyer, Ito, Girsanov, and SDEs. It can also serve as a useful resource for actuaries preparing for Exams FM and MFE (Society of Actuaries) and Exams 2 and 3F (Casualty Actuarial Society). Includes more subjects than other books, including probability, discrete and continuous time and space valuation, stochastic processes, equivalent martingales, option pricing, term structure models, valuation, and hedging techniques Emphasizes introductory financial engineering, financial modeling, and financial mathematics Suited for corporate training programs and professional association certification programs

Risk Neutral Pricing and Financial Mathematics

Risk Neutral Pricing and Financial Mathematics
Author: Peter M. Knopf,John L. Teall
Publsiher: Elsevier
Total Pages: 348
Release: 2015-07-29
ISBN 10: 0128017279
ISBN 13: 9780128017272
Language: EN, FR, DE, ES & NL

Risk Neutral Pricing and Financial Mathematics Book Review:

Risk Neutral Pricing and Financial Mathematics: A Primer provides a foundation to financial mathematics for those whose undergraduate quantitative preparation does not extend beyond calculus, statistics, and linear math. It covers a broad range of foundation topics related to financial modeling, including probability, discrete and continuous time and space valuation, stochastic processes, equivalent martingales, option pricing, and term structure models, along with related valuation and hedging techniques. The joint effort of two authors with a combined 70 years of academic and practitioner experience, Risk Neutral Pricing and Financial Mathematics takes a reader from learning the basics of beginning probability, with a refresher on differential calculus, all the way to Doob-Meyer, Ito, Girsanov, and SDEs. It can also serve as a useful resource for actuaries preparing for Exams FM and MFE (Society of Actuaries) and Exams 2 and 3F (Casualty Actuarial Society). Includes more subjects than other books, including probability, discrete and continuous time and space valuation, stochastic processes, equivalent martingales, option pricing, term structure models, valuation, and hedging techniques Emphasizes introductory financial engineering, financial modeling, and financial mathematics Suited for corporate training programs and professional association certification programs

Risk Neutral Pricing and Financial Mathematics

Risk Neutral Pricing and Financial Mathematics
Author: Anonim
Publsiher: Unknown
Total Pages: 329
Release: 2021
ISBN 10:
ISBN 13: OCLC:972066093
Language: EN, FR, DE, ES & NL

Risk Neutral Pricing and Financial Mathematics Book Review:

Risk Neutral Valuation

Risk Neutral Valuation
Author: Nicholas H. Bingham,Rüdiger Kiesel
Publsiher: Springer Science & Business Media
Total Pages: 438
Release: 2013-06-29
ISBN 10: 1447138562
ISBN 13: 9781447138563
Language: EN, FR, DE, ES & NL

Risk Neutral Valuation Book Review:

This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives. On the probabilistic side, both discrete- and continuous-time stochastic processes are treated, with special emphasis on martingale theory, stochastic integration and change-of-measure techniques. Based on firm probabilistic foundations, general properties of discrete- and continuous-time financial market models are discussed.

Financial Mathematics

Financial Mathematics
Author: Giuseppe Campolieti,Roman N. Makarov
Publsiher: CRC Press
Total Pages: 829
Release: 2018-10-24
ISBN 10: 1315360489
ISBN 13: 9781315360485
Language: EN, FR, DE, ES & NL

Financial Mathematics Book Review:

Versatile for Several Interrelated Courses at the Undergraduate and Graduate Levels Financial Mathematics: A Comprehensive Treatment provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of the authors’ teaching experiences, the book encompasses a breadth of topics, from introductory to more advanced ones. Accessible to undergraduate students in mathematics, finance, actuarial science, economics, and related quantitative areas, much of the text covers essential material for core curriculum courses on financial mathematics. Some of the more advanced topics, such as formal derivative pricing theory, stochastic calculus, Monte Carlo simulation, and numerical methods, can be used in courses at the graduate level. Researchers and practitioners in quantitative finance will also benefit from the combination of analytical and numerical methods for solving various derivative pricing problems. With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. The book provides complete coverage of both discrete- and continuous-time financial models that form the cornerstones of financial derivative pricing theory. It also presents a self-contained introduction to stochastic calculus and martingale theory, which are key fundamental elements in quantitative finance.

Advanced Asset Pricing Theory

Advanced Asset Pricing Theory
Author: Chenghu Ma
Publsiher: World Scientific
Total Pages: 780
Release: 2011
ISBN 10: 184816632X
ISBN 13: 9781848166325
Language: EN, FR, DE, ES & NL

Advanced Asset Pricing Theory Book Review:

This book provides a broad introduction to modern asset pricing theory. The theory is self-contained and unified in presentation. Both the no-arbitrage and the general equilibrium approaches of asset pricing theory are treated coherently within the general equilibrium framework. It fills a gap in the body of literature on asset pricing for being both advanced and comprehensive. The absence of arbitrage opportunities represents a necessary condition for equilibrium in the financial markets. However, the absence of arbitrage is not a sufficient condition for establishing equilibrium. These interrelationships are overlooked by the proponents of the no-arbitrage approach to asset pricing.This book also tackles recent advancement on inversion problems raised in asset pricing theory, which include the information role of financial options and the information content of term structure of interest rates and interest rates contingent claims.The inclusion of the proofs and derivations to enhance the transparency of the underlying arguments and conditions for the validity of the economic theory made it an ideal advanced textbook or reference book for graduate students specializing in financial economics and quantitative finance. The detailed explanations will capture the interest of the curious reader, and it is complete enough to provide the necessary background material needed to delve deeper into the subject and explore the research literature.Postgraduate students in economics with a good grasp of calculus, linear algebra, and probability and statistics will find themselves ready to tackle topics covered in this book. They will certainly benefit from the mathematical coverage in stochastic processes and stochastic differential equation with applications in finance. Postgraduate students in financial mathematics and financial engineering will also benefit, not only from the mathematical tools introduced in this book, but also from the economic ideas underpinning the economic modeling of financial markets.Both these groups of postgraduate students will learn the economic issues involved in financial modeling. The book can be used as an advanced text for Masters and PhD students in all subjects of financial economics, financial mathematics, mathematical finance, and financial engineering. It is also an ideal reference for practitioners and researchers in the subjects.

Construction of the It Integral and Risk Neutral Pricing

Construction of the It   Integral and Risk Neutral Pricing
Author: Anonim
Publsiher: Unknown
Total Pages: 30
Release: 2016
ISBN 10:
ISBN 13: OCLC:958852073
Language: EN, FR, DE, ES & NL

Construction of the It Integral and Risk Neutral Pricing Book Review:

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.

Binomial Models in Finance

Binomial Models in Finance
Author: John van der Hoek,Robert J Elliott
Publsiher: Springer Science & Business Media
Total Pages: 306
Release: 2006-04-18
ISBN 10: 0387316078
ISBN 13: 9780387316079
Language: EN, FR, DE, ES & NL

Binomial Models in Finance Book Review:

This book describes the modelling of prices of ?nancial assets in a simple d- crete time, discrete state, binomial framework. By avoiding the mathematical technicalitiesofcontinuoustime?nancewehopewehavemadethematerial accessible to a wide audience. Some of the developments and formulae appear here for the ?rst time in book form. We hope our book will appeal to various audiences. These include MBA s- dents,upperlevelundergraduatestudents,beginningdoctoralstudents,qu- titative analysts at a basic level and senior executives who seek material on new developments in ?nance at an accessible level. The basic building block in our book is the one-step binomial model where a known price today can take one of two possible values at a future time, which might, for example, be tomorrow, or next month, or next year. In this simple situation “risk neutral pricing” can be de?ned and the model can be applied to price forward contracts, exchange rate contracts and interest rate derivatives. In a few places we discuss multinomial models to explain the notions of incomplete markets and how pricing can be viewed in such a context, where unique prices are no longer available. The simple one-period framework can then be extended to multi-period m- els.TheCox-Ross-RubinsteinapproximationtotheBlackScholesoptionpr- ing formula is an immediate consequence. American, barrier and exotic - tions can all be discussed and priced using binomial models. More precise modelling issues such as implied volatility trees and implied binomial trees are treated, as well as interest rate models like those due to Ho and Lee; and Black, Derman and Toy.

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)

A Benchmark Approach to Quantitative Finance

A Benchmark Approach to Quantitative Finance
Author: Eckhard Platen,David Heath
Publsiher: Springer Science & Business Media
Total Pages: 700
Release: 2006-10-28
ISBN 10: 3540478566
ISBN 13: 9783540478560
Language: EN, FR, DE, ES & NL

A Benchmark Approach to Quantitative Finance Book Review:

A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. This book presents the necessary mathematical tools, followed by a thorough introduction to financial modeling under the benchmark approach, explaining various quantitative methods for the fair pricing and hedging of derivatives.

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.

Stochastic Calculus for Finance I

Stochastic Calculus for Finance I
Author: Steven Shreve
Publsiher: Springer Science & Business Media
Total Pages: 187
Release: 2005-06-28
ISBN 10: 9780387249681
ISBN 13: 0387249680
Language: EN, FR, DE, ES & NL

Stochastic Calculus for Finance I Book Review:

Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance

C for Financial Mathematics

C   for Financial Mathematics
Author: John Armstrong
Publsiher: CRC Press
Total Pages: 388
Release: 2017-01-06
ISBN 10: 1498750060
ISBN 13: 9781498750066
Language: EN, FR, DE, ES & NL

C for Financial Mathematics Book Review:

If you know a little bit about financial mathematics but don’t yet know a lot about programming, then C++ for Financial Mathematics is for you. C++ is an essential skill for many jobs in quantitative finance, but learning it can be a daunting prospect. This book gathers together everything you need to know to price derivatives in C++ without unnecessary complexities or technicalities. It leads the reader step-by-step from programming novice to writing a sophisticated and flexible financial mathematics library. At every step, each new idea is motivated and illustrated with concrete financial examples. As employers understand, there is more to programming than knowing a computer language. As well as covering the core language features of C++, this book teaches the skills needed to write truly high quality software. These include topics such as unit tests, debugging, design patterns and data structures. The book teaches everything you need to know to solve realistic financial problems in C++. It can be used for self-study or as a textbook for an advanced undergraduate or master’s level course.

Introductory Course on Financial Mathematics

Introductory Course on Financial Mathematics
Author: M V Tretyakov
Publsiher: World Scientific Publishing Company
Total Pages: 276
Release: 2013-07-23
ISBN 10: 190897740X
ISBN 13: 9781908977403
Language: EN, FR, DE, ES & NL

Introductory Course on Financial Mathematics Book Review:

This book is an elementary introduction to the basic concepts of financial mathematics with a central focus on discrete models and an aim to demonstrate simple, but widely used, financial derivatives for managing market risks. Only a basic knowledge of probability, real analysis, ordinary differential equations, linear algebra and some common sense are required to understand the concepts considered in this book. Financial mathematics is an application of advanced mathematical and statistical methods to financial management and markets, with a main objective of quantifying and hedging risks. Since the book aims to present the basics of financial mathematics to the reader, only essential elements of probability and stochastic analysis are given to explain ideas concerning derivative pricing and hedging. To keep the reader intrigued and motivated, the book has a ‘sandwich’ structure: probability and stochastics are given in situ where mathematics can be readily illustrated by application to finance. The first part of the book introduces one of the main principles in finance — ‘no arbitrage pricing’. It also introduces main financial instruments such as forward and futures contracts, bonds and swaps, and options. The second part deals with pricing and hedging of European- and American-type options in the discrete-time setting. In addition, the concept of complete and incomplete markets is discussed. Elementary probability is briefly revised and discrete-time discrete-space stochastic processes used in financial modelling are considered. The third part introduces the Wiener process, Ito integrals and stochastic differential equations, but its main focus is the famous Black–Scholes formula for pricing European options. Some guidance for further study within this exciting and rapidly changing field is given in the concluding chapter. There are approximately 100 exercises interspersed throughout the book, and solutions for most problems are provided in the appendices.

The Concepts and Practice of Mathematical Finance

The Concepts and Practice of Mathematical Finance
Author: Mark S. Joshi,Mark Suresh Joshi
Publsiher: Cambridge University Press
Total Pages: 473
Release: 2003-12-24
ISBN 10: 9780521823555
ISBN 13: 0521823552
Language: EN, FR, DE, ES & NL

The Concepts and Practice of Mathematical Finance Book Review:

Professional text/reference on mathematical finance.

Nonlinear Option Pricing

Nonlinear Option Pricing
Author: Julien Guyon,Pierre Henry-Labordere
Publsiher: CRC Press
Total Pages: 484
Release: 2013-12-19
ISBN 10: 1466570334
ISBN 13: 9781466570337
Language: EN, FR, DE, ES & NL

Nonlinear Option Pricing Book Review:

New Tools to Solve Your Option Pricing Problems For nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research—including Risk magazine’s 2013 Quant of the Year—Nonlinear Option Pricing compares various numerical methods for solving high-dimensional nonlinear problems arising in option pricing. Designed for practitioners, it is the first authored book to discuss nonlinear Black-Scholes PDEs and compare the efficiency of many different methods. Real-World Solutions for Quantitative Analysts The book helps quants develop both their analytical and numerical expertise. It focuses on general mathematical tools rather than specific financial questions so that readers can easily use the tools to solve their own nonlinear problems. The authors build intuition through numerous real-world examples of numerical implementation. Although the focus is on ideas and numerical examples, the authors introduce relevant mathematical notions and important results and proofs. The book also covers several original approaches, including regression methods and dual methods for pricing chooser options, Monte Carlo approaches for pricing in the uncertain volatility model and the uncertain lapse and mortality model, the Markovian projection method and the particle method for calibrating local stochastic volatility models to market prices of vanilla options with/without stochastic interest rates, the a + bλ technique for building local correlation models that calibrate to market prices of vanilla options on a basket, and a new stochastic representation of nonlinear PDE solutions based on marked branching diffusions.

Stochastic Finance

Stochastic Finance
Author: Hans Föllmer,Alexander Schied
Publsiher: Walter de Gruyter GmbH & Co KG
Total Pages: 608
Release: 2016-07-25
ISBN 10: 3110463458
ISBN 13: 9783110463453
Language: EN, FR, DE, ES & NL

Stochastic Finance Book Review:

This book is an introduction to financial mathematics. It is intended for graduate students in mathematics and for researchers working in academia and industry. The focus on stochastic models in discrete time has two immediate benefits. First, the probabilistic machinery is simpler, and one can discuss right away some of the key problems in the theory of pricing and hedging of financial derivatives. Second, the paradigm of a complete financial market, where all derivatives admit a perfect hedge, becomes the exception rather than the rule. Thus, the need to confront the intrinsic risks arising from market incomleteness appears at a very early stage. The first part of the book contains a study of a simple one-period model, which also serves as a building block for later developments. Topics include the characterization of arbitrage-free markets, preferences on asset profiles, an introduction to equilibrium analysis, and monetary measures of financial risk. In the second part, the idea of dynamic hedging of contingent claims is developed in a multiperiod framework. Topics include martingale measures, pricing formulas for derivatives, American options, superhedging, and hedging strategies with minimal shortfall risk. This fourth, newly revised edition contains more than one hundred exercises. It also includes material on risk measures and the related issue of model uncertainty, in particular a chapter on dynamic risk measures and sections on robust utility maximization and on efficient hedging with convex risk measures. Contents: Part I: Mathematical finance in one period Arbitrage theory Preferences Optimality and equilibrium Monetary measures of risk Part II: Dynamic hedging Dynamic arbitrage theory American contingent claims Superhedging Efficient hedging Hedging under constraints Minimizing the hedging error Dynamic risk measures

Mathematics for Finance

Mathematics for Finance
Author: Marek Capiński,Tomasz Zastawniak
Publsiher: Springer
Total Pages: 336
Release: 2011-04-08
ISBN 10: 9780857290830
ISBN 13: 0857290835
Language: EN, FR, DE, ES & NL

Mathematics for Finance Book Review:

As with the first edition, Mathematics for Finance: An Introduction to Financial Engineering combines financial motivation with mathematical style. Assuming only basic knowledge of probability and calculus, it presents three major areas of mathematical finance, namely Option pricing based on the no-arbitrage principle in discrete and continuous time setting, Markowitz portfolio optimisation and Capital Asset Pricing Model, and basic stochastic interest rate models in discrete setting. From the reviews of the first edition: ”This text is an excellent introduction to Mathematical Finance. Armed with a knowledge of basic calculus and probability a student can use this book to learn about derivatives, interest rates and their term structure and portfolio management.”(Zentralblatt MATH) ”Given these basic tools, it is surprising how high a level of sophistication the authors achieve, covering such topics as arbitrage-free valuation, binomial trees, and risk-neutral valuation.” (www.riskbook.com) ”The reviewer can only congratulate the authors with successful completion of a difficult task of writing a useful textbook on a traditionally hard topic.” (K. Borovkov, The Australian Mathematical Society Gazette, Vol. 31 (4), 2004)

Financial Mathematics

Financial Mathematics
Author: Giuseppe Campolieti,Roman N. Makarov
Publsiher: CRC Press
Total Pages: 589
Release: 2021-07-08
ISBN 10: 0429994583
ISBN 13: 9780429994586
Language: EN, FR, DE, ES & NL

Financial Mathematics Book Review:

The book has been tested and refined through years of classroom teaching experience. With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way. This textbook provides complete coverage of discrete-time financial models that form the cornerstones of financial derivative pricing theory. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. Key features: In-depth coverage of discrete-time theory and methodology. Numerous, fully worked out examples and exercises in every chapter. Mathematically rigorous and consistent yet bridging various basic and more advanced concepts. Judicious balance of financial theory, mathematical, and computational methods. Guide to Material. This revision contains: Almost 200 pages worth of new material in all chapters. A new chapter on elementary probability theory. An expanded the set of solved problems and additional exercises. Answers to all exercises. This book is a comprehensive, self-contained, and unified treatment of the main theory and application of mathematical methods behind modern-day financial mathematics. Table of Contents List of Figures and Tables Preface I Introduction to Pricing and Management of Financial Securities 1 Mathematics of Compounding 2 Primer on Pricing Risky Securities 3 Portfolio Management 4 Primer on Derivative Securities II Discrete-Time Modelling 5 Single-Period Arrow–Debreu Models 6 Introduction to Discrete-Time Stochastic Calculus 7 Replication and Pricing in the Binomial Tree Model 8 General Multi-Asset Multi-Period Model Appendices A Elementary Probability Theory B Glossary of Symbols and Abbreviations C Answers and Hints to Exercises References Index Biographies Giuseppe Campolieti is Professor of Mathematics at Wilfrid Laurier University in Waterloo, Canada. He has been Natural Sciences and Engineering Research Council postdoctoral research fellow and university research fellow at the University of Toronto. In 1998, he joined the Masters in Mathematical Finance as an instructor and later as an adjunct professor in financial mathematics until 2002. Dr. Campolieti also founded a financial software and consulting company in 1998. He joined Laurier in 2002 as Associate Professor of Mathematics and as SHARCNET Chair in Financial Mathematics. Roman N. Makarov is Associate Professor and Chair of Mathematics at Wilfrid Laurier University. Prior to joining Laurier in 2003, he was an Assistant Professor of Mathematics at Siberian State University of Telecommunications and Informatics and a senior research fellow at the Laboratory of Monte Carlo Methods at the Institute of Computational Mathematics and Mathematical Geophysics in Novosibirsk, Russia.