The Concepts and Practice of Mathematical Finance

Author: Mark Suresh Joshi

Publisher: Cambridge University Press

ISBN: 9780521823555

Category: Business & Economics

Page: 473

View: 6810

For those starting out as practitioners of mathematical finance, this is an ideal introduction. It provides the reader with a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice. Strengths and weaknesses of different models, e.g. Black-Scholes, stochastic volatility, jump-diffusion and variance gamma, are examined. Both the theory and the implementation of the industry-standard LIBOR market model are considered in detail. Uniquely, the book includes extensive discussion of the ideas behind the models, and is even-handed in examining various approaches to the subject. Thus each pricing problem is solved using several methods. Worked examples and exercises, with answers, are provided in plenty, and computer projects are given for many problems. The author brings to this book a blend of practical experience and rigorous mathematical background, and supplies here the working knowledge needed to become a good quantitative analyst.

Mathematik und Technologie

Author: Christiane Rousseau,Yvan Saint-Aubin

Publisher: Springer-Verlag

ISBN: 3642300928

Category: Mathematics

Page: 609

View: 2988

Zusammen mit der Abstraktion ist die Mathematik das entscheidende Werkzeug für technologische Innovationen. Das Buch bietet eine Einführung in zahlreiche Anwendungen der Mathematik auf dem Gebiet der Technologie. Meist werden moderne Anwendungen dargestellt, die heute zum Alltag gehören. Die mathematischen Grundlagen für technologische Anwendungen sind dabei relativ elementar, was die Leistungsstärke der mathematischen Modellbildung und der mathematischen Hilfsmittel beweist. Mit zahlreichen originellen Übungen am Ende eines jeden Kapitels.

Principles of Quantitative Development

Author: Manoj Thulasidas

Publisher: John Wiley & Sons

ISBN: 0470745703

Category: Business & Economics

Page: 252

View: 7145

Principles of Quantitative Development is a practical guide to designing, building and deploying a trading platform. It is also a lucid and succinct exposé on the trade life cycle and the business groups involved in managing it, bringing together the big picture of how a trade flows through the systems, and the role of a quantitative professional in the organization. The book begins by looking at the need and demand for in-house trading platforms, addressing the current trends in the industry. It then looks at the trade life cycle and its participants, from beginning to end, and then the functions within the front, middle and back office, giving the reader a full understanding and appreciation of the perspectives and needs of each function. The book then moves on to platform design, addressing all the fundamentals of platform design, system architecture, programming languages and choices. Finally, the book focuses on some of the more technical aspects of platform design and looks at traditional and new languages and approaches used in modern quantitative development. The book is accompanied by a CD-ROM, featuring a fully working option pricing tool with source code and project building instructions, illustrating the design principles discussed, and enabling the reader to develop a mini-trading platform. The book is also accompanied by a website that contains updates and companion materials.

Frequently Asked Questions in Quantitative Finance

Author: Paul Wilmott

Publisher: John Wiley & Sons

ISBN: 0470972963

Category: Business & Economics

Page: 428

View: 1745

Paul Wilmott writes, "Quantitative finance is the most fascinating and rewarding real-world application of mathematics. It is fascinating because of the speed at which the subject develops, the new products and the new models which we have to understand. And it is rewarding because anyone can make a fundamental breakthrough. "Having worked in this field for many years, I have come to appreciate the importance of getting the right balance between mathematics and intuition. Too little maths and you won't be able to make much progress, too much maths and you'll be held back by technicalities. I imagine, but expect I will never know for certain, that getting the right level of maths is like having the right equipment to climb Mount Everest; too little and you won't make the first base camp, too much and you'll collapse in a heap before the top. "Whenever I write about or teach this subject I also aim to get the right mix of theory and practice. Finance is not a hard science like physics, so you have to accept the limitations of the models. But nor is it a very soft science, so without those models you would be at a disadvantage compared with those better equipped. I believe this adds to the fascination of the subject. "This FAQs book looks at some of the most important aspects of financial engineering, and considers them from both theoretical and practical points of view. I hope that you will see that finance is just as much fun in practice as in theory, and if you are reading this book to help you with your job interviews, good luck! Let me know how you get on!"

Methods of Mathematical Finance

Author: Ioannis Karatzas,Steven Shreve

Publisher: Springer

ISBN: 1493968459

Category: Mathematics

Page: 415

View: 2971

This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.

Mathematical Finance

Theory, Modeling, Implementation

Author: Christian Fries

Publisher: John Wiley & Sons

ISBN: 9780470179772

Category: Mathematics

Page: 512

View: 7619

A balanced introduction to the theoretical foundations and real-world applications of mathematical finance The ever-growing use of derivative products makes it essential for financial industry practitioners to have a solid understanding of derivative pricing. To cope with the growing complexity, narrowing margins, and shortening life-cycle of the individual derivative product, an efficient, yet modular, implementation of the pricing algorithms is necessary. Mathematical Finance is the first book to harmonize the theory, modeling, and implementation of today's most prevalent pricing models under one convenient cover. Building a bridge from academia to practice, this self-contained text applies theoretical concepts to real-world examples and introduces state-of-the-art, object-oriented programming techniques that equip the reader with the conceptual and illustrative tools needed to understand and develop successful derivative pricing models. Utilizing almost twenty years of academic and industry experience, the author discusses the mathematical concepts that are the foundation of commonly used derivative pricing models, and insightful Motivation and Interpretation sections for each concept are presented to further illustrate the relationship between theory and practice. In-depth coverage of the common characteristics found amongst successful pricing models are provided in addition to key techniques and tips for the construction of these models. The opportunity to interactively explore the book's principal ideas and methodologies is made possible via a related Web site that features interactive Java experiments and exercises. While a high standard of mathematical precision is retained, Mathematical Finance emphasizes practical motivations, interpretations, and results and is an excellent textbook for students in mathematical finance, computational finance, and derivative pricing courses at the upper undergraduate or beginning graduate level. It also serves as a valuable reference for professionals in the banking, insurance, and asset management industries.

Risk and Financial Management

Mathematical and Computational Methods

Author: Charles S. Tapiero

Publisher: John Wiley & Sons

ISBN: 9780470849088

Category: Business & Economics

Page: 341

View: 506

Financial risk management has become a popular practice amongstfinancial institutions to protect against the adverse effects ofuncertainty caused by fluctuations in interest rates, exchangerates, commodity prices, and equity prices. New financialinstruments and mathematical techniques are continuously developedand introduced in financial practice. These techniques are beingused by an increasing number of firms, traders and financial riskmanagers across various industries. Risk and FinancialManagement: Mathematical and Computational Methods confrontsthe many issues and controversies, and explains the fundamentalconcepts that underpin financial risk management. Provides a comprehensive introduction to the core topics ofrisk and financial management. Adopts a pragmatic approach, focused on computational, ratherthan just theoretical, methods. Bridges the gap between theory and practice in financial riskmanagement Includes coverage of utility theory, probability, options andderivatives, stochastic volatility and value at risk. Suitable for students of risk, mathematical finance, andfinancial risk management, and finance practitioners. Includes extensive reference lists, applications andsuggestions for further reading. Risk and Financial Management: Mathematical and ComputationalMethods is ideally suited to both students of mathematicalfinance with little background in economics and finance, andstudents of financial risk management, as well as financepractitioners requiring a clearer understanding of the mathematicaland computational methods they use every day. It combines therequired level of rigor, to support the theoretical developments,with a practical flavour through many examples andapplications.

Mastering Investment Banking Securities

A Practical Guide to Structures, Products, Pricing and Calculations

Author: Natasha Kozul

Publisher: Pearson UK

ISBN: 0273744844

Category: Business & Economics

Page: 328

View: 6874

Securities are the fundamental tools and products of investment banking. They can be broadly categorized into debt - including banknotes, bonds and debentures, equity and derivative financial instruments that range from options and swaps to very complex and risky trading strategies. It is a multi-billion dollar business based on sophisticated financial models and pricing techniques. Mastering Investment Banking Securitiesis a comprehensive guide to these trading instruments, their trading practices, pricing techniques and associated risks. It includes: An introduction to investment bank structures, divisions and their roles All commonly traded money market and capital market instruments The most popular interest rate, equity, commodity and credit- linked financial instruments A wide range of derivative securities Details of pricing and valuation tools and the key pricing techniques The fundamentals of credit risk and market risk A glossary of key terms

Financial Engineering and Computation

Principles, Mathematics, Algorithms

Author: Yuh-Dauh Lyuu

Publisher: Cambridge University Press

ISBN: 9780521781718

Category: Business & Economics

Page: 627

View: 7365

A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.


Author: Detlef Hellenkamp

Publisher: Springer-Verlag

ISBN: 3658067659

Category: Business & Economics

Page: 163

View: 6316

Dieses Buch aus der Reihe "Studienwissen kompakt" bietet einen Komplettüberblick über alle wesentlichen Teilbereiche der Bankbetriebslehre. Es unterstützt insbesondere Nebenfachstudenten bei der schnellen Erfassung des für sie relevanten Fachwissens.

Mathematical Methods for Financial Markets

Author: Monique Jeanblanc,Marc Yor,Marc Chesney

Publisher: Springer Science & Business Media

ISBN: 1852333766

Category: Business & Economics

Page: 732

View: 1310

Mathematical finance has grown into a huge area of research which requires a large number of sophisticated mathematical tools. This book simultaneously introduces the financial methodology and the relevant mathematical tools in a style that is mathematically rigorous and yet accessible to practitioners and mathematicians alike. It interlaces financial concepts such as arbitrage opportunities, admissible strategies, contingent claims, option pricing and default risk with the mathematical theory of Brownian motion, diffusion processes, and Lévy processes. The first half of the book is devoted to continuous path processes whereas the second half deals with discontinuous processes. The extensive bibliography comprises a wealth of important references and the author index enables readers quickly to locate where the reference is cited within the book, making this volume an invaluable tool both for students and for those at the forefront of research and practice.

Mathematical Techniques in Finance

Tools for Incomplete Markets

Author: Ales Cerný

Publisher: Princeton University Press

ISBN: 1400831482

Category: Business & Economics

Page: 416

View: 3459

Originally published in 2003, Mathematical Techniques in Finance has become a standard textbook for master's-level finance courses containing a significant quantitative element while also being suitable for finance PhD students. This fully revised second edition continues to offer a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and mathematics, and provides plenty of opportunities for students to practice applied mathematics and cutting-edge finance. Ales Cerný mixes tools from calculus, linear algebra, probability theory, numerical mathematics, and programming to analyze in an accessible way some of the most intriguing problems in financial economics. The textbook is the perfect hands-on introduction to asset pricing, optimal portfolio selection, risk measurement, and investment evaluation. The new edition includes the most recent research in the area of incomplete markets and unhedgeable risks, adds a chapter on finite difference methods, and thoroughly updates all bibliographic references. Eighty figures, over seventy examples, twenty-five simple ready-to-run computer programs, and several spreadsheets enhance the learning experience. All computer codes have been rewritten using MATLAB and online supplementary materials have been completely updated. A standard textbook for graduate finance courses Introduction to asset pricing, portfolio selection, risk measurement, and investment evaluation Detailed examples and MATLAB codes integrated throughout the text Exercises and summaries of main points conclude each chapter


Banken, Versicherungen und andere Finanzinstitutionen

Author: John Hull

Publisher: Pearson Deutschland GmbH

ISBN: 9783868940435

Category: Financial institutional

Page: 616

View: 2738


Author: Hans U. Gerber

Publisher: Springer-Verlag

ISBN: 3642713106

Category: Business & Economics

Page: 126

View: 1140

Elementary Calculus of Financial Mathematics

Author: A. J. Roberts

Publisher: SIAM

ISBN: 0898716675

Category: Mathematics

Page: 128

View: 2734

Financial mathematics and its calculus introduced in an accessible manner for undergraduate students.

Problems and Solutions in Mathematical Finance

Stochastic Calculus

Author: Eric Chin,Sverrir Ólafsson,Dian Nel

Publisher: John Wiley & Sons

ISBN: 1119966086

Category: Business & Economics

Page: 400

View: 2033

Mathematical finance requires the use of advanced mathematical techniques drawn from the theory of probability, stochastic processes and stochastic differential equations. These areas are generally introduced and developed at an abstract level, making it problematic when applying these techniques to practical issues in finance. Problems and Solutions in Mathematical Finance Volume I: Stochastic Calculus is the first of a four-volume set of books focusing on problems and solutions in mathematical finance. This volume introduces the reader to the basic stochastic calculus concepts required for the study of this important subject, providing a large number of worked examples which enable the reader to build the necessary foundation for more practical orientated problems in the later volumes. Through this application and by working through the numerous examples, the reader will properly understand and appreciate the fundamentals that underpin mathematical finance. Written mainly for students, industry practitioners and those involved in teaching in this field of study, Stochastic Calculus provides a valuable reference book to complement one’s further understanding of mathematical finance.

Quantitative Risk Management

Concepts, Techniques, and Tools

Author: Alexander J. McNeil,Rüdiger Frey,Paul Embrechts

Publisher: Princeton University Press

ISBN: 9780691122557

Category: Business & Economics

Page: 538

View: 8457

The implementation of sound quantitative risk models is a vital concern for all financial institutions, and this trend has accelerated in recent years with regulatory processes such as Basel II. This book provides a comprehensive treatment of the theoretical concepts and modelling techniques of quantitative risk management and equips readers--whether financial risk analysts, actuaries, regulators, or students of quantitative finance--with practical tools to solve real-world problems. The authors cover methods for market, credit, and operational risk modelling; place standard industry approaches on a more formal footing; and describe recent developments that go beyond, and address main deficiencies of, current practice. The book's methodology draws on diverse quantitative disciplines, from mathematical finance through statistics and econometrics to actuarial mathematics. Main concepts discussed include loss distributions, risk measures, and risk aggregation and allocation principles. A main theme is the need to satisfactorily address extreme outcomes and the dependence of key risk drivers. The techniques required derive from multivariate statistical analysis, financial time series modelling, copulas, and extreme value theory. A more technical chapter addresses credit derivatives. Based on courses taught to masters students and professionals, this book is a unique and fundamental reference that is set to become a standard in the field.