Modelling Financial Derivatives with MATHEMATICA ® PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Modelling Financial Derivatives with MATHEMATICA ® PDF full book. Access full book title Modelling Financial Derivatives with MATHEMATICA ® by William T. Shaw. Download full books in PDF and EPUB format.
Author: William T. Shaw
Publisher: Cambridge University Press
ISBN: 9780521592338
Category : Business & Economics
Languages : en
Pages : 570
Get Book Here
Book Description
CD plus book for financial modelling, requires Mathematica 3 or 2.2; runs on most platforms.
Author: William T. Shaw
Publisher: Cambridge University Press
ISBN: 9780521592338
Category : Business & Economics
Languages : en
Pages : 570
Get Book Here
Book Description
CD plus book for financial modelling, requires Mathematica 3 or 2.2; runs on most platforms.
Author: Srdjan Stojanovic
Publisher: Springer Science & Business Media
ISBN: 1461200431
Category : Business & Economics
Languages : en
Pages : 487
Get Book Here
Book Description
Given the explosion of interest in mathematical methods for solving problems in finance and trading, a great deal of research and development is taking place in universities, large brokerage firms, and in the supporting trading software industry. Mathematical advances have been made both analytically and numerically in finding practical solutions. This book provides a comprehensive overview of existing and original material, about what mathematics when allied with Mathematica can do for finance. Sophisticated theories are presented systematically in a user-friendly style, and a powerful combination of mathematical rigor and Mathematica programming. Three kinds of solution methods are emphasized: symbolic, numerical, and Monte-- Carlo. Nowadays, only good personal computers are required to handle the symbolic and numerical methods that are developed in this book. Key features: * No previous knowledge of Mathematica programming is required * The symbolic, numeric, data management and graphic capabilities of Mathematica are fully utilized * Monte--Carlo solutions of scalar and multivariable SDEs are developed and utilized heavily in discussing trading issues such as Black--Scholes hedging * Black--Scholes and Dupire PDEs are solved symbolically and numerically * Fast numerical solutions to free boundary problems with details of their Mathematica realizations are provided * Comprehensive study of optimal portfolio diversification, including an original theory of optimal portfolio hedging under non-Log-Normal asset price dynamics is presented The book is designed for the academic community of instructors and students, and most importantly, will meet the everyday trading needs of quantitatively inclined professional and individual investors.
Author: Siu-ah Ng
Publisher: World Scientific
ISBN: 9814492337
Category : Business & Economics
Languages : en
Pages : 313
Get Book Here
Book Description
At the beginning of the new millennium, two unstoppable processes are taking place in the world: (1) globalization of the economy; (2) information revolution. As a consequence, there is greater participation of the world population in capital market investment, such as bonds and stocks and their derivatives. Hence there is a need for risk management and analytic theory explaining the market. This leads to quantitative tools based on mathematical methods, i.e. the theory of mathematical finance.Ever since the pioneer work of Black, Scholes and Merton in the 70's, there has been rapid growth in the study of mathematical finance, involving ever more sophisticated mathematics. However, from the practitioner's point of view, it is desirable to have simpler and more useful mathematical tools.This book introduces research students and practitioners to the intuitive but rigorous hypermodel techniques in finance. It is based on Robinson's infinitesimal analysis, which is easily grasped by anyone with as little background as first-year calculus. It covers topics such as pricing derivative securities (including the Black-Scholes formula), hedging, term structure models of interest rates, consumption and equilibrium. The reader is introduced to mathematical tools needed for the aforementioned topics. Mathematical proofs and details are given in an appendix. Some programs in MATHEMATICA are also included.
Author: Thomas Wake Epps
Publisher: World Scientific Publishing Company
ISBN: 9814365432
Category : Business & Economics
Languages : en
Pages : 644
Get Book Here
Book Description
This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masters-level programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods. The chapters are organized around the assumptions made about the dynamics of underlying price processes. Readers begin with simple, discrete-time models that require little mathematical sophistication, proceed to the basic Black-Scholes theory, and then advance to continuous-time models with multiple risk sources. The second edition takes account of the major developments in the field since 2000. New topics include the use of simulation to price American-style derivatives, a new one-step approach to pricing options by inverting characteristic functions, and models that allow jumps in volatility and Markov-driven changes in regime. The new chapter on interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement to the text, the book contains an accompanying CD-ROM with user-friendly FORTRAN, C++, and VBA program components.
Author: Peter James
Publisher: John Wiley & Sons
ISBN: 0470857951
Category : Business & Economics
Languages : en
Pages : 388
Get Book Here
Book Description
A unified development of the subject, presenting the theory of options in each of the different forms and stressing the equivalence between each of the methodologies. * Demystifies some of the more complex topics. * Derives practical, tangible results using the theory, to help practitioners in problem solving. * Applies the results obtained to the analysis and pricing of options in the equity, currency, commodity and interest rate markets. * Gives the reader the analytical tools and technical jargon to understand the current technical literature available. * Provides a user-friendly reference on option theory for practicing investors and traders.
Author: Nicholas H. Bingham
Publisher: Springer Science & Business Media
ISBN: 1447138562
Category : Mathematics
Languages : en
Pages : 447
Get Book Here
Book Description
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.
Author: Marcelo Bianconi
Publisher: World Scientific Publishing Company
ISBN: 9814405124
Category : Business & Economics
Languages : en
Pages : 496
Get Book Here
Book Description
Financial Economics, Risk and Information presents the fundamentals of finance in static and dynamic frameworks with focus on risk and information. The objective of this book is to introduce undergraduate and first-year graduate students to the methods and solutions of the main problems in finance theory relating to the economics of uncertainty and information. The main goal of the second edition is to make the materials more accessible to a wider audience of students and finance professionals. The focus is on developing a core body of theory that will provide the student with a solid intellectual foundation for more advanced topics and methods. The new edition has streamlined chapters and topics, with new sections on portfolio choice under alternative information structures. The starting point is the traditional mean-variance approach, followed by portfolio choice from first principles. The topics are extended to alternative market structures, alternative contractual arrangements and agency, dynamic stochastic general equilibrium in discrete and continuous time, attitudes towards risk and towards inter-temporal substitution in discrete and continuous time; and option pricing. In general, the book presents a balanced introduction to the use of stochastic methods in discrete and continuous time in the field of financial economics.
Author: Paul Wilmott
Publisher: Wiley
ISBN: 9780471986706
Category : Business & Economics
Languages : en
Pages : 252
Get Book Here
Book Description
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.
Author: J. Michael Steele
Publisher: Springer Science & Business Media
ISBN: 1468493051
Category : Mathematics
Languages : en
Pages : 303
Get Book Here
Book Description
Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH
Author: Sergio M. Focardi
Publisher: John Wiley & Sons
ISBN: 0471674230
Category : Business & Economics
Languages : en
Pages : 802
Get Book Here
Book Description
the mathematics of financial modeling & investment management The Mathematics of Financial Modeling & Investment Management covers a wide range of technical topics in mathematics and finance-enabling the investment management practitioner, researcher, or student to fully understand the process of financial decision-making and its economic foundations. This comprehensive resource will introduce you to key mathematical techniques-matrix algebra, calculus, ordinary differential equations, probability theory, stochastic calculus, time series analysis, optimization-as well as show you how these techniques are successfully implemented in the world of modern finance. Special emphasis is placed on the new mathematical tools that allow a deeper understanding of financial econometrics and financial economics. Recent advances in financial econometrics, such as tools for estimating and representing the tails of the distributions, the analysis of correlation phenomena, and dimensionality reduction through factor analysis and cointegration are discussed in depth. Using a wealth of real-world examples, Focardi and Fabozzi simultaneously show both the mathematical techniques and the areas in finance where these techniques are applied. They also cover a variety of useful financial applications, such as: * Arbitrage pricing * Interest rate modeling * Derivative pricing * Credit risk modeling * Equity and bond portfolio management * Risk management * And much more Filled with in-depth insight and expert advice, The Mathematics of Financial Modeling & Investment Management clearly ties together financial theory and mathematical techniques.
