| Mathematical Models of Financial Derivatives Contributor(s): Kwok, Yue-Kuen (Author) |
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ISBN: 3540422889 ISBN-13: 9783540422884 Publisher: Springer OUR PRICE: $104.49 Product Type: Hardcover - Other Formats Published: July 2008 Annotation: This second edition of Mathematical Models of Financial Derivatives, 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. It presents a self-contained treatment of risk-neutral valuation theory, martingale measure, and tools in stochastic calculus required for the understanding of option pricing theory. Derivative pricing models are solved using various approaches, by martingale pricing theory and partial differential equation methods. This text is targeted to students in mathematical finance. It also serves as a good reference for quantitative analysts and derivative traders in investment banks. The most resent research results and methodologies are made accessible to the reader through the extensive set of exercises at the end of each chapter. |
| Additional Information |
| BISAC Categories: - Business & Economics | Business Mathematics - Mathematics | Applied - Business & Economics | Finance - General |
| Dewey: 332.645 |
| LCCN: 2008924369 |
| Series: Springer Finance |
| Physical Information: 1.4" H x 6.4" W x 9.4" (2.05 lbs) 530 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: Objectives and Audience In the past three decades, we have witnessed the phenomenal growth in the trading of ?nancial derivatives and structured products in the ?nancial markets around the globe and the surge in research on derivative pricing theory. Leading ?nancial ins- tutions are hiring graduates with a science background who can use advanced a- lytical and numerical techniques to price ?nancial derivatives and manage portfolio risks, a phenomenon coined as Rocket Science on Wall Street. There are now more than a hundred Master level degreed programs in Financial Engineering/Quantitative Finance/Computational Finance in different continents. This book is written as an - troductory textbook on derivative pricing theory for students enrolled in these degree programs. Another audience of the book may include practitioners in quantitative teams in ?nancial institutions who would like to acquire the knowledge of option pricing techniques and explore the new development in pricing models of exotic structured derivatives. The level of mathematics in this book is tailored to readers with preparation at the advanced undergraduate level of science and engineering - jors, in particular, basic pro?ciencies in probability and statistics, differential eq- tions, numerical methods, and mathematical analysis. Advance knowledge in s- chastic processes that are relevant to the martingale pricing theory, like stochastic differential calculus and theory of martingale, are introduced in this book. The cornerstones of derivative pricing theory are the Black-Scholes-Merton pricing model and the martingale pricing theory of ?nancial derivatives. |