Stochastic Calculus for Finance I

The Binomial Asset Pricing Model

Author: Steven Shreve

Publisher: Springer Science & Business Media

ISBN: 0387225277

Category: Mathematics

Page: 187

View: 3003

DOWNLOAD NOW »

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
Release

Stochastic Calculus for Finance II

Continuous-Time Models

Author: Steven E. Shreve

Publisher: Springer Science & Business Media

ISBN: 9780387401010

Category: Business & Economics

Page: 550

View: 9527

DOWNLOAD NOW »

"A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. In summary, this is a well-written text that treats the key classical models of finance through an applied probability approach....It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance." --SIAM
Release

Principles of Quantitative Development

Author: Manoj Thulasidas

Publisher: John Wiley & Sons

ISBN: 0470745703

Category: Business & Economics

Page: 252

View: 8611

DOWNLOAD NOW »

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 http://pqd.thulasidas.com that contains updates and companion materials.
Release

Option Pricing and Estimation of Financial Models with R

Author: Stefano M. Iacus

Publisher: John Wiley & Sons

ISBN: 9781119990208

Category: Business & Economics

Page: 472

View: 7260

DOWNLOAD NOW »

Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and covariation estimation, change point analysis, asymptotic expansion and classification of financial time series from a statistical viewpoint. The book features problems with solutions and examples. All the examples and R code are available as an additional R package, therefore all the examples can be reproduced.
Release

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: 7360

DOWNLOAD NOW »

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.
Release

Binomial Models in Finance

Author: John van der Hoek,Robert J. Elliott

Publisher: Springer Science & Business Media

ISBN: 9780387258980

Category: Business & Economics

Page: 303

View: 8277

DOWNLOAD NOW »

This book deals with many topics in modern financial mathematics in a way that does not use advanced mathematical tools and shows how these models can be numerically implemented in a practical way. The book is aimed at undergraduate students, MBA students, and executives who wish to understand and apply financial models in the spreadsheet computing environment. The basic building block is the one-step binomial model where a known price today can take one of two possible values at the next time. In this simple situation, risk neutral pricing can be defined and the model can be applied to price forward contracts, exchange rate contracts, and interest rate derivatives. The simple one-period framework can then be extended to multi-period models. The authors show how binomial tree models can be constructed for several applications to bring about valuations consistent with market prices. The book closes with a novel discussion of real options. John van der Hoek is Senior Lecturer in Applied Mathematics at the University of Adelaide. He has developed courses in finance for a number of years at various levels and is a regular plenary speaker at major conferences on Quantitative Finance. Robert J. Elliott is RBC Financial Group Professor of Finance at the Haskayne School of Business at the University of Calgary. He is the author of over 300 research papers and several books, including Mathematics of Financial Markets, Second Edition (with P. Ekkehard Kopp), Stochastic Calculus and Applications, Hidden Markov Models (with Lahkdar Aggoun and John Moore) and Measure Theory and Filtering: Theory and Applications (with Lakhdar Aggoun). He is an Associate Editor of Mathematical Finance, Stochastics and Stochastics Reports, Stochastic Analysis and Applications, and the Canadian Applied Mathematics Quarterly.
Release

Financial Markets in Continuous Time

Author: Rose-Anne Dana,Monique Jeanblanc

Publisher: Springer Science & Business Media

ISBN: 3540711503

Category: Mathematics

Page: 324

View: 9914

DOWNLOAD NOW »

This book explains key financial concepts, mathematical tools and theories of mathematical finance. It is organized in four parts. The first brings together a number of results from discrete-time models. The second develops stochastic continuous-time models for the valuation of financial assets (the Black-Scholes formula and its extensions), for optimal portfolio and consumption choice, and for obtaining the yield curve and pricing interest rate products. The third part recalls some concepts and results of equilibrium theory and applies this in financial markets. The last part tackles market incompleteness and the valuation of exotic options.
Release

Mathematics of Financial Markets

Author: Robert J Elliott,P. Ekkehard Kopp

Publisher: Springer Science & Business Media

ISBN: 1475771460

Category: Mathematics

Page: 292

View: 6020

DOWNLOAD NOW »

This book explores the mathematics that underpins pricing models for derivative securities such as options, futures and swaps in modern markets. Models built upon the famous Black-Scholes theory require sophisticated mathematical tools drawn from modern stochastic calculus. However, many of the underlying ideas can be explained more simply within a discrete-time framework. This is developed extensively in this substantially revised second edition to motivate the technically more demanding continuous-time theory.
Release

Stochastic Processes

From Physics to Finance

Author: Wolfgang Paul,Jörg Baschnagel

Publisher: Springer Science & Business Media

ISBN: 9783540665601

Category: Business & Economics

Page: 231

View: 5028

DOWNLOAD NOW »

The book is an introduction to stochastic processes with applications from physics and finance. It introduces the basic notions of probability theory and the mathematics of stochastic processes. The applications that we discuss are chosen to show the interdisciplinary character of the concepts and methods and are taken from physics and finance. Due to its interdisciplinary character and choice of topics, the book can show students and researchers in physics how models and techniques used in their field can be translated into and applied in the field of finance and risk-management. On the other hand, a practitioner from the field of finance will find models and approaches recently developed in the emerging field of econophysics for understanding the stochastic price behavior of financial assets.
Release

The Mathematics of Financial Derivatives

A Student Introduction

Author: Paul Wilmott,Susan Howson,Sam Howison,Wilmott-Howison-Dewynne ...,Jeff Dewynne

Publisher: Cambridge University Press

ISBN: 9780521497893

Category: Business & Economics

Page: 317

View: 2697

DOWNLOAD NOW »

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