Derivative Securities and Difference Methods
Title | Derivative Securities and Difference Methods PDF eBook |
Author | You-lan Zhu |
Publisher | Springer Science & Business Media |
Pages | 522 |
Release | 2013-03-09 |
Genre | Mathematics |
ISBN | 1475739389 |
This book studies pricing financial derivatives with a partial differential equation approach. The treatment is mathematically rigorous and covers a variety of topics in finance including forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, lookback options, interest rate models, interest rate derivatives, swaps, caps, floors, and collars. Each chapter concludes with exercises.
Derivative Securities and Difference Methods
Title | Derivative Securities and Difference Methods PDF eBook |
Author | You-lan Zhu |
Publisher | Springer Science & Business Media |
Pages | 536 |
Release | 2004-08-27 |
Genre | Business & Economics |
ISBN | 9780387208428 |
This book studies pricing financial derivatives with a partial differential equation approach. The treatment is mathematically rigorous and covers a variety of topics in finance including forward and futures contracts, the Black-Scholes model, European and American type options, free boundary problems, lookback options, interest rate models, interest rate derivatives, swaps, caps, floors, and collars. Each chapter concludes with exercises.
A Course in Derivative Securities
Title | A Course in Derivative Securities PDF eBook |
Author | Kerry Back |
Publisher | Springer Science & Business Media |
Pages | 358 |
Release | 2005-10-11 |
Genre | Business & Economics |
ISBN | 3540279008 |
"Deals with pricing and hedging financial derivatives.... Computational methods are introduced and the text contains the Excel VBA routines corresponding to the formulas and procedures described in the book. This is valuable since computer simulation can help readers understand the theory....The book...succeeds in presenting intuitively advanced derivative modelling... it provides a useful bridge between introductory books and the more advanced literature." --MATHEMATICAL REVIEWS
Quantitative Modeling of Derivative Securities
Title | Quantitative Modeling of Derivative Securities PDF eBook |
Author | Marco Avellaneda |
Publisher | Routledge |
Pages | 338 |
Release | 2017-11-22 |
Genre | Mathematics |
ISBN | 1351420461 |
Quantitative Modeling of Derivative Securities demonstrates how to take the basic ideas of arbitrage theory and apply them - in a very concrete way - to the design and analysis of financial products. Based primarily (but not exclusively) on the analysis of derivatives, the book emphasizes relative-value and hedging ideas applied to different financial instruments. Using a ""financial engineering approach,"" the theory is developed progressively, focusing on specific aspects of pricing and hedging and with problems that the technical analyst or trader has to consider in practice. More than just an introductory text, the reader who has mastered the contents of this one book will have breached the gap separating the novice from the technical and research literature.
An Introduction to the Mathematics of Financial Derivatives
Title | An Introduction to the Mathematics of Financial Derivatives PDF eBook |
Author | Salih N. Neftci |
Publisher | Academic Press |
Pages | 550 |
Release | 2000-05-19 |
Genre | Business & Economics |
ISBN | 0125153929 |
A step-by-step explanation of the mathematical models used to price derivatives. For this second edition, Salih Neftci has expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He does not assume that the reader has a thorough mathematical background. His explanations of financial calculus seek to be simple and perceptive.
A Course in Derivative Securities
Title | A Course in Derivative Securities PDF eBook |
Author | Kerry Back |
Publisher | Springer Science & Business Media |
Pages | 358 |
Release | 2005-06-08 |
Genre | Business & Economics |
ISBN | 3540253734 |
"Deals with pricing and hedging financial derivatives.... Computational methods are introduced and the text contains the Excel VBA routines corresponding to the formulas and procedures described in the book. This is valuable since computer simulation can help readers understand the theory....The book...succeeds in presenting intuitively advanced derivative modelling... it provides a useful bridge between introductory books and the more advanced literature." --MATHEMATICAL REVIEWS
Pricing Derivative Securities (2nd Edition)
Title | Pricing Derivative Securities (2nd Edition) PDF eBook |
Author | Thomas Wake Epps |
Publisher | World Scientific Publishing Company |
Pages | 644 |
Release | 2007-06-04 |
Genre | Business & Economics |
ISBN | 9814365432 |
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.