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| Author | : William T. Shaw |
| Publisher | : Cambridge University Press |
| Total Pages | : 570 |
| Release | : 1998-12-10 |
| Genre | : Business & Economics |
| ISBN | : 9780521592338 |
CD plus book for financial modelling, requires Mathematica 3 or 2.2; runs on most platforms.
| Author | : Hal R. Varian |
| Publisher | : Springer |
| Total Pages | : 480 |
| Release | : 2013-11-21 |
| Genre | : Business & Economics |
| ISBN | : 1475722818 |
Mathematica is a computer program (software) for doing symbolic, numeric and graphical analysis of mathematical problems. In the hands of economists, financial analysts and other professionals in econometrics and the quantitative sector of economic and financial modeling, it can be an invaluable tool for modeling and simulation on a large number of issues and problems, besides easily grinding out numbers, doing statistical estimations and rendering graphical plots and visuals. Mathematica enables these individuals to do all of this in a unified environment. This book's main use is that of an applications handbook. Modeling in Economics and Finance with Mathematica is a compilation of contributed papers prepared by experienced, "hands on" users of the Mathematica program. They come from
| Author | : Donald R. Chambers |
| Publisher | : CRC Press |
| Total Pages | : 581 |
| Release | : 2021-06-16 |
| Genre | : Computers |
| ISBN | : 1000370127 |
This book’s primary objective is to educate aspiring finance professionals about mathematics and computation in the context of financial derivatives. The authors offer a balance of traditional coverage and technology to fill the void between highly mathematical books and broad finance books. The focus of this book is twofold: To partner mathematics with corresponding intuition rather than diving so deeply into the mathematics that the material is inaccessible to many readers. To build reader intuition, understanding and confidence through three types of computer applications that help the reader understand the mathematics of the models. Unlike many books on financial derivatives requiring stochastic calculus, this book presents the fundamental theories based on only undergraduate probability knowledge. A key feature of this book is its focus on applying models in three programming languages –R, Mathematica and EXCEL. Each of the three approaches offers unique advantages. The computer applications are carefully introduced and require little prior programming background. The financial derivative models that are included in this book are virtually identical to those covered in the top financial professional certificate programs in finance. The overlap of financial models between these programs and this book is broad and deep.
| Author | : Peter James |
| Publisher | : John Wiley & Sons |
| Total Pages | : 388 |
| Release | : 2003-04-04 |
| Genre | : Business & Economics |
| ISBN | : 0470857951 |
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 | : Yue-Kuen Kwok |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 541 |
| Release | : 2008-07-10 |
| Genre | : Mathematics |
| ISBN | : 3540686886 |
This second edition, 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. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.
| Author | : G. Gregoriou |
| Publisher | : Springer |
| Total Pages | : 229 |
| Release | : 2015-12-26 |
| Genre | : Business & Economics |
| ISBN | : 0230295207 |
This book proposes new tools and models to price options, assess market volatility, and investigate the market efficiency hypothesis. In particular, it considers new models for hedge funds and derivatives of derivatives, and adds to the literature of testing for the efficiency of markets both theoretically and empirically.
| Author | : T. W. Epps |
| Publisher | : World Scientific |
| Total Pages | : 644 |
| Release | : 2007 |
| Genre | : Business & Economics |
| ISBN | : 9812700331 |
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 | : Michael A. H. Dempster |
| Publisher | : Cambridge University Press |
| Total Pages | : 614 |
| Release | : 1997-10-13 |
| Genre | : Business & Economics |
| ISBN | : 9780521584241 |
During 1995 the Isaac Newton Institute for the Mathematical Sciences at Cambridge University hosted a six month research program on financial mathematics. During this period more than 300 scholars and financial practitioners attended to conduct research and to attend more than 150 research seminars. Many of the presented papers were on the subject of financial derivatives. The very best were selected to appear in this volume. They range from abstract financial theory to practical issues pertaining to the pricing and hedging of interest rate derivatives and exotic options in the market place. Hence this book will be of interest to both academic scholars and financial engineers.
| Author | : Chia Tan |
| Publisher | : John Wiley & Sons |
| Total Pages | : 277 |
| Release | : 2010-01-19 |
| Genre | : Business & Economics |
| ISBN | : 047074815X |
In recent times, derivatives have been inaccurately labelled the financial weapons of mass destruction responsible for the worst financial crisis in recent history. Inherently complex and perilous for the ill-informed investment professional they can however also be gainfully harnessed. This book is a practical guide to the complexities of exotic products written in simple terms based on the premise that derivatives are not homogenous, and not necessarily dangerous. By exploring common themes behind the construction of various structured products in interest rates, equities and foreign exchange, and investigating the economic environment that promoted the explosive growth of these products, this book will help readers make sense of their relevance in this period of economic uncertainty. Subsequently, by explaining exotic products with simple mathematics, it will aid readers in understanding their potential use in certain investment strategies whilst having a firm control over risk. Exotic products need not be inaccessible. By understanding the products available investors can make informed decisions ensuring features are consistent with their investment objectives and risk preferences. Author Chia Chiang Tan takes readers through the risks and rewards of each product, illustrating when products can damage investment strategies and how to avoid them, leading to suitable, profitable investments. Ultimately, this book will provide practitioners with an understanding of derivatives, enabling them to determine for themselves which products will fit their investment strategy, and how to use them based on the economic environment and inherent risks.
