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The Mathematics of Financial Derivatives
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Details

  • 47 b/w illus. 143 music examples 143 exercises
  • Page extent: 336 pages
  • Size: 228 x 152 mm
  • Weight: 0.45 kg

Library of Congress

  • Dewey number: 332.63/228
  • Dewey version: 20
  • LC Classification: HG6024.A3 W554 1995
  • LC Subject headings:
    • Options (Finance)--Mathematical models
    • Options (Finance)--Prices--Mathematical models
    • Derivative securities--Mathematical models
    • Brain drain--Great Britain--History--20th century

Library of Congress Record

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Paperback

 (ISBN-13: 9780521497893 | ISBN-10: 0521497892)

  • There was also a Hardback of this title but it is no longer available | Adobe eBook
  • Published September 1995

Manufactured on demand: supplied direct from the printer

$69.99 (X)

Finance is one of the fastest growing areas in the modern banking and corporate world. This, together with the sophistication of modern financial products, provides a rapidly growing impetus for new mathematical models and modern mathematical methods. Indeed, the area is an expanding source for novel and relevant "real-world" mathematics. In this book, the authors describe the modeling of financial derivative products from an applied mathematician's viewpoint, from modeling to analysis to elementary computation. The authors present a unified approach to modeling derivative products as partial differential equations, using numerical solutions where appropriate. The authors assume some mathematical background, but provide clear explanations for material beyond elementary calculus, probability, and algebra. This volume will become the standard introduction for advanced undergraduate students to this exciting new field.

Contents

Part I. Basic Option Theory: 1. An introduction to options and markets; 2. Asset price random walks; 3. The Black-Scholes model; 4. Partial differential equations; 5. The BlackÔÇôScholes formulae; 6. Variations on the Black-Scholes model; 7. American options; Part II. Numerical Methods: 8. Finite-difference methods; 9. Methods for American options; 10. Binomial methods; Part III. Further Option Theory: 11. Exotic and path-dependent options; 12. Barrier options; 13. A unifying framework for path-dependent options; 14. Asian options; 15. Lookback options; 16. Options with transaction costs; Part IV. Interest Rate Derivative Products: 17. Interest rate derivatives; 18. Convertible bonds; Hints to selected exercises; Bibliography; Index.

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