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The Mathematics of Financial Derivatives

The Mathematics of Financial Derivatives
A Student Introduction

textbook
  • Date Published: January 1996
  • availability: Available
  • format: Paperback
  • isbn: 9780521497893

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About the Authors
  • 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; the area is an expanding source for novel and relevant 'real-world' mathematics. In this book the authors describe the modelling of financial derivative products from an applied mathematician's viewpoint, from modelling through analysis to elementary computation. A unified approach to modelling derivative products as partial differential equations is presented, using numerical solutions where appropriate. Some mathematics is assumed, but clear explanations are provided for material beyond elementary calculus, probability, and algebra. Over 140 exercises are included. This volume will become the standard introduction to this exciting new field for advanced undergraduate students.

    • The book has already been used for several years in 'professional' form by the authors for financial courses
    • The paperback edition is a fraction of the cost of the original Oxford volume
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    Reviews & endorsements

    'The layout is good and clear, so is the style of notation … overall this is an excellent tool for both mathematicians interested in the world of finance as well as finance practitioners keen to rebuild the foundations of their knowledge.' Rudi Bogni, The Times Higher Education Supplement

    'The book is pleasantly readable and gives a good introduction.' C. Praagman, ITW Nieuws

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    Product details

    • Date Published: January 1996
    • format: Paperback
    • isbn: 9780521497893
    • length: 336 pages
    • dimensions: 229 x 152 x 18 mm
    • weight: 0.45kg
    • contains: 47 b/w illus. 143 music examples 143 exercises
    • availability: Available
  • Table of 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 Black–Scholes 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.

  • Authors

    Paul Wilmott, Imperial College of Science, Technology and Medicine, London

    Sam Howison, University of Oxford

    Jeff Dewynne, University of Southampton

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