This new and exciting book offers a fresh approach to quantitative finance and utilises novel features, including stereoscopic images which permit 3D visualisation of complex subjects without the need for additional tools. Offering an integrated approach to the subject, A First Course in Quantitative Finance introduces students to the architecture of complete financial markets before exploring the concepts and models of modern portfolio theory, derivative pricing and fixed income products in both complete and incomplete market settings. Subjects are organised throughout in a way that encourages a gradual and parallel learning process of both the economic concepts and their mathematical descriptions, framed by additional perspectives from classical utility theory, financial economics and behavioural finance. Suitable for postgraduate students studying courses in quantitative finance, financial engineering and financial econometrics as part of an economics, finance, econometric or mathematics program, this book contains all necessary theoretical and mathematical concepts and numerical methods, as well as the necessary programming code for porting algorithms onto a computer.Read more
- Uses a unique visual teaching method based on stereoscopic illustrations, which allows 3D perception of complex graphical relationships
- Topics are structured to develop student confidence without overwhelming
- 'Quick calculations' are used to regularly check student understanding and mastery of a concept
Reviews & endorsements
'A First Course in Quantitative Finance is a gentle introduction in a complicated subject. It covers most important topics - such as portfolio optimisation, derivative pricing, and fixed income products - and discusses them from the perspective of financial economics and financial mathematics. It provides the necessary mathematical background, contains the financial discussion, and is full of illustrative examples. It will be useful for anyone who wants to study the subject area on an advanced level.' Rüdiger Kiesel, Universität Duisburg-EssenSee more reviews
'This is a remarkably complete book on all aspects of modern finance, covering topics from the puzzles of financial economics, through modern portfolio management to the pricing of exotic options under stochastic volatility at an equally accessible yet state-of-the-art level. Quants, portfolio managers, students and teachers of finance alike will find it to be an invaluable source of insights and a must-have reference to have on their desks.' Peter Tankov, École nationale de la statistique et de l'administration économique
19th Jun 2018 by Mtolberger
Exceptional and comprehensive reference work. Particularly noteworthy are the many cross-references to real problems when it comes to the explanation of quantitative models. For me, the book is the first approach that simply explains complicated models. Great graphics complete this work.See all reviews
26th Jun 2018 by LeovHansen
Outstanding work! Highly comprehensible reference book for quantitative problems with financial character. The logical structure of the book supports understanding. Many graphics promote the anticipation to realistic application of the given theoretical modeling in the book.
27th Jun 2018 by ChuckHenjes
The description above is correct. With a logical structure, many self-explanatory graphics and cross-references, the book is ideal for self-study. As a reference work with many quantitative models included and explained, it was also a very good supplement to my studies with a focus on risk management and quantitative finance.
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- Date Published: March 2018
- format: Paperback
- isbn: 9781108411431
- length: 598 pages
- dimensions: 247 x 173 x 26 mm
- weight: 1.2kg
- contains: 141 b/w illus. 34 tables
- availability: In stock
Table of Contents
Part I. Technical Basics:
2. A primer on probability
3. Vector spaces
4. Utility theory
Part II. Financial Markets and Portfolio Theory:
5. Architecture of financial markets
6. Modern portfolio theory
7. CAPM and APT
8. Portfolio performance and management
9. Financial economics
10. Behavioral finance
Part III. Derivatives:
11. Forwards, futures and options
12. The binomial model
13. The Black–Scholes theory
14. Exotics in the Black–Scholes model
15. Deterministic volatility
16. Stochastic volatility
17. Processes with jumps
Part IV. The Fixed-Income World:
18. Basic fixed-income instruments
19. Plain vanilla fixed-income derivatives
20. Term structure models
21. The LIBOR market model
Appendix A. Complex analysis
Appendix B. Solutions to problems.
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