krainaksiazek mathematical models of financial derivatives 20126133

- znaleziono 21 produktów w 2 sklepach

Mathematical Models of Financial Derivatives - 2869473115

488,72 zł

Mathematical Models of Financial Derivatives Springer-Verlag Berlin and Heidelberg GmbH & Co....

Książki / Literatura obcojęzyczna

This book contains a comprehensive account of pricing models of financial derivatives. It covers risk neutral valuation theory, martingale measure, and tools in stochastic calculus required for the understanding of option pricing theory.§

Sklep: Libristo.pl

Mathematical Models of Financial Derivatives - 2877976698

324,32 zł

Mathematical Models of Financial Derivatives

Książki

Sklep: KrainaKsiazek.pl

Mathematics of Financial Derivatives - 2854185849

349,32 zł

Mathematics of Financial Derivatives Cambridge University Press

Książki / Literatura obcojęzyczna

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.

Sklep: Libristo.pl

Financial Derivatives - 2862124360

382,87 zł

Financial Derivatives Cambridge University Press

Książki / Literatura obcojęzyczna

This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion of a stochastic discount factor or pricing kernel, and then uses this concept to price conventional and exotic derivatives. The third chapter applies the pricing concepts to the special case of interest rate markets, namely, bonds and swaps, and discusses factor models and term structure consistent models. The fourth chapter deals with a variety of mathematical topics that underlie derivatives pricing and portfolio allocation decisions such as mean-reverting processes and jump processes and discusses related tools of stochastic calculus such as Kolmogorov equations, martingale techniques, stochastic control, and partial differential equations.

Sklep: Libristo.pl

Fx Derivatives Trader School - 2877448894

469,47 zł

Fx Derivatives Trader School John Wiley & Sons

Książki / Literatura obcojęzyczna

An essential guide to real-world derivatives trading§§FX Derivatives Trader School is the definitive guide to the technical and practical knowledge required for successful foreign exchange derivatives trading. Accessible in style and comprehensive in coverage, the book guides the reader through both basic and advanced derivative pricing and risk management topics.§§The basics of financial markets and trading are covered, plus practical derivatives mathematics is introduced with reference to real-world trading and risk management. Derivative contracts are covered in detail from a trader's perspective using risk profiles and pricing under different derivative models. Analysis is approached generically to enable new products to be understood by breaking the risk into fundamental building blocks. To assist with learning, the book also contains Excel practicals which will deepen understanding and help build useful skills.§§The book covers of a wide variety of topics, including:§Derivative exposures within risk management§Volatility surface construction§Implied volatility and correlation risk§Practical tips for students on trading internships and junior traders§Market analysis techniques§§FX derivatives trading requires mathematical aptitude, risk management skill, and the ability to work quickly and accurately under pressure. There is a tremendous gap between option pricing formulas and the knowledge required to be a successful derivatives trader. FX Derivatives Trader School is unique in bridging that gap.

Sklep: Libristo.pl

Introduction to Mathematical Finance - 2877373432

522,07 zł

Introduction to Mathematical Finance John Wiley & Sons

Książki / Literatura obcojęzyczna

This book is designed to serve as a textbook for advanced undergraduate and beginning graduate students who seek a rigorous yet accessible introduction to the modern financial theory of security markets. This is a subject that is taught in both business schools and mathematical science departments. The full theory of security markets requires knowledge of continuous time stochastic process models, measure theory, mathematical economics, and similar prerequisites which are generally not learned before the advanced graduate level. Hence a proper study of the full theory of security markets requires several years of graduate study. However, by restricting attention to discrete time models of security prices it is possible to acquire mathematics. In particular, while living in a discrete time world it is possible to learn virtually all of the important financial concepts. The purpose of this book is to provide such an introductory study.There is still a lot of mathematics in this book. The reader should be comfortable with calculus, linear algebra, and probability theory that is based on calculus, (but not necessarily measure theory). Random variables and expected values will be playing important roles. The book will develop important notions concerning discrete time stochastic processes: prior knowledge here will be useful but is not required. Presumably the reader will be interested in finance and thus will come with some rudimentary knowledge of stocks, bonds, options, and financial decision making. The last topic involves utility theory, of course: hopefully the reader will be familiar with this and related topics of introductory microeconomic theory. Some exposure to linear programming would be advantageous, but not necessary.The aim of this book is to provide a rigorous treatment of the financial theory while maintaining a casual style. Readers seeking institutional knowledge about securities, derivatives, and portfolio management should look elsewhere, but those seeking a careful introduction to financial engineering will find that this is a useful and comprehensive introduction to the subject.

Sklep: Libristo.pl

Monte Carlo Methods in Financial Engineering - 2879305770

397,28 zł

Monte Carlo Methods in Financial Engineering Springer-Verlag New York Inc.

Książki / Literatura obcojęzyczna

Monte Carlo simulation has become an essential tool in the pricing of derivative securities and in risk management. These applications have, in turn, stimulated research into new Monte Carlo methods and renewed interest in some older techniques.§This book develops the use of Monte Carlo methods in finance and it also uses simulation as a vehicle for presenting models and ideas from financial engineering. It divides roughly into three parts. The first part develops the fundamentals of Monte Carlo methods, the foundations of derivatives pricing, and the implementation of several of the most important models used in financial engineering. The next part describes techniques for improving simulation accuracy and efficiency. The final third of the book addresses special topics: estimating price sensitivities, valuing American options, and measuring market risk and credit risk in financial portfolios.§The most important prerequisite is familiarity with the mathematical tools used to specify and analyze continuous-time models in finance, in particular the key ideas of stochastic calculus. Prior exposure to the basic principles of option pricing is useful but not essential.§The book is aimed at graduate students in financial engineering, researchers in Monte Carlo simulation, and practitioners implementing models in industry.§Mathematical Reviews, 2004: "... this book is very comprehensive, up-to-date and useful tool for those who are interested in implementing Monte Carlo methods in a financial context."

Sklep: Libristo.pl

Monte Carlo Methods in Financial Engineering - 2879321731

373,22 zł

Monte Carlo Methods in Financial Engineering Springer-Verlag New York Inc.

Książki / Literatura obcojęzyczna

From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency AnalysisMonte Carlo simulation has become an essential tool in the pricing of derivative securities and in risk management. These applications have, in turn, stimulated research into new Monte Carlo methods and renewed interest in some older techniques.§This book develops the use of Monte Carlo methods in finance and it also uses simulation as a vehicle for presenting models and ideas from financial engineering. It divides roughly into three parts. The first part develops the fundamentals of Monte Carlo methods, the foundations of derivatives pricing, and the implementation of several of the most important models used in financial engineering. The next part describes techniques for improving simulation accuracy and efficiency. The final third of the book addresses special topics: estimating price sensitivities, valuing American options, and measuring market risk and credit risk in financial portfolios.§The most important prerequisite is familiarity with the mathematical tools used to specify and analyze continuous-time models in finance, in particular the key ideas of stochastic calculus. Prior exposure to the basic principles of option pricing is useful but not essential.§The book is aimed at graduate students in financial engineering, researchers in Monte Carlo simulation, and practitioners implementing models in industry.

Sklep: Libristo.pl

Handbooks in Operations Research and Management Science: Financial Engineering - 2862247736

1100,68 zł

Handbooks in Operations Research and Management Science: Financial Engineering Elsevier Science & Technology

Książki / Literatura obcojęzyczna

The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals.This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.

Sklep: Libristo.pl

Financial Calculus - 2869637979

355,29 zł

Financial Calculus Cambridge University Press

Książki / Literatura obcojęzyczna

The rewards and dangers of speculating in the modern financial markets have come to the fore in recent times with the collapse of banks and bankruptcies of public corporations as a direct result of ill-judged investment. At the same time, individuals are paid huge sums to use their mathematical skills to make well-judged investment decisions. Here now is the first rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities. Key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model are described with mathematical precision in a style tailored for market practitioners. Starting from discrete-time hedging on binary trees, continuous-time stock models (including Black-Scholes) are developed. Practicalities are stressed, including examples from stock, currency and interest rate markets, all accompanied by graphical illustrations with realistic data. A full glossary of probabilistic and fi nancial terms is provided. This unique, modern and up-to-date book will be an essential purchase for market practitioners, quantitative analysts, and derivatives traders, whether existing or trainees, in investment banks in the major financial centres throughout the world.

Sklep: Libristo.pl

Globalization, Gating, and Risk Finance - 2869677481

517,59 zł

Globalization, Gating, and Risk Finance John Wiley & Sons

Książki / Literatura obcojęzyczna

An in-depth guide to global and risk finance based on financial models and data-based issues that confront global financial managers. Globalization, Gating, and Risk Finance offers perspectives on global risk finance in a world with economies in transition. Developed from lectures and research projects investigating the consequences of globalization and strategic approaches to fundamental economics and finance, it provides an approach based on financial models and data; it includes many case-study problems. The book departs from the traditional macroeconomic and financial approaches to global and strategic risk finance, where economic power and geopolitical issues are intermingled to create complex and forward-looking financial systems. Chapter coverage includes: Globalization: Economies in Collision; Data, Measurements, and Global Finance; Global Finance: Utility, Financial Consumption, and Asset Pricing; Macroeconomics, Foreign Exchange, and Global Finance; Foreign Exchange Models and Prices; Asia: Financial Environment and Risks; Financial Currency Pricing, Swaps, Derivatives, and Complete Markets; Credit Risk and International Debt; Globalization and Trade: A Changing World; and Compliance and Financial Regulation. Provides a framework for global financial and inclusive models, some of which are not commonly covered in other books. Considers risk management, utility, and utility-based multi-agent financial theories. Presents a theoretical framework to assist with a variety of problems ranging from derivatives and FX pricing to bond default to trade and strategic regulation. Provides detailed explanations and mathematical proofs to aid the readers' understanding. Globalization, Gating, and Risk Finance is appropriate as a text for graduate students of global finance, general finance, financial engineering, and international economics, and for practitioners.

Sklep: Libristo.pl

Novel Methods in Computational Finance - 2869498629

583,14 zł

Novel Methods in Computational Finance Springer International Publishing AG

Książki / Literatura obcojęzyczna

This book discusses the state-of-the-art and open problems in computational finance. It presents a collection of research outcomes and reviews of the work from the STRIKE project, an FP7 Marie Curie Initial Training Network (ITN) project in which academic partners trained early-stage researchers in close cooperation with a broader range of associated partners, including from the private sector. The aim of the project was to arrive at a deeper understanding of complex (mostly nonlinear) financial models and to develop effective and robust numerical schemes for solving linear and nonlinear problems arising from the mathematical theory of pricing financial derivatives and related financial products. This was accomplished by means of financial modelling, mathematical analysis and numerical simulations, optimal control techniques and validation of models. In recent years the computational complexity of mathematical models employed in financial mathematics has witnessed tremendous growth. Advanced numerical techniques are now essential to the majority of present-day applications in the financial industry. Special attention is devoted to a uniform methodology for both testing the latest achievements and simultaneously educating young PhD students. Most of the mathematical codes are linked into a novel computational finance toolbox, which is provided in MATLAB and PYTHON with an open access license. The book offers a valuable guide for researchers in computational finance and related areas, e.g. energy markets, with an interest in industrial mathematics.

Sklep: Libristo.pl

Indifference Pricing - 2859250185

537,82 zł

Indifference Pricing UNIVERSITY PRESSES

Książki / Literatura obcojęzyczna

This is the first book about the emerging field of utility indifference pricing for valuing derivatives in incomplete markets. Ren Carmona brings together a who's who of leading experts in the field to provide the definitive introduction for students, scholars, and researchers. Until recently, financial mathematicians and engineers developed pricing and hedging procedures that assumed complete markets. But markets are generally incomplete, and it may be impossible to hedge against all sources of randomness. Indifference Pricing offers cutting-edge procedures developed under more realistic market assumptions. The book begins by introducing the concept of indifference pricing in the simplest possible models of discrete time and finite state spaces where duality theory can be exploited readily. It moves into a more technical discussion of utility indifference pricing for diffusion models, and then addresses problems of optimal design of derivatives by extending the indifference pricing paradigm beyond the realm of utility functions into the realm of dynamic risk measures. Focus then turns to the applications, including portfolio optimization, the pricing of defaultable securities, and weather and commodity derivatives. The book features original mathematical results and an extensive bibliography and indexes. In addition to the editor, the contributors are Pauline Barrieu, Tomasz R. Bielecki, Nicole El Karoui, Robert J. Elliott, Said Hamadne, Vicky Henderson, David Hobson, Aytac Ilhan, Monique Jeanblanc, Mattias Jonsson, Anis Matoussi, Marek Musiela, Ronnie Sircar, John van der Hoek, and Thaleia Zariphopoulou. The first book on utility indifference pricing Explains the fundamentals of indifference pricing, from simple models to the most technical ones Goes beyond utility functions to analyze optimal risk transfer and the theory of dynamic risk measures Covers non-Markovian and partially observed models and applications to portfolio optimization, defaultable securities, static and quadratic hedging, weather derivatives, and commodities Includes extensive bibliography and indexes Provides essential reading for PhD students, researchers, and professionals

Sklep: Libristo.pl

Analytical Finance: Volume II - 2869536184

364,25 zł

Analytical Finance: Volume II Springer International Publishing AG

Książki / Literatura obcojęzyczna

Analytical Finance is a comprehensive introduction to the financial engineering of equity and interest rate instruments for financial markets. Developed from notes from the author's many years in quantitative risk management and modeling roles, and then for the Financial Engineering course at Malardalen University, it provides exhaustive coverage of vanilla and exotic mathematical finance applications for trading and risk management, combining rigorous theory with real market application. Coverage includes: . Date arithmetic's, quote types of interest rate instruments . The interbank market and reference rates, including negative rates. Valuation and modeling of IR instruments; bonds, FRN, FRA, forwards, futures, swaps, CDS, caps/floors and others . Bootstrapping and how to create interest rate curves from prices of traded instruments. Risk measures of IR instruments. Option Adjusted Spread and embedded options. The term structure equation, martingale measures and stochastic processes of interest rates; Vasicek, Ho-Lee, Hull-While, CIR. Numerical models; Black-Derman-Toy and forward induction using Arrow-Debreu prices and Newton-Raphson in 2 dimension. The Heath-Jarrow-Morton framework. Forward measures and general option pricing models. Black log-normal and, normal model for derivatives, market models and managing exotics instruments. Pricing before and after the financial crisis, collateral discounting, multiple curve framework, cheapest-to-deliver curves, CVA, DVA and FVA

Sklep: Libristo.pl

Quantitative Finance For Dummies - 2869684002

102,22 zł

Quantitative Finance For Dummies John Wiley & Sons

Książki / Literatura obcojęzyczna

An accessible, thorough introduction to quantitative finance§§Does the complex world of quantitative finance make you quiver? You're not alone! It's a tough subject for even high-level financial gurus to grasp, but Quantitative Finance For Dummies offers plain-English guidance on making sense of applying mathematics to investing decisions. With this complete guide, you'll gain a solid understanding of futures, options and risk, and get up-to-speed on the most popular equations, methods, formulas and models (such as the Black-Scholes model) that are applied in quantitative finance.§§Also known as mathematical finance, quantitative finance is the field of mathematics applied to financial markets. It's a highly technical discipline--but almost all investment companies and hedge funds use quantitative methods. This fun and friendly guide breaks the subject of quantitative finance down to easily digestible parts, making it approachable for personal investors and finance students alike. With the help of Quantitative Finance For Dummies, you'll learn the mathematical skills necessary for success with quantitative finance, the most up-to-date portfolio and risk management applications and everything you need to know about basic derivatives pricing.§Covers the core models, formulas and methods used in quantitative finance§Includes examples and brief exercises to help augment your understanding of QF§Provides an easy-to-follow introduction to the complex world of quantitative finance§Explains how QF methods are used to define the current market value of a derivative security§§Whether you're an aspiring quant or a top-tier personal investor, Quantitative Finance For Dummies is your go-to guide for coming to grips with QF/risk management.

Sklep: Libristo.pl

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