Mathematics of Financial Derivatives A Student Introduction

ISBN-10: 0521497892
ISBN-13: 9780521497893
Edition: 1995
List price: $69.99 Buy it from $15.75
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Description: 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  More...

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Book details

List price: $69.99
Copyright year: 1995
Publisher: Cambridge University Press
Publication date: 9/29/1995
Binding: Paperback
Pages: 336
Size: 6.25" wide x 9.25" long x 0.75" tall
Weight: 0.770
Language: English

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.

Basic Option Theory
An introduction to options and markets
Asset price random walks
The Black-Scholes model
Partial differential equations
The Black-Scholes formulae
Variations on the Black-Scholes model
American options
Numerical Methods
Finite-difference methods
Methods for American options
Binomial methods
Further Option Theory
Exotic and path-dependent options
Barrier options
A unifying framework for path-dependent options
Asian options
Lookback options
Options with transaction costs
Interest Rate Derivative Products
Interest rate derivatives
Convertible bonds
Hints to selected exercises
Bibliography
Index

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