math4free: juillet 2008

The Mathematics of Financial Derivatives: A Student Introduction

The Mathematics of Financial Derivatives
Cambridge University Press 1995-09-29 ISBN: 0521496993 333 pages PDF 9,6 MB

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.
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Financial Derivatives in Theory and Practice

Financial Derivatives in Theory and Practice
John Wiley & Sons 2000-05-12 ISBN: 0471967173 432 pages PDF 14,6 MB

This book brings together in one volume both a complete, rigorous and yet readable account of the mathematics underlying derivative pricing and a guide to applying these ideas to solve real pricing problems. It is aimed at practitioners and researchers who wish to understand the latest finance literature and develop their own pricing models. The authors' combination of strong theoretical knowledge and extensive market experience make this book particularly relevant for those interested in real world applications of mathematical finance.Features:* detailed coverage of interest rate derivatives, from 'vanilla' instruments through to many of the more exotic products currently being traded* overview of popular term structure models along with their relationships to each other (including Heath-Jarrow-Morton, short rate models and the latest market models)* explanation of numeraires as a modelling and pricing tool* pricing models for constant maturity swaps and other convexity products* models and efficient algorithms for path-dependent and Bermudan swaptions* insights into how to go about pricing products beyond those treated in the text* accessible yet rigorous treatment of the stochastic calculus required for option pricing.
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Quantitative Methods in Derivatives Pricing: An Introduction to Computational Finance

Quantitative Methods in Derivatives Pricing
Wiley 2002-04-19 ISBN: 0471394475 256 pages PDF 1,5 MB

This book presents a cogent description of the main methodologies used in derivatives pricing. Starting with a summary of the elements of Stochastic Calculus, Quantitative Methods in Derivatives Pricing develops the fundamental tools of financial engineering, such as scenario generation, simulation for European instruments, simulation for American instruments, and finite differences in an intuitive and practical manner, with an abundance of practical examples and case studies. Intended primarily as an introductory graduate textbook in computational finance, this book will also serve as a reference for practitioners seeking basic information on alternative pricing methodologies.Domingo Tavella is President of Octanti Associates, a consulting firm in risk management and financial systems design. He is the founder and chief editor of the Journal of Computational Finance and has pioneered the application of advanced numerical techniques in pricing and risk analysis in the financial and insurance industries. Tavella coauthored Pricing Financial Instruments: The Finite Difference Method. He holds a PhD in aeronautical engineering from Stanford University and an MBA in finance from the University of California at Berkeley.
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