• Fri frakt över 249 kr
  • •
  • Snabba leveranser
  • •
  • Billiga böcker
Kundservice

Du är på sajten för privatpersoner.

Företag, bibliotek eller offentlig verksamhet?

Du handlar på classic.bokus.com, där alla dina funktioner finns intakta.
Till classic.bokus.com
Bokus logotyp. Gå till startsidan.
  • Erbjudanden
  • Nyheter
  • Student
  • Topplistor
  • Barn & ungdom
  • Bokus Play
  • E-böcker
  • Pocketböcker
  • Spel & pussel

10% rabatt på allt med kod: NYSTART10 →

Sidfot

Mina sidor

    Hjälp

    • Kundservice
    • Vanliga frågor och svar
    • Frakt och leverans
    • Retur vid ångerrätt
    • Reklamera vara
    • Betalning
    • Köpvillkor
    • Allmänna villkor
    • Information om webbplatsens tillgänglighet

    Om Bokus

    • Om oss
    • Pressrum
    • För studenter
    • För företag
    • För bibliotek och offentlig verksamhet
    • För leverantörer
    • Hållbarhet

    Populärt

    • Aktuella erbjudanden
    • Presentkort
    • Studentlitteratur
    • Nya böcker
    • Topplistor
    • Signerade böcker
    • Engelska böcker

    Inspiration

    • Boktips
    • BookTok
    • Populära bokserier
    • Barnbokskaraktärer
    • Populära författare
    Logotyp för Bokus
    Följ oss på Facebook (extern länk)Följ oss på Instagram (extern länk)Följ oss på YouTube (extern länk)Följ oss på TikTok (extern länk)
    bokus @ CookiesAnpassa cookiesIntegritetspolicyKöpvillkor
    Till Citymail hemsida (extern länk)Till Budbee hemsida (extern länk)Till Postnord hemsida (extern länk)Till Schenker hemsida (extern länk)Till Early Bird hemsida (extern länk)Till Walleys hemsida (extern länk)
    1. Ekonomi och Ledarskap
    2. Företagsekonomi
    3. Redovisning och finansiering
    4. Finansiering

    Mathematics of Derivatives

    Tools for Designing Numerical Algorithms

    AvRobert L. Navin

    Inbunden, Engelska, 2007

    Del 373 i serien Wiley Finance

    410 kr

    Beställningsvara. Skickas inom 5-8 vardagar. Fri frakt över 249 kr.

    Fler format och utgåvor

    E-bok

    503 kr

    Beskrivning

    Praise for The Mathematics of Derivatives "The Mathematics of Derivatives provides a concise pedagogical discussion of both fundamental and very recent developments in mathematical finance, and is particularly well suited for readers with a science or engineering background. It is written from the point of view of a physicist focused on providing an understanding of the methodology and the assumptions behind derivative pricing. Navin has a unique and elegant viewpoint, and will help mathematically sophisticated readers rapidly get up to speed in the latest Wall Street financial innovations."—David Montano, Managing Director JPMorgan SecuritiesA stylish and practical introduction to the key concepts in financial mathematics, this book tackles key fundamentals in the subject in an intuitive and refreshing manner whilst also providing detailed analytical and numerical schema for solving interesting derivatives pricing problems. If Richard Feynman wrote an introduction to financial mathematics, it might look similar. The problem and solution sets are first rate."—Barry Ryan, Partner Bhramavira Capital Partners, London"This is a great book for anyone beginning (or contemplating), a career in financial research or analytic programming. Navin dissects a huge, complex topic into a series of discrete, concise, accessible lectures that combine the required mathematical theory with relevant applications to real-world markets. I wish this book was around when I started in finance. It would have saved me a lot of time and aggravation."—Larry Magargal

    Produktinformation

    • Utgivningsdatum:2007-01-05
    • Mått:160 x 236 x 20 mm
    • Vikt:386 g
    • Format:Inbunden
    • Språk:Engelska
    • Serie:Wiley Finance
    • Antal sidor:208
    • Förlag:John Wiley & Sons Inc
    • ISBN:9780470047255

    Utforska kategorier

    • Finansiering inom Ekonomi och Ledarskap
    • Affärsförhandlingar inom Ekonomi och Ledarskap
    • Beräkning och matematisk analys inom Naturvetenskap och teknik

    Mer om författaren

    ROBERT L. NAVIN founded Real Time Risk Systems LLC in July 2004. Prior to this, he helped set up a hedge fund in 2002 that grew to more than $1 billion in assets under management during its first year. Navin was previously at Highbridge Capital Management as head of quantitative analysis from 1997 to 2002. He graduated with an MS and a PhD in theoretical particle physics from the California Institute of Technology in 1993.

    Innehållsförteckning

    • Preface. Acknowledgments.PART I The Models.CHAPTER 1. Introduction to the Techniques of Derivative Modeling.1.1 Introduction.1.2 Models.1.2.1 What Is a Derivative?1.2.2 What Is a Model?1.2.3 Two Initial Methods for Modeling Derivatives.1.2.4 Price Processes.1.2.5 The Archetypal Security Process: Normal Returns.1.2.6 Book Outline.CHAPTER 2. Preliminary Mathematical Tools.2.1 Probability Distributions.2.2 n-Dimensional Jacobians and n-Form Algebra.2.3 Functional Analysis and Fourier Transforms.2.4 Normal (Central) Limit Theorem.2.5 Random Walks.2.6 Correlation.2.7 Functions of Two/More Variables: Path Integrals.2.8 Differential Forms.CHAPTER 3. Stochastic Calculus.3.1 Wiener Process.3.2 Ito’s Lemma.3.3 Variable Changes to Get the Martingale.3.4 Other Processes: Multivariable Correlations.CHAPTER 4. Applications of Stochastic Calculus to Finance.4.1 Risk Premium Derivation.4.2 Analytic Formula for the Expected Payoff of a European Option.CHAPTER 5. From Stochastic Processes Formalism to Differential Equation Formalism.5.1 Backward and Forward Kolmogorov Equations.5.2 Derivation of Black-Scholes Equation, Risk-Neutral Pricing.5.3 Risks and Trading Strategies.CHAPTER 6. Understanding the Black-Scholes Equation.6.1 Black-Scholes Equation: A Type of Backward Kolmogorov Equation.6.1.1 Forward Price.6.2 Black-Scholes Equation: Risk-Neutral Pricing.6.3 Black-Scholes Equation: Relation to Risk Premium Definition.6.4 Black-Scholes Equation Applies to Currency Options: Hidden Symmetry 1.6.5 Black-Scholes Equation in Martingale Variables: Hidden Symmetry 2.6.6 Black-Scholes Equation with Stock as a ‘‘Derivative’’ of Option Price: Hidden Symmetry 3.CHAPTER 7. Interest Rate Hedging.7.1 Euler’s Relation.7.2 Interest Rate Dependence.7.3 Term-Structured Rates Hedging: Duration Bucketing.7.4 Algorithm for Deciding Which Hedging Instruments to Use.CHAPTER 8. Interest Rate Derivatives: HJM Models.8.1 Hull-White Model Derivation.8.1.1 Process and Pricing Equation.8.1.2 Analytic Zero-Coupon Bond Valuation.8.1.3 Analytic Bond Call Option.8.1.4 Calibration.8.2 Arbitrage-Free Pricing for Interest Rate Derivatives: HJM.CHAPTER 9. Differential Equations, Boundary Conditions, and Solutions.9.1 Boundary Conditions and Unique Solutions to Differential Equations.9.2 Solving the Black-Scholes or Heat Equation Analytically.9.2.1 Green’s Functions.9.2.2 Separation of Variables.9.3 Solving the Black-Scholes Equation Numerically.9.3.1 Finite Difference Methods: Explicit/Implicit Methods, Variable Choice.9.3.2 Gaussian Kurtosis (and Skew = 0), Faster Convergence.9.3.3 Call/Put Options:Grid Point Shift Factor for Higher Accuracy.9.3.4 Dividends on the Underlying Equity.9.3.5 American Exercise.9.3.6 2-D Models, Correlation and Variable Changes.CHAPTER 10. Credit Spreads.10.1 Credit Default Swaps (CDS) and the Continuous CDS Curve.10.2 Valuing Bonds Using the Continuous CDS Curve.10.3 Equations of Motion for Bonds and Credit Default Swaps.CHAPTER 11. Specific Models.11.1 Stochastic Rates and Default.11.2 Convertible Bonds.11.3 Index Options versus Single Name Options: Trading Equity Correlation.11.4 Max of n Stocks: Trading Equity Correlation.11.5 Collateralized Debt Obligations (CDOs): Trading Credit Correlation.11.5.1 CDO Backed by Three Bonds.11.5.2 CDO Backed by an Arbitrary Number of Bonds.PART II Exercises and Solutions.CHAPTER 12. Exercises.CHAPTER 13. Solutions.APPENDIX A: Central Limit Theorem-Plausibility Argument.APPENDIX B: Solving for the Green’s Function of the Black-Scholes Equation.APPENDIX C: Expanding the von Neumann Stability Mode for the Discretized Black-Scholes Equation.APPENDIX D: Multiple Bond Survival Probabilities Given Correlated Default Probability Rates.References.Index.