Srdjan Stojanovic – författare

This book is written for quantitative finance professionals, students, educators, and mathematically inclined individual investors. It is about some of the latest developments in pricing, hedging, and investing in incomplete markets. With regard to pricing, two frameworks are fully elaborated: neutral and indifference pricing. With regard to hedging, the most conservative and relaxed hedging formulas are derived. With regard to investing, the neutral pricing methodology is also considered as a tool for connecting market asset prices with optimal positions in such assets.Srdjan D. Stojanovic is Professor in the Department of Mathematical Sciences at University of Cincinnati (USA) and Professor in the Center for Financial Engineering at Suzhou University (China).

In the last decade there has been an explosion of interest in mathematical methods for solving problems in finance and trading. This book provides a beautiful overview of what mathematics and Mathematica can do for finance. Sophisticated theories are presented in a rigorous but user-friendly, practical style, which, with the aid of the programming capabilities of Mathematica, help the reader develop good intuition in real trading. In the last decade there has been an explosion of interest in mathematical methods for solving problems in finance and trading. Some widely publicized successes include the discovery of the Black--Scholes formula in the 1970s for evaluating the fair price of stock options. Currently, a great deal of research and development is going on in the large brokerage houses, in the supporting trading software industry, and of course at the universities. Mathematical advances in this area that have practical significance can be classified by the way in which they are implemented and can be divided into two main categories: analytical and numerical solutions.Numerical solutions in the past required very powerful computers, not generally available to the individual investor. Analytical solutions, on the other hand, can be implemented very efficiently even on small computers, with only the power of symbolic calculations, data manipulation, and graphic capabilities. This book provides a beautiful overview of what mathematics and Mathematica can do for finance. Sophisticated theories are presented in a rigorous but user-friendly, practical style, which, with the aid of the programming capabilities of Mathematica, help the reader develop good intuition in real trading. In fact, the symbolic algebra capabilities, fast basic numerics, etc. of Mathematica have extended the notion of what is meant by analytic/explicit solutions to "anything that can be computed in no time." And the beautiful thing is that the numerical methods that are developed in this book require only good personal computers.

Given the explosion of interest in mathematical methods for solving problems in finance and trading, a great deal of research and development is taking place in universities, large brokerage firms, and in the supporting trading software industry. Mathematical advances have been made both analytically and numerically in finding practical solutions. This book provides a comprehensive overview of existing and original material, about what mathematics when allied with Mathematica can do for finance. Sophisticated theories are presented systematically in a user-friendly style, and a powerful combination of mathematical rigor and Mathematica programming. Three kinds of solution methods are emphasized: symbolic, numerical, and Monte-- Carlo. Nowadays, only good personal computers are required to handle the symbolic and numerical methods that are developed in this book. Key features: * No previous knowledge of Mathematica programming is required * The symbolic, numeric, data management and graphic capabilities of Mathematica are fully utilized * Monte--Carlo solutions of scalar and multivariable SDEs are developed and utilized heavily in discussing trading issues such as Black--Scholes hedging * Black--Scholes and Dupire PDEs are solved symbolically and numerically * Fast numerical solutions to free boundary problems with details of their Mathematica realizations are provided * Comprehensive study of optimal portfolio diversification, including an original theory of optimal portfolio hedging under non-Log-Normal asset price dynamics is presented The book is designed for the academic community of instructors and students, and most importantly, will meet the everyday trading needs of quantitatively inclined professional and individual investors.