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A Course in Derivative Securities

A Course in Derivative Securities Author Kerry Back
ISBN-10 9783540279006
Release 2006-03-30
Pages 356
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"Deals with pricing and hedging financial derivatives.... Computational methods are introduced and the text contains the Excel VBA routines corresponding to the formulas and procedures described in the book. This is valuable since computer simulation can help readers understand the theory....The book...succeeds in presenting intuitively advanced derivative modelling... it provides a useful bridge between introductory books and the more advanced literature." --MATHEMATICAL REVIEWS



A Course in Derivative Securities

A Course in Derivative Securities Author Kerry Back
ISBN-10 9783540253730
Release 2005-06-08
Pages 356
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"Deals with pricing and hedging financial derivatives.... Computational methods are introduced and the text contains the Excel VBA routines corresponding to the formulas and procedures described in the book. This is valuable since computer simulation can help readers understand the theory....The book...succeeds in presenting intuitively advanced derivative modelling... it provides a useful bridge between introductory books and the more advanced literature." --MATHEMATICAL REVIEWS



The Mathematics of Derivatives Securities with Applications in MATLAB

The Mathematics of Derivatives Securities with Applications in MATLAB Author Mario Cerrato
ISBN-10 9781119973416
Release 2012-02-24
Pages 248
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Quantitative Finance is expanding rapidly. One of the aspects of the recent financial crisis is that, given the complexity of financial products, the demand for people with high numeracy skills is likely to grow and this means more recognition will be given to Quantitative Finance in existing and new course structures worldwide. Evidence has suggested that many holders of complex financial securities before the financial crisis did not have in-house experts or rely on a third-party in order to assess the risk exposure of their investments. Therefore, this experience shows the need for better understanding of risk associate with complex financial securities in the future. The Mathematics of Derivative Securities with Applications in MATLAB provides readers with an introduction to probability theory, stochastic calculus and stochastic processes, followed by discussion on the application of that knowledge to solve complex financial problems such as pricing and hedging exotic options, pricing American derivatives, pricing and hedging under stochastic volatility and an introduction to interest rates modelling. The book begins with an overview of MATLAB and the various components that will be used alongside it throughout the textbook. Following this, the first part of the book is an in depth introduction to Probability theory, Stochastic Processes and Ito Calculus and Ito Integral. This is essential to fully understand some of the mathematical concepts used in the following part of the book. The second part focuses on financial engineering and guides the reader through the fundamental theorem of asset pricing using the Black and Scholes Economy and Formula, Options Pricing through European and American style options, summaries of Exotic Options, Stochastic Volatility Models and Interest rate Modelling. Topics covered in this part are explained using MATLAB codes showing how the theoretical models are used practically. Authored from an academic’s perspective, the book discusses complex analytical issues and intricate financial instruments in a way that it is accessible to postgraduate students with or without a previous background in probability theory and finance. It is written to be the ideal primary reference book or a perfect companion to other related works. The book uses clear and detailed mathematical explanation accompanied by examples involving real case scenarios throughout and provides MATLAB codes for a variety of topics.



An Introduction to Derivative Securities Financial Markets and Risk Management

An Introduction to Derivative Securities  Financial Markets  and Risk Management Author Jarrow, Robert A
ISBN-10 9780393913071
Release 2013-02-14
Pages 880
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Written by Robert Jarrow, one of the true titans of finance, and his former student Arkadev Chatterjea, Introduction to Derivatives is the first text developed from the ground up for students taking the introductory derivatives course. The math is presented at the right level and is always motivated by what 's happening in the financial markets. And, as one of the developers of the Heath-Jarrow-Morton Model, Robert Jarrow presents a novel, accessible way to understand this important topic.



Pricing Derivative Securities

Pricing Derivative Securities Author Eliezer Z. Prisman
ISBN-10 0125649150
Release 2000
Pages 754
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Pricing derivatives theory comes alive in this self-contained interactive experience in financial pricing. The no-arbitrage perspective in a one-period state-preference model drives the book, and the Maple® and Matlab® programs help readers visualize payoffs and respond to various constraints and conditions. With clear explanations and lavish illustrations, Pricing Derivative Securities: An Interactive, Dynamic Environment with Maple V and Matlab teaches the core theoretical concepts so often disguised behind difficult terms and institutional details. Readers can experiment with the electronic packages forever, using the book and its solutions manual as a tutorial that can help solve problems of increasing complexity. Key Features * Enclosed CD-ROM includes the student version of Maple V; it provides an interactive, dynamic and friendly environment allowing students to learn through hands on experience * Enhances learning by altering the commands in the on-line files, varying them at will, in order to experiment with applications of the concepts and different (reader-generated) examples, in addition to the ones already in the prepared file * Provides both the framework and the tools, based on the no free lunch concept, by which readers can analyze and appreciate different scenarios, including those that are not covered in the book, related to derivative securities * Basic concepts of stochastic calculus are enriched with demonstrations using animation, simulation and three-dimensional graphs thereby overcoming mathematical complexity * The MATLAB® Graphic User Interface provides the ability to bring to life on the screen the theoretical material of the chapters



Quantitative Modeling of Derivative Securities

Quantitative Modeling of Derivative Securities Author Peter Laurence
ISBN-10 9781351420464
Release 2017-11-22
Pages 336
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Quantitative Modeling of Derivative Securities demonstrates how to take the basic ideas of arbitrage theory and apply them - in a very concrete way - to the design and analysis of financial products. Based primarily (but not exclusively) on the analysis of derivatives, the book emphasizes relative-value and hedging ideas applied to different financial instruments. Using a ""financial engineering approach,"" the theory is developed progressively, focusing on specific aspects of pricing and hedging and with problems that the technical analyst or trader has to consider in practice. More than just an introductory text, the reader who has mastered the contents of this one book will have breached the gap separating the novice from the technical and research literature.



Solutions Manual

Solutions Manual Author Robert A. Jarrow
ISBN-10 0393920941
Release 2013-07-18
Pages 280
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Written entirely by the authors, the Solutions Manual provides worked solutions for all the problems in the book.



Pricing and Hedging of Derivative Securities

Pricing and Hedging of Derivative Securities Author Lars Tyge Nielsen
ISBN-10 0198776195
Release 1999
Pages 444
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The theory of pricing and hedging of derivative securities is mathematically sophisticated. This book is an introduction to the use of advanced probability theory in financial economics, presenting the necessary mathematics in a precise and rigorous manner. It enables the reader to understand journal literature with confidence, to apply the methods to new problems or to do original research in the field.



A Course in Financial Calculus

A Course in Financial Calculus Author Alison Etheridge
ISBN-10 0521890772
Release 2002-08-15
Pages 196
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Finance provides a dramatic example of the successful application of mathematics to the practical problem of pricing financial derivatives. This self-contained text is designed for first courses in financial calculus. Key concepts are introduced in the discrete time framework: proofs in the continuous-time world follow naturally. The second half of the book is devoted to financially sophisticated models and instruments. A valuable feature is the large number of exercises and examples, designed to test technique and illustrate how the methods and concepts are applied to realistic financial questions.



Asset Pricing and Portfolio Choice Theory

Asset Pricing and Portfolio Choice Theory Author Kerry Back
ISBN-10 9780195380613
Release 2010
Pages 487
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This book is intended as a textbook for Ph.D. students in finance and as a reference book for academics. It is written at an introductory level but includes detailed proofs and calculations as section appendices. It covers the classical results on single-period, discrete-time, and continuous-time models. It also treats various proposed explanations for the equity premium and risk-free rate puzzles: persistent heterogeneous idiosyncratic risks, internal habits, external habits, and recursive utility. Most of the book assumes rational behavior, but two topics important for behavioral finance are covered: heterogeneous beliefs and non-expected-utility preferences. There are also chapters on asymmetric information and production models. The book includes numerous exercises designed to provide practice with the concepts and also to introduce additional results. Each chapter concludes with a notes and references section that supplies references to additional developments in the field.



Financial Calculus

Financial Calculus Author Martin Baxter
ISBN-10 9781139643276
Release 1996-09-19
Pages
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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 financial terms is provided. This unique book will be an essential purchase for market practitioners, quantitative analysts, and derivatives traders.



e Study Guide for A Course in Derivative Securities by Kerry Back ISBN 9783540253730

e Study Guide for  A Course in Derivative Securities by Kerry Back  ISBN 9783540253730 Author Cram101 Textbook Reviews
ISBN-10 9781467212489
Release 2012-01-01
Pages 5
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Never Highlight a Book Again! Just the FACTS101 study guides give the student the textbook outlines, highlights, practice quizzes and optional access to the full practice tests for their textbook.



Implementing Models in Quantitative Finance Methods and Cases

Implementing Models in Quantitative Finance  Methods and Cases Author Gianluca Fusai
ISBN-10 3540499598
Release 2007-12-20
Pages 607
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This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages.



Risk Neutral Valuation

Risk Neutral Valuation Author Nicholas H. Bingham
ISBN-10 9781447138563
Release 2013-06-29
Pages 438
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This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives. On the probabilistic side, both discrete- and continuous-time stochastic processes are treated, with special emphasis on martingale theory, stochastic integration and change-of-measure techniques. Based on firm probabilistic foundations, general properties of discrete- and continuous-time financial market models are discussed.



Derivatives

Derivatives Author Paul Wilmott
ISBN-10 UOM:39015058966063
Release 1998-12-08
Pages 768
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Derivatives by Paul Wilmott provides the most comprehensive and accessible analysis of the art of science in financial modeling available. Wilmott explains and challenges many of the tried and tested models while at the same time offering the reader many new and previously unpublished ideas and techniques. Paul Wilmott has produced a compelling and essential new work in this field. The basics of the established theories-such as stochastic calculus, Black-Scholes, binomial trees and interest-rate models-are covered in clear and precise detail, but Derivatives goes much further. Complex models-such as path dependency, non-probabilistic models, static hedging and quasi-Monte Carlo methods-are introduced and explained to a highly sophisticated level. But theory in itself is not enough, an understanding of the role the techniques play in the daily world of finance is also examined through the use of spreadsheets, examples and the inclusion of Visual Basic programs. The book is divided into six parts: Part One: acts as an introduction and explanation of the fundamentals of derivatives theory and practice, dealing with the equity, commodity and currency worlds. Part Two: takes the mathematics of Part One to a more complex level, introducing the concept of path dependency. Part Three: concerns extensions of the Black-Scholes world, both classic and modern. Part Four: deals with models for fixed-income products. Part Five: describes models for risk management and measurement. Part Six: delivers the numerical methods required for implementing the models described in the rest of the book. Derivatives also includes a CD containing a wide variety of implementation material related to the book in the form of spreadsheets and executable programs together with resource material such as demonstration software and relevant contributed articles. At all times the style remains readable and compelling making Derivatives the essential book on every finance shelf.



Risk Management Speculation and Derivative Securities

Risk Management  Speculation  and Derivative Securities Author Geoffrey Poitras
ISBN-10 0125588224
Release 2002
Pages 601
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Presenting an integrated explanation of speculative trading and risk management from the practitioner's point of view, "Risk Management, Speculation, and Derivative Securities" is a standard text on financial risk management that departs from the perspective of an agent whose main concerns are pricing and hedging derivatives.



Financial Engineering and Computation

Financial Engineering and Computation Author Yuh-Dauh Lyuu
ISBN-10 052178171X
Release 2002
Pages 627
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A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.