A Course in Derivative Securities

Author: Kerry Back
Publisher: Springer Science & Business Media
ISBN: 3540279008
Format: PDF, Kindle
Download Now
"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

Author: Kerry Back
Publisher: Springer Science & Business Media
ISBN: 3540253734
Format: PDF, Kindle
Download Now
"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

Author: Mario Cerrato
Publisher: John Wiley & Sons
ISBN: 1119973414
Format: PDF, Kindle
Download Now
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

Author: Jarrow, Robert A
Publisher: W. W. Norton & Company
ISBN: 0393913074
Format: PDF
Download Now
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

Author: Eliezer Z. Prisman
Publisher: Academic Press
ISBN: 9780125649155
Format: PDF
Download Now
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

Author: Peter Laurence
Publisher: Routledge
ISBN: 1351420461
Format: PDF, Kindle
Download Now
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

Author: Robert A. Jarrow
Publisher: W. W. Norton
ISBN: 9780393920949
Format: PDF, ePub, Docs
Download Now
Written entirely by the authors, the Solutions Manual provides worked solutions for all the problems in the book.

A Course in Financial Calculus

Author: Alison Etheridge
Publisher: Cambridge University Press
ISBN: 9780521890779
Format: PDF, ePub
Download Now
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.

Pricing and Hedging of Derivative Securities

Author: Lars Tyge Nielsen
Publisher: Courier Corporation
ISBN: 9780198776192
Format: PDF, Docs
Download Now
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.

Financial Calculus

Author: Martin Baxter
Publisher: Cambridge University Press
ISBN: 1139643274
Format: PDF, ePub, Mobi
Download Now
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.