Yuh-Dauh Lyuu

Financial Engineering and Computation

Principles, Mathematics, Algorithms

• Gebundenes Buch

Produktbeschreibung

Many of these algorithms are coded in Java as programs for the Web, available from the book's home page.

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Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 648
• Erscheinungstermin: 10. Juli 2013
• Englisch
• Abmessung: 260mm x 183mm x 39mm
• Gewicht: 1395g
• ISBN-13: 9780521781718
• ISBN-10: 052178171X
• Artikelnr.: 22080477

Inhaltsangabe

1. Introduction
2. Analysis of algorithms
3. Basic financial mathematics
4. Bond price volatility
5. Term structure of interest rates
6. Fundamental statistical concepts
7. Option basics
8. Arbitrage in option pricing
9. Option pricing models
10. Sensitivity analysis of options
11. Extensions of options theory
12. Forwards, futures, futures options, swaps
13. Stochastic processes and Brownian motion
14. Continuous-time financial mathematics
15. Continuous-time pricing
16. Hedging
17. Trees
18. Numerical methods
19. Matrix computation
20. Time series and estimation
21. Interest rate derivative securities
22. Term structure fitting
23. Introduction to term structure modeling
24. Foundations of term structure modeling
25. Equilibrium term structure models
26. No-arbitrage term structure models
27. Fixed-income securities
28. Introduction to mortgage-backed securities
29. Analysis of mortgage-backed securities
30. Collateralized mortgage obligations
31. Modern portfolio theory
32. Software.