Financial Mathematics is one of the fastest growing research fields in applied mathematics. Leading edge banking and financial firms around the globe are hiring science experts who can use advanced analytical and numerical techniques to price financial derivatives and manage portfolio risks, a phenomena coined as "Rocket Sciences on Wall Street". As such, new degree programs in mathematical and computational finance have also sprouted both in North America and the Far East.To-date, there is a lack of texts stressing on the mathematical aspects of derivative pricing which can meet the demands from students enrolled in these new degree programs. Mathematical Models of Financial Derivatives fills a gap for textbooks to serve this increasing demand. It models derivative products based mainly on the differential equation approach, together with numerical solution techniques when appropriate. Research results and concepts are made accessible to the student through extensive, well thought out exercises at the end of each chapter.
Table of Contents:
General characteristics of financial derivative models.- Pricing models for one-asset European options.- Pricing models for multi-asset European options.- American options.- Numerical schemes for pricing options.- Path dependent options.- Bonds and interest rate derivatives.
Table of Contents:
General characteristics of financial derivative models.- Pricing models for one-asset European options.- Pricing models for multi-asset European options.- American options.- Numerical schemes for pricing options.- Path dependent options.- Bonds and interest rate derivatives.
From the reviews of the second edition:
"Mathematical Models of Financial Derivatives is a ... comprehensive collection of known facts and techniques, as well as a methodologically thought-through textbook on derivative pricing in financial markets. The book is written both for a novice who will profit from its numerous and well-conceived exercises, and a practitioner who wants to brush up on finer points of the classical pricing theory behind a specific financial product. ... it will certainly attract many a non-mathematician with an interest in quantitative methods in finance ... ." (Gordan Zitkovic, The Mathematical Association of America, March, 2009)
"This book is written mainly as a textbook of modeling on derivative pricing theory for the students in financial engineering, computational finance etc. It provides basic knowledge of mathematical theory and applications of the financial derivatives. ... This book can also be used as an Instructor's Manual of reference of those in financial institutions." (Gong Guanglu, Zentralblatt MATH, Vol. 1146, 2008)
"Mathematical Models of Financial Derivatives is a ... comprehensive collection of known facts and techniques, as well as a methodologically thought-through textbook on derivative pricing in financial markets. The book is written both for a novice who will profit from its numerous and well-conceived exercises, and a practitioner who wants to brush up on finer points of the classical pricing theory behind a specific financial product. ... it will certainly attract many a non-mathematician with an interest in quantitative methods in finance ... ." (Gordan Zitkovic, The Mathematical Association of America, March, 2009)
"This book is written mainly as a textbook of modeling on derivative pricing theory for the students in financial engineering, computational finance etc. It provides basic knowledge of mathematical theory and applications of the financial derivatives. ... This book can also be used as an Instructor's Manual of reference of those in financial institutions." (Gong Guanglu, Zentralblatt MATH, Vol. 1146, 2008)