Paul Wilmott (Technology Imperial College of Science and Medicine, Sam Howison (University of Oxford), Jeff Dewynne (University of Southampton)

The Mathematics of Financial Derivatives

A Student Introduction

• Broschiertes Buch

Produktbeschreibung

The authors describe the modelling of financial derivative products from an applied mathematician's viewpoint.

---

Hinweis: Dieser Artikel kann nur an eine deutsche Lieferadresse ausgeliefert werden.

Produktdetails

• Verlag: Cambridge University Press
• 1995
• Seitenzahl: 336
• Erscheinungstermin: 1. September 1995
• Englisch
• Abmessung: 229mm x 152mm x 19mm
• Gewicht: 450g
• ISBN-13: 9780521497893
• ISBN-10: 0521497892
• Artikelnr.: 14995061

Autorenporträt

Paul Wilmott , described by the Financial Times as cult derivatives lecturer, is one of the world's leading experts on quantitative finance and derivatives. He is the proprietor of an innovative magazine on quantitative finance and a highly popular community website. He is the principal of the financial consultancy and training firm, Wilmott Associates, and the Course Director for the Certificate in Quantitative Finance. He has researched and published widely on financial engineering.

Inhaltsangabe

Part I. Basic Option Theory: 1. An introduction to options and markets; 2. Asset price random walks; 3. The Black-Scholes model; 4. Partial differential equations; 5. The Black-Scholes formulae; 6. Variations on the Black-Scholes model; 7. American options; Part II. Numerical Methods: 8. Finite-difference methods; 9. Methods for American options; 10. Binomial methods; Part III. Further Option Theory: 11. Exotic and path-dependent options; 12. Barrier options; 13. A unifying framework for path-dependent options; 14. Asian options; 15. Lookback options; 16. Options with transaction costs; Part IV. Interest Rate Derivative Products: 17. Interest rate derivatives; 18. Convertible bonds; Hints to selected exercises; Bibliography; Index.

Rezensionen

'The layout is good and clear, so is the style of notation ... overall this is an excellent tool for both mathematicians interested in the world of finance as well as finance practitioners keen to rebuild the foundations of their knowledge.' Rudi Bogni, The Times Higher Education Supplement