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Author : Dan Stefanica
Publisher : Unknown
Page : 332 pages
File Size : 55,9 Mb
Release : 2011
Category : Business mathematics
ISBN : 0979757622
Author : Ali N. Akansu,Mustafa U. Torun
Publisher : Academic Press
Page : 156 pages
File Size : 53,6 Mb
Release : 2015-03-25
Category : Technology & Engineering
ISBN : 9780128017500
This book bridges the fields of finance, mathematical finance and engineering, and is suitable for engineers and computer scientists who are looking to apply engineering principles to financial markets. The book builds from the fundamentals, with the help of simple examples, clearly explaining the concepts to the level needed by an engineer, while showing their practical significance. Topics covered include an in depth examination of market microstructure and trading, a detailed explanation of High Frequency Trading and the 2010 Flash Crash, risk analysis and management, popular trading strategies and their characteristics, and High Performance DSP and Financial Computing. The book has many examples to explain financial concepts, and the presentation is enhanced with the visual representation of relevant market data. It provides relevant MATLAB codes for readers to further their study. Please visit the companion website on http://booksite.elsevier.com/9780128015612/ Provides engineering perspective to financial problems In depth coverage of market microstructure Detailed explanation of High Frequency Trading and 2010 Flash Crash Explores risk analysis and management Covers high performance DSP & financial computing
Author : Dan Stefanica
Publisher : Unknown
Page : 324 pages
File Size : 43,8 Mb
Release : 2014-09-25
Category : Business mathematics
ISBN : 0979757657
Author : Salih N. Neftci
Publisher : Academic Press
Page : 697 pages
File Size : 47,6 Mb
Release : 2008-12-09
Category : Mathematics
ISBN : 9780080919973
Principles of Financial Engineering, Second Edition, is a highly acclaimed text on the fast-paced and complex subject of financial engineering. This updated edition describes the "engineering" elements of financial engineering instead of the mathematics underlying it. It shows you how to use financial tools to accomplish a goal rather than describing the tools themselves. It lays emphasis on the engineering aspects of derivatives (how to create them) rather than their pricing (how they act) in relation to other instruments, the financial markets, and financial market practices. This volume explains ways to create financial tools and how the tools work together to achieve specific goals. Applications are illustrated using real-world examples. It presents three new chapters on financial engineering in topics ranging from commodity markets to financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles, and how to incorporate counterparty risk into derivatives pricing. Poised midway between intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pricing. This latest edition of Principles of Financial Engineering is ideal for financial engineers, quantitative analysts in banks and investment houses, and other financial industry professionals. It is also highly recommended to graduate students in financial engineering and financial mathematics programs. The Second Edition presents 5 new chapters on structured product engineering, credit markets and instruments, and principle protection techniques, among other topics Additions, clarifications, and illustrations throughout the volume show these instruments at work instead of explaining how they should act The Solutions Manual enhances the text by presenting additional cases and solutions to exercises
Author : Marek Capinski,Tomasz Zastawniak
Publisher : Springer
Page : 314 pages
File Size : 51,6 Mb
Release : 2006-04-18
Category : Business & Economics
ISBN : 9781852338466
This textbook contains the fundamentals for an undergraduate course in mathematical finance aimed primarily at students of mathematics. Assuming only a basic knowledge of probability and calculus, the material is presented in a mathematically rigorous and complete way. The book covers the time value of money, including the time structure of interest rates, bonds and stock valuation; derivative securities (futures, options), modelling in discrete time, pricing and hedging, and many other core topics. With numerous examples, problems and exercises, this book is ideally suited for independent study.
Author : Peter M. Knopf,John L. Teall
Publisher : Elsevier
Page : 348 pages
File Size : 48,9 Mb
Release : 2015-07-29
Category : Business & Economics
ISBN : 9780128017272
Risk Neutral Pricing and Financial Mathematics: A Primer provides a foundation to financial mathematics for those whose undergraduate quantitative preparation does not extend beyond calculus, statistics, and linear math. It covers a broad range of foundation topics related to financial modeling, including probability, discrete and continuous time and space valuation, stochastic processes, equivalent martingales, option pricing, and term structure models, along with related valuation and hedging techniques. The joint effort of two authors with a combined 70 years of academic and practitioner experience, Risk Neutral Pricing and Financial Mathematics takes a reader from learning the basics of beginning probability, with a refresher on differential calculus, all the way to Doob-Meyer, Ito, Girsanov, and SDEs. It can also serve as a useful resource for actuaries preparing for Exams FM and MFE (Society of Actuaries) and Exams 2 and 3F (Casualty Actuarial Society). Includes more subjects than other books, including probability, discrete and continuous time and space valuation, stochastic processes, equivalent martingales, option pricing, term structure models, valuation, and hedging techniques Emphasizes introductory financial engineering, financial modeling, and financial mathematics Suited for corporate training programs and professional association certification programs
Author : Argimiro Arratia
Publisher : Springer Science & Business Media
Page : 301 pages
File Size : 54,8 Mb
Release : 2014-05-08
Category : Computers
ISBN : 9789462390706
The book covers a wide range of topics, yet essential, in Computational Finance (CF), understood as a mix of Finance, Computational Statistics, and Mathematics of Finance. In that regard it is unique in its kind, for it touches upon the basic principles of all three main components of CF, with hands-on examples for programming models in R. Thus, the first chapter gives an introduction to the Principles of Corporate Finance: the markets of stock and options, valuation and economic theory, framed within Computation and Information Theory (e.g. the famous Efficient Market Hypothesis is stated in terms of computational complexity, a new perspective). Chapters 2 and 3 give the necessary tools of Statistics for analyzing financial time series, it also goes in depth into the concepts of correlation, causality and clustering. Chapters 4 and 5 review the most important discrete and continuous models for financial time series. Each model is provided with an example program in R. Chapter 6 covers the essentials of Technical Analysis (TA) and Fundamental Analysis. This chapter is suitable for people outside academics and into the world of financial investments, as a primer in the methods of charting and analysis of value for stocks, as it is done in the financial industry. Moreover, a mathematical foundation to the seemly ad-hoc methods of TA is given, and this is new in a presentation of TA. Chapter 7 reviews the most important heuristics for optimization: simulated annealing, genetic programming, and ant colonies (swarm intelligence) which is material to feed the computer savvy readers. Chapter 8 gives the basic principles of portfolio management, through the mean-variance model, and optimization under different constraints which is a topic of current research in computation, due to its complexity. One important aspect of this chapter is that it teaches how to use the powerful tools for portfolio analysis from the RMetrics R-package. Chapter 9 is a natural continuation of chapter 8 into the new area of research of online portfolio selection. The basic model of the universal portfolio of Cover and approximate methods to compute are also described.
Author : Dan Stefanica
Publisher : Unknown
Page : 128 pages
File Size : 46,9 Mb
Release : 2016-08-22
Category : Electronic
ISBN : 0979757665
Author : Petros A. Ioannou
Publisher : SIAM
Page : 294 pages
File Size : 41,6 Mb
Release : 2021-09-07
Category : Mathematics
ISBN : 9781611976762
This book presents an overview of fundamental concepts in mathematics and how they are applied to basic financial engineering problems, with the goal of teaching students to use mathematics and engineering tools to understand and solve financial problems. Part I covers mathematical preliminaries (set theory, linear algebra, sequences and series, real functions and analysis, numerical approximations and computations, basic optimization theory, and stochastic processes), and Part II addresses financial topics ranging from low- to high-risk investments (interest rates and value of money, bonds, dynamic asset modeling, portfolio theory and optimization, option pricing, and the concept of hedging). Based on lectures for a master’s program in financial engineering given by the author over 12 years at the University of Southern California, Mathematics and Tools for Financial Engineering contains numerous examples and problems, establishes a strong general mathematics background and engineering modeling techniques in a pedagogical fashion, and covers numerical techniques with applications to solving financial problems using different software tools. This textbook is intended for graduate and advanced undergraduate students in finance or financial engineering and is useful to readers with no prior knowledge in finance who want to understand some basic mathematical tools and theories associated with financial engineering. It is also appropriate as an overview of many mathematical concepts and engineering tools relevant to courses on numerical analysis, modeling and data science, numerical optimization, and approximation theory.
Author : Dan Stefanica
Publisher : Unknown
Page : 284 pages
File Size : 41,7 Mb
Release : 2008
Category : Business mathematics
ISBN : 0979757606
Author : John Francis Marshall,Vipul K. Bansal
Publisher : Prentice Hall
Page : 760 pages
File Size : 45,6 Mb
Release : 1992
Category : Business & Economics
ISBN : UOM:49015001398115
Exploring the growing field of financial engineering, this book examines its explosive growth, its conceptual tools, products, instruments, processes, strategies and future directions. Working from the basic building blocks of financial engineering to the complex processes of creating new financial instruments to meet specific needs, the book aims to provide both conceptual and practical frameworks for understanding the field.
Author : Álvaro Cartea,Sebastian Jaimungal,José Penalva
Publisher : Cambridge University Press
Page : 360 pages
File Size : 47,6 Mb
Release : 2015-08-06
Category : Business & Economics
ISBN : 9781107091146
A straightforward guide to the mathematics of algorithmic trading that reflects cutting-edge research.
Author : Salih N. Neftci
Publisher : Academic Press
Page : 550 pages
File Size : 40,8 Mb
Release : 2000-05-19
Category : Business & Economics
ISBN : 9780125153928
A step-by-step explanation of the mathematical models used to price derivatives. For this second edition, Salih Neftci has expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He does not assume that the reader has a thorough mathematical background. His explanations of financial calculus seek to be simple and perceptive.
Author : Dan Stefanica
Publisher : Unknown
Page : 266 pages
File Size : 42,8 Mb
Release : 2011
Category : Business mathematics
ISBN : 0979757614
Author : Christopher Hian Ann Ting
Publisher : World Scientific Publishing Company
Page : 272 pages
File Size : 47,5 Mb
Release : 2015-09-16
Category : Business & Economics
ISBN : 9789814704328
This concise textbook provides a unique framework to introduce Quantitative Finance to advanced undergraduate and beginning postgraduate students. Inspired by Newton's three laws of motion, three principles of Quantitative Finance are proposed to help practitioners also to understand the pricing of plain vanilla derivatives and fixed income securities. The book provides a refreshing perspective on Box's thesis that "all models are wrong, but some are useful." Being practice- and market-oriented, the author focuses on financial derivatives that matter most to practitioners. The three principles of Quantitative Finance serve as buoys for navigating the treacherous waters of hypotheses, models, and gaps between theory and practice. The author shows that a risk-based parsimonious model for modeling the shape of the yield curve, the arbitrage-free properties of options, the Black-Scholes and binomial pricing models, even the capital asset pricing model and the Modigliani-Miller propositions can be obtained systematically by applying the normative principles of Quantitative Finance.