Computational Financial Mathematics Using Mathematica

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Computational Financial Mathematics using MATHEMATICA®

Srdjan Stojanovic
Computational Financial Mathematics using MATHEMATICA Book PDF

Author : Srdjan Stojanovic
Publisher : Springer Science & Business Media
Page : 487 pages
File Size : 41,5 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9781461200437

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Computational Financial Mathematics using MATHEMATICA® by Srdjan Stojanovic Pdf

Given the explosion of interest in mathematical methods for solving problems in finance and trading, a great deal of research and development is taking place in universities, large brokerage firms, and in the supporting trading software industry. Mathematical advances have been made both analytically and numerically in finding practical solutions. This book provides a comprehensive overview of existing and original material, about what mathematics when allied with Mathematica can do for finance. Sophisticated theories are presented systematically in a user-friendly style, and a powerful combination of mathematical rigor and Mathematica programming. Three kinds of solution methods are emphasized: symbolic, numerical, and Monte-- Carlo. Nowadays, only good personal computers are required to handle the symbolic and numerical methods that are developed in this book. Key features: * No previous knowledge of Mathematica programming is required * The symbolic, numeric, data management and graphic capabilities of Mathematica are fully utilized * Monte--Carlo solutions of scalar and multivariable SDEs are developed and utilized heavily in discussing trading issues such as Black--Scholes hedging * Black--Scholes and Dupire PDEs are solved symbolically and numerically * Fast numerical solutions to free boundary problems with details of their Mathematica realizations are provided * Comprehensive study of optimal portfolio diversification, including an original theory of optimal portfolio hedging under non-Log-Normal asset price dynamics is presented The book is designed for the academic community of instructors and students, and most importantly, will meet the everyday trading needs of quantitatively inclined professional and individual investors.

Computational Financial Mathematics using MATHEMATICA®

Srdjan Stojanovic
Computational Financial Mathematics using MATHEMATICA Book PDF

Author : Srdjan Stojanovic
Publisher : Springer
Page : 300 pages
File Size : 50,8 Mb
Release : 2019-05-09
Category : Mathematics
ISBN : 0387570675

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Computational Financial Mathematics using MATHEMATICA® by Srdjan Stojanovic Pdf

This second edition presents an applied approach to financial mathematics and provides an overview of existing and original material. Sophisticated theories are presented systematically in a user-friendly style which promotes a powerful combination of mathematical rigor and Mathematica programming. Three kinds of solution methods are emphasized: symbolic, numerical, and Monte--Carlo. This new comprehensive study guide presents several additional financial problems that can be directly applied in the field, i.e., Integral-PDE Dupire equations, inverse problems, 3-D numerical pricing equations, obstacle problems, optimal portfolio problem for momentum markets. The book is intended for instructors and graduate students interested in financial mathematics as well as mathematically inclined investors and traders who rely on cash, stocks, and stock options on a regular basis.

Computational Financial Mathematics Using Mathematica

Srdjan Stojanovic
Computational Financial Mathematics Using Mathematica Book PDF

Author : Srdjan Stojanovic
Publisher : Birkhauser
Page : 504 pages
File Size : 54,8 Mb
Release : 2003
Category : Business & Economics
ISBN : UOM:39015055585452

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Computational Financial Mathematics Using Mathematica by Srdjan Stojanovic Pdf

CD-ROM contains: Electronic version of text, with executabile code and color pictures.

Computational Economics and Finance

Hal R. Varian
Computational Economics and Finance Book PDF

Author : Hal R. Varian
Publisher : Springer Science & Business Media
Page : 486 pages
File Size : 41,5 Mb
Release : 1996-08-09
Category : Business & Economics
ISBN : 0387945180

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Computational Economics and Finance by Hal R. Varian Pdf

This collection of articles is edited by Hal Varian, Dean of the School of Information Management and Systems, University of California, Berkeley. It provides a high quality and practical selection of contributed articles that impart the expertise of an international contingent of Mathematica users from the economic, financial, investments, quantitative business and operations research communities.

Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes

Cornelis W Oosterlee,Lech A Grzelak
Mathematical Modeling And Computation In Finance With Exercises And Python And Matlab Computer Codes Book PDF

Author : Cornelis W Oosterlee,Lech A Grzelak
Publisher : World Scientific
Page : 1310 pages
File Size : 54,7 Mb
Release : 2019-10-29
Category : Business & Economics
ISBN : 9781786347961

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Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes by Cornelis W Oosterlee,Lech A Grzelak Pdf

This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.Supplementary Material:Solutions Manual is available to instructors who adopt this textbook for their courses. Please contact [email protected].

Financial Mathematics

D. A. Young
Financial Mathematics Book PDF

Author : D. A. Young
Publisher : Juta and Company Ltd
Page : 132 pages
File Size : 53,7 Mb
Release : 1993
Category : Business mathematics
ISBN : 0702129593

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Financial Mathematics by D. A. Young Pdf

This text indicates where a financial calculator can be effectively used. It also points out how (in a non-technical sense) the calculator is able to solve equations numerically when algebraic methods fail.

Computational Economics and Finance

Hal R. Varian
Computational Economics and Finance Book PDF

Author : Hal R. Varian
Publisher : Springer
Page : 468 pages
File Size : 51,5 Mb
Release : 2011-09-27
Category : Computers
ISBN : 1461275105

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Computational Economics and Finance by Hal R. Varian Pdf

This book/software package divulges the combined knowledge of a whole international community of Mathematica users - from the fields of economics, finance, investments, quantitative business and operations research. The 23 contributors - all experts in their fields - take full advantage of the latest updates of Mathematica in their presentations and equip both current and prospective users with tools for professional, research and educational projects. The real-world and self-contained models provided are applicable to an extensive range of contemporary problems. The DOS disk contains Notebooks and packages which are also available online from the TELOS site.

Financial Mathematics

Kevin J. Hastings
Financial Mathematics Book PDF

Author : Kevin J. Hastings
Publisher : CRC Press
Page : 414 pages
File Size : 47,6 Mb
Release : 2022-12-21
Category : Business & Economics
ISBN : 9781498780445

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Financial Mathematics by Kevin J. Hastings Pdf

Financial Mathematics: From Discrete to Continuous Time is a study of the mathematical ideas and techniques that are important to the two main arms of the area of financial mathematics: portfolio optimization and derivative valuation. The text is authored for courses taken by advanced undergraduates, MBA, or other students in quantitative finance programs. The approach will be mathematically correct but informal, sometimes omitting proofs of the more difficult results and stressing practical results and interpretation. The text will not be dependent on any particular technology, but it will be laced with examples requiring the numerical and graphical power of the machine. The text illustrates simulation techniques to stand in for analytical techniques when the latter are impractical. There will be an electronic version of the text that integrates Mathematica functionality into the development, making full use of the computational and simulation tools that this program provides. Prerequisites are good courses in mathematical probability, acquaintance with statistical estimation, and a grounding in matrix algebra. The highlights of the text are: A thorough presentation of the problem of portfolio optimization, leading in a natural way to the Capital Market Theory Dynamic programming and the optimal portfolio selection-consumption problem through time An intuitive approach to Brownian motion and stochastic integral models for continuous time problems The Black-Scholes equation for simple European option values, derived in several different ways A chapter on several types of exotic options Material on the management of risk in several contexts

Introduction to Financial Mathematics

Donald R. Chambers,Qin Lu
Introduction to Financial Mathematics Book PDF

Author : Donald R. Chambers,Qin Lu
Publisher : CRC Press
Page : 580 pages
File Size : 48,8 Mb
Release : 2021-06-17
Category : Mathematics
ISBN : 9781000370126

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Introduction to Financial Mathematics by Donald R. Chambers,Qin Lu Pdf

This book’s primary objective is to educate aspiring finance professionals about mathematics and computation in the context of financial derivatives. The authors offer a balance of traditional coverage and technology to fill the void between highly mathematical books and broad finance books. The focus of this book is twofold: To partner mathematics with corresponding intuition rather than diving so deeply into the mathematics that the material is inaccessible to many readers. To build reader intuition, understanding and confidence through three types of computer applications that help the reader understand the mathematics of the models. Unlike many books on financial derivatives requiring stochastic calculus, this book presents the fundamental theories based on only undergraduate probability knowledge. A key feature of this book is its focus on applying models in three programming languages –R, Mathematica and EXCEL. Each of the three approaches offers unique advantages. The computer applications are carefully introduced and require little prior programming background. The financial derivative models that are included in this book are virtually identical to those covered in the top financial professional certificate programs in finance. The overlap of financial models between these programs and this book is broad and deep.

Deterministic And Stochastic Topics In Computational Finance

Ovidiu Calin
Deterministic And Stochastic Topics In Computational Finance Book PDF

Author : Ovidiu Calin
Publisher : World Scientific Publishing Company
Page : 484 pages
File Size : 55,8 Mb
Release : 2016-11-25
Category : Business & Economics
ISBN : 9789813203105

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Deterministic And Stochastic Topics In Computational Finance by Ovidiu Calin Pdf

What distinguishes this book from other texts on mathematical finance is the use of both probabilistic and PDEs tools to price derivatives for both constant and stochastic volatility models, by which the reader has the advantage of computing explicitly a large number of prices for European, American and Asian derivatives.The book presents continuous time models for financial markets, starting from classical models such as Black-Scholes and evolving towards the most popular models today such as Heston and VAR.A key feature of the textbook is the large number of exercises, mostly solved, which are designed to help the reader to understand the material.The book is based on the author's lectures on topics on computational finance for senior and graduate students, delivered in USA (Princeton University and EMU), Taiwan and Kuwait. The prerequisites are an introductory course in stochastic calculus, as well as the usual calculus sequence.The book is addressed to undergraduate and graduate students in Masters of Finance programs as well as to those who wish to become more efficient in their practical applications.Topics covered:

Computational Economics and Finance

Hal R. Varian
Computational Economics and Finance Book PDF

Author : Hal R. Varian
Publisher : Springer
Page : 0 pages
File Size : 49,7 Mb
Release : 2014-01-14
Category : Computers
ISBN : 1461223407

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Computational Economics and Finance by Hal R. Varian Pdf

This book/software package divulges the combined knowledge of a whole international community of Mathematica users - from the fields of economics, finance, investments, quantitative business and operations research. The 23 contributors - all experts in their fields - take full advantage of the latest updates of Mathematica in their presentations and equip both current and prospective users with tools for professional, research and educational projects. The real-world and self-contained models provided are applicable to an extensive range of contemporary problems. The DOS disk contains Notebooks and packages which are also available online from the TELOS site.

High-Performance Computing in Finance

M. A. H. Dempster,Juho Kanniainen,John Keane,Erik Vynckier
High Performance Computing in Finance Book PDF

Author : M. A. H. Dempster,Juho Kanniainen,John Keane,Erik Vynckier
Publisher : CRC Press
Page : 614 pages
File Size : 50,7 Mb
Release : 2018-02-21
Category : Computers
ISBN : 9781482299670

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High-Performance Computing in Finance by M. A. H. Dempster,Juho Kanniainen,John Keane,Erik Vynckier Pdf

High-Performance Computing (HPC) delivers higher computational performance to solve problems in science, engineering and finance. There are various HPC resources available for different needs, ranging from cloud computing– that can be used without much expertise and expense – to more tailored hardware, such as Field-Programmable Gate Arrays (FPGAs) or D-Wave’s quantum computer systems. High-Performance Computing in Finance is the first book that provides a state-of-the-art introduction to HPC for finance, capturing both academically and practically relevant problems.

An Introduction to Computational Finance

™mr U?ur
An Introduction to Computational Finance Book PDF

Author : ™mr U?ur
Publisher : Imperial College Press
Page : 315 pages
File Size : 51,7 Mb
Release : 2009
Category : Mathematics
ISBN : 9781848161924

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An Introduction to Computational Finance by ™mr U?ur Pdf

Although there are several publications on similar subjects, this book mainly focuses on pricing of options and bridges the gap between Mathematical Finance and Numerical Methodologies. The author collects the key contributions of several monographs and selected literature, values and displays their importance, and composes them here to create a work which has its own characteristics in content and style.This invaluable book provides working Matlab codes not only to implement the algorithms presented in the text, but also to help readers code their own pricing algorithms in their preferred programming languages. Availability of the codes under an Internet site is also offered by the author.Not only does this book serve as a textbook in related undergraduate or graduate courses, but it can also be used by those who wish to implement or learn pricing algorithms by themselves. The basic methods of option pricing are presented in a self-contained and unified manner, and will hopefully help readers improve their mathematical and computational backgrounds for more advanced topics.Errata(s)Errata

Computational Finance

George Levy
Computational Finance Book PDF

Author : George Levy
Publisher : Butterworth-Heinemann
Page : 474 pages
File Size : 48,9 Mb
Release : 2004-01-27
Category : Business & Economics
ISBN : 0750657227

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Computational Finance by George Levy Pdf

Accompanying CD-ROM contains ... "working computer code, demonstration applications, and also PDF versions of several research articles that are referred to in the book." -- d.j.

Modelling Financial Derivatives with MATHEMATICA ®

William T. Shaw
Modelling Financial Derivatives with MATHEMATICA Book PDF

Author : William T. Shaw
Publisher : Cambridge University Press
Page : 570 pages
File Size : 48,5 Mb
Release : 1998-12-10
Category : Business & Economics
ISBN : 052159233X

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Modelling Financial Derivatives with MATHEMATICA ® by William T. Shaw Pdf

CD plus book for financial modelling, requires Mathematica 3 or 2.2; runs on most platforms.