Financial Mathematics

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Financial Mathematics

Giuseppe Campolieti,Roman N. Makarov
Financial Mathematics Book PDF

Author : Giuseppe Campolieti,Roman N. Makarov
Publisher : CRC Press
Page : 662 pages
File Size : 45,8 Mb
Release : 2022-12-21
Category : Business & Economics
ISBN : 9780429889097

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Financial Mathematics by Giuseppe Campolieti,Roman N. Makarov Pdf

The book has been tested and refined through years of classroom teaching experience. With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way. This textbook provides complete coverage of continuous-time financial models that form the cornerstones of financial derivative pricing theory. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. Key features: In-depth coverage of continuous-time theory and methodology Numerous, fully worked out examples and exercises in every chapter Mathematically rigorous and consistent, yet bridging various basic and more advanced concepts Judicious balance of financial theory and mathematical methods Guide to Material This revision contains: Almost 150 pages worth of new material in all chapters A appendix on probability theory An expanded set of solved problems and additional exercises Answers to all exercises This book is a comprehensive, self-contained, and unified treatment of the main theory and application of mathematical methods behind modern-day financial mathematics. The text complements Financial Mathematics: A Comprehensive Treatment in Discrete Time, by the same authors, also published by CRC Press.

Mathematics for Finance

Marek Capinski,Tomasz Zastawniak
Mathematics for Finance Book PDF

Author : Marek Capinski,Tomasz Zastawniak
Publisher : Springer
Page : 314 pages
File Size : 55,6 Mb
Release : 2006-04-18
Category : Business & Economics
ISBN : 9781852338466

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Mathematics for Finance by Marek Capinski,Tomasz Zastawniak Pdf

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.

Optimal Execution and Liquidation in Finance

Olivier Gueant
Optimal Execution and Liquidation in Finance Book PDF

Author : Olivier Gueant
Publisher : Chapman and Hall/CRC
Page : 0 pages
File Size : 41,8 Mb
Release : 2016-03-15
Category : Business & Economics
ISBN : 1498725473

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Optimal Execution and Liquidation in Finance by Olivier Gueant Pdf

This book is devoted to mathematical models for execution problems in finance. The main goal is to present a general framework (inspired from the Almgren-Chriss approach) for optimal execution problems, and then to use it in a wide range of areas. The book covers applications to the different types of execution proposed within the brokerage industry. It also presents applications to block trade pricing, to portfolio management and to option pricing.

The Financial Mathematics of Market Liquidity

Olivier Gueant
The Financial Mathematics of Market Liquidity Book PDF

Author : Olivier Gueant
Publisher : CRC Press
Page : 302 pages
File Size : 46,6 Mb
Release : 2016-03-30
Category : Business & Economics
ISBN : 9781498725484

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The Financial Mathematics of Market Liquidity by Olivier Gueant Pdf

This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems-inspired from the Almgren-Chriss app

Financial Mathematics, Derivatives and Structured Products

Raymond H. Chan,Yves ZY. Guo,Spike T. Lee,Xun Li
Financial Mathematics Derivatives and Structured Products Book PDF

Author : Raymond H. Chan,Yves ZY. Guo,Spike T. Lee,Xun Li
Publisher : Springer
Page : 395 pages
File Size : 51,5 Mb
Release : 2019-02-27
Category : Mathematics
ISBN : 9789811336966

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Financial Mathematics, Derivatives and Structured Products by Raymond H. Chan,Yves ZY. Guo,Spike T. Lee,Xun Li Pdf

This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales or risk managers. As the book seeks to unify the derivatives modelling and the financial engineering practice in the market, it will be of interest to financial practitioners and academic researchers alike. Further, it takes a different route from the existing financial mathematics books, and will appeal to students and practitioners with or without a scientific background. The book can also be used as a textbook for the following courses: • Financial Mathematics (undergraduate level) • Stochastic Modelling in Finance (postgraduate level) • Financial Markets and Derivatives (undergraduate level) • Structured Products and Solutions (undergraduate/postgraduate level)

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 : 581 pages
File Size : 50,8 Mb
Release : 2021-06-16
Category : Computers
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.

An Introduction to Mathematical Finance with Applications

Arlie O. Petters,Xiaoying Dong
An Introduction to Mathematical Finance with Applications Book PDF

Author : Arlie O. Petters,Xiaoying Dong
Publisher : Springer
Page : 483 pages
File Size : 47,8 Mb
Release : 2016-06-17
Category : Mathematics
ISBN : 9781493937837

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An Introduction to Mathematical Finance with Applications by Arlie O. Petters,Xiaoying Dong Pdf

This textbook aims to fill the gap between those that offer a theoretical treatment without many applications and those that present and apply formulas without appropriately deriving them. The balance achieved will give readers a fundamental understanding of key financial ideas and tools that form the basis for building realistic models, including those that may become proprietary. Numerous carefully chosen examples and exercises reinforce the student’s conceptual understanding and facility with applications. The exercises are divided into conceptual, application-based, and theoretical problems, which probe the material deeper. The book is aimed toward advanced undergraduates and first-year graduate students who are new to finance or want a more rigorous treatment of the mathematical models used within. While no background in finance is assumed, prerequisite math courses include multivariable calculus, probability, and linear algebra. The authors introduce additional mathematical tools as needed. The entire textbook is appropriate for a single year-long course on introductory mathematical finance. The self-contained design of the text allows for instructor flexibility in topics courses and those focusing on financial derivatives. Moreover, the text is useful for mathematicians, physicists, and engineers who want to learn finance via an approach that builds their financial intuition and is explicit about model building, as well as business school students who want a treatment of finance that is deeper but not overly theoretical.

Financial Mathematics, Volatility and Covariance Modelling

Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji
Financial Mathematics Volatility and Covariance Modelling Book PDF

Author : Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji
Publisher : Routledge
Page : 381 pages
File Size : 45,5 Mb
Release : 2019-06-28
Category : Business & Economics
ISBN : 9781351669092

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Financial Mathematics, Volatility and Covariance Modelling by Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji Pdf

This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.

C++ for Financial Mathematics

John Armstrong
C for Financial Mathematics Book PDF

Author : John Armstrong
Publisher : CRC Press
Page : 411 pages
File Size : 49,7 Mb
Release : 2017-01-06
Category : Business & Economics
ISBN : 9781498750066

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C++ for Financial Mathematics by John Armstrong Pdf

If you know a little bit about financial mathematics but don’t yet know a lot about programming, then C++ for Financial Mathematics is for you. C++ is an essential skill for many jobs in quantitative finance, but learning it can be a daunting prospect. This book gathers together everything you need to know to price derivatives in C++ without unnecessary complexities or technicalities. It leads the reader step-by-step from programming novice to writing a sophisticated and flexible financial mathematics library. At every step, each new idea is motivated and illustrated with concrete financial examples. As employers understand, there is more to programming than knowing a computer language. As well as covering the core language features of C++, this book teaches the skills needed to write truly high quality software. These include topics such as unit tests, debugging, design patterns and data structures. The book teaches everything you need to know to solve realistic financial problems in C++. It can be used for self-study or as a textbook for an advanced undergraduate or master’s level course.

Financial Mathematics For Actuaries (Third Edition)

Wai-sum Chan,Yiu-kuen Tse
Financial Mathematics For Actuaries Third Edition Book PDF

Author : Wai-sum Chan,Yiu-kuen Tse
Publisher : World Scientific
Page : 366 pages
File Size : 47,5 Mb
Release : 2021-09-14
Category : Business & Economics
ISBN : 9789811243295

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Financial Mathematics For Actuaries (Third Edition) by Wai-sum Chan,Yiu-kuen Tse Pdf

This book provides a thorough understanding of the fundamental concepts of financial mathematics essential for the evaluation of any financial product and instrument. Mastering concepts of present and future values of streams of cash flows under different interest rate environments is core for actuaries and financial economists. This book covers the body of knowledge required by the Society of Actuaries (SOA) for its Financial Mathematics (FM) Exam.The third edition includes major changes such as an addition of an 'R Laboratory' section in each chapter, except for Chapter 9. These sections provide R codes to do various computations, which will facilitate students to apply conceptual knowledge. Additionally, key definitions have been revised and the theme structure has been altered. Students studying undergraduate courses on financial mathematics for actuaries will find this book useful. This book offers numerous examples and exercises, some of which are adapted from previous SOA FM Exams. It is also useful for students preparing for the actuarial professional exams through self-study.

Option Valuation

Hugo D. Junghenn
Option Valuation Book PDF

Author : Hugo D. Junghenn
Publisher : CRC Press
Page : 268 pages
File Size : 47,9 Mb
Release : 2011-11-23
Category : Business & Economics
ISBN : 9781439889114

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Option Valuation by Hugo D. Junghenn Pdf

Option Valuation: A First Course in Financial Mathematics provides a straightforward introduction to the mathematics and models used in the valuation of financial derivatives. It examines the principles of option pricing in detail via standard binomial and stochastic calculus models. Developing the requisite mathematical background as needed, the text presents an introduction to probability theory and stochastic calculus suitable for undergraduate students in mathematics, economics, and finance. The first nine chapters of the book describe option valuation techniques in discrete time, focusing on the binomial model. The author shows how the binomial model offers a practical method for pricing options using relatively elementary mathematical tools. The binomial model also enables a clear, concrete exposition of fundamental principles of finance, such as arbitrage and hedging, without the distraction of complex mathematical constructs. The remaining chapters illustrate the theory in continuous time, with an emphasis on the more mathematically sophisticated Black-Scholes-Merton model. Largely self-contained, this classroom-tested text offers a sound introduction to applied probability through a mathematical finance perspective. Numerous examples and exercises help students gain expertise with financial calculus methods and increase their general mathematical sophistication. The exercises range from routine applications to spreadsheet projects to the pricing of a variety of complex financial instruments. Hints and solutions to odd-numbered problems are given in an appendix and a full solutions manual is available for qualifying instructors.

Introduction to the Mathematics of Finance

R. J. Williams
Introduction to the Mathematics of Finance Book PDF

Author : R. J. Williams
Publisher : American Mathematical Society
Page : 162 pages
File Size : 42,8 Mb
Release : 2021-09-14
Category : Mathematics
ISBN : 9781470460389

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Introduction to the Mathematics of Finance by R. J. Williams Pdf

The modern subject of mathematical finance has undergone considerable development, both in theory and practice, since the seminal work of Black and Scholes appeared a third of a century ago. This book is intended as an introduction to some elements of the theory that will enable students and researchers to go on to read more advanced texts and research papers. The book begins with the development of the basic ideas of hedging and pricing of European and American derivatives in the discrete (i.e., discrete time and discrete state) setting of binomial tree models. Then a general discrete finite market model is introduced, and the fundamental theorems of asset pricing are proved in this setting. Tools from probability such as conditional expectation, filtration, (super)martingale, equivalent martingale measure, and martingale representation are all used first in this simple discrete framework. This provides a bridge to the continuous (time and state) setting, which requires the additional concepts of Brownian motion and stochastic calculus. The simplest model in the continuous setting is the famous Black-Scholes model, for which pricing and hedging of European and American derivatives are developed. The book concludes with a description of the fundamental theorems for a continuous market model that generalizes the simple Black-Scholes model in several directions.

Convex Duality and Financial Mathematics

Peter Carr,Qiji Jim Zhu
Convex Duality and Financial Mathematics Book PDF

Author : Peter Carr,Qiji Jim Zhu
Publisher : Springer
Page : 152 pages
File Size : 55,7 Mb
Release : 2018-07-18
Category : Mathematics
ISBN : 9783319924922

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Convex Duality and Financial Mathematics by Peter Carr,Qiji Jim Zhu Pdf

This book provides a concise introduction to convex duality in financial mathematics. Convex duality plays an essential role in dealing with financial problems and involves maximizing concave utility functions and minimizing convex risk measures. Recently, convex and generalized convex dualities have shown to be crucial in the process of the dynamic hedging of contingent claims. Common underlying principles and connections between different perspectives are developed; results are illustrated through graphs and explained heuristically. This book can be used as a reference and is aimed toward graduate students, researchers and practitioners in mathematics, finance, economics, and optimization. Topics include: Markowitz portfolio theory, growth portfolio theory, fundamental theorem of asset pricing emphasizing the duality between utility optimization and pricing by martingale measures, risk measures and its dual representation, hedging and super-hedging and its relationship with linear programming duality and the duality relationship in dynamic hedging of contingent claims

Financial Mathematics

Andrea Pascucci,Wolfgang J. Runggaldier
Financial Mathematics Book PDF

Author : Andrea Pascucci,Wolfgang J. Runggaldier
Publisher : Springer Science & Business Media
Page : 294 pages
File Size : 48,5 Mb
Release : 2012-04-05
Category : Mathematics
ISBN : 8847025389

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Financial Mathematics by Andrea Pascucci,Wolfgang J. Runggaldier Pdf

With the Bologna Accords a bachelor-master-doctor curriculum has been introduced in various countries with the intention that students may enter the job market already at the bachelor level. Since financial Institutions provide non negligible job opportunities also for mathematicians, and scientists in general, it appeared to be appropriate to have a financial mathematics course already at the bachelor level in mathematics. Most mathematical techniques in use in financial mathematics are related to continuous time models and require thus notions from stochastic analysis that bachelor students do in general not possess. Basic notions and methodologies in use in financial mathematics can however be transmitted to students also without the technicalities from stochastic analysis by using discrete time (multi-period) models for which general notions from Probability suffice and these are generally familiar to students not only from science courses, but also from economics with quantitative curricula. There do not exists many textbooks for multi-period models and the present volume is intended to fill in this gap. It deals with the basic topics in financial mathematics and, for each topic, there is a theoretical section and a problem section. The latter includes a great variety of possible problems with complete solution.

Informal Introduction To Stochastic Calculus With Applications, An (Second Edition)

Ovidiu Calin
Informal Introduction To Stochastic Calculus With Applications An Second Edition Book PDF

Author : Ovidiu Calin
Publisher : World Scientific
Page : 510 pages
File Size : 49,7 Mb
Release : 2021-11-15
Category : Mathematics
ISBN : 9789811247118

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Informal Introduction To Stochastic Calculus With Applications, An (Second Edition) by Ovidiu Calin Pdf

Most branches of science involving random fluctuations can be approached by Stochastic Calculus. These include, but are not limited to, signal processing, noise filtering, stochastic control, optimal stopping, electrical circuits, financial markets, molecular chemistry, population dynamics, etc. All these applications assume a strong mathematical background, which in general takes a long time to develop. Stochastic Calculus is not an easy to grasp theory, and in general, requires acquaintance with the probability, analysis and measure theory.The goal of this book is to present Stochastic Calculus at an introductory level and not at its maximum mathematical detail. The author's goal was to capture as much as possible the spirit of elementary deterministic Calculus, at which students have been already exposed. This assumes a presentation that mimics similar properties of deterministic Calculus, which facilitates understanding of more complicated topics of Stochastic Calculus.The second edition contains several new features that improved the first edition both qualitatively and quantitatively. First, two more chapters have been added, Chapter 12 and Chapter 13, dealing with applications of stochastic processes in Electrochemistry and global optimization methods.This edition contains also a final chapter material containing fully solved review problems and provides solutions, or at least valuable hints, to all proposed problems. The present edition contains a total of about 250 exercises.This edition has also improved presentation from the first edition in several chapters, including new material.