Mathematics And Tools For Financial Engineering

Author : Petros A. Ioannou
Publisher : SIAM
Page : 294 pages
File Size : 45,7 Mb
Release : 2021-09-07
Category : Mathematics
ISBN : 9781611976762

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Mathematics and Tools for Financial Engineering by Petros A. Ioannou Pdf

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 : Marek Capiński,Tomasz Zastawniak
Publisher : Springer
Page : 336 pages
File Size : 51,9 Mb
Release : 2011-04-08
Category : Mathematics
ISBN : 0857290835

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Mathematics for Finance by Marek Capiński,Tomasz Zastawniak Pdf

As with the first edition, Mathematics for Finance: An Introduction to Financial Engineering combines financial motivation with mathematical style. Assuming only basic knowledge of probability and calculus, it presents three major areas of mathematical finance, namely Option pricing based on the no-arbitrage principle in discrete and continuous time setting, Markowitz portfolio optimisation and Capital Asset Pricing Model, and basic stochastic interest rate models in discrete setting. From the reviews of the first edition: ”This text is an excellent introduction to Mathematical Finance. Armed with a knowledge of basic calculus and probability a student can use this book to learn about derivatives, interest rates and their term structure and portfolio management.”(Zentralblatt MATH) ”Given these basic tools, it is surprising how high a level of sophistication the authors achieve, covering such topics as arbitrage-free valuation, binomial trees, and risk-neutral valuation.” (www.riskbook.com) ”The reviewer can only congratulate the authors with successful completion of a difficult task of writing a useful textbook on a traditionally hard topic.” (K. Borovkov, The Australian Mathematical Society Gazette, Vol. 31 (4), 2004)

Author : Marek Capiński,Tomasz Zastawniak
Publisher : Springer
Page : 0 pages
File Size : 51,5 Mb
Release : 2010-11-15
Category : Mathematics
ISBN : 0857290827

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Mathematics for Finance by Marek Capiński,Tomasz Zastawniak Pdf

Mathematics for Finance: An Introduction to Financial Engineering combines financial motivation with mathematical style. Assuming only basic knowledge of probability and calculus, it presents three major areas of mathematical finance, namely Option pricing based on the no-arbitrage principle in discrete and continuous time setting, Markowitz portfolio optimisation and Capital Asset Pricing Model, and basic stochastic interest rate models in discrete setting.

Author : Paul Glasserman
Publisher : Springer Science & Business Media
Page : 603 pages
File Size : 46,6 Mb
Release : 2013-03-09
Category : Mathematics
ISBN : 9780387216171

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Monte Carlo Methods in Financial Engineering by Paul Glasserman Pdf

From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis

Author : Yuh-Dauh Lyuu
Publisher : Cambridge University Press
Page : 654 pages
File Size : 42,8 Mb
Release : 2002
Category : Business & Economics
ISBN : 052178171X

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Financial Engineering and Computation by Yuh-Dauh Lyuu Pdf

A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.

Author : Constantin Zopounidis,Michael Doumpos,Panos M. Pardalos
Publisher : Springer Science & Business Media
Page : 494 pages
File Size : 48,7 Mb
Release : 2010-07-25
Category : Business & Economics
ISBN : 9780387766829

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Handbook of Financial Engineering by Constantin Zopounidis,Michael Doumpos,Panos M. Pardalos Pdf

This comprehensive handbook discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems. The book is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.

Author : Rüdiger Seydel
Publisher : Springer
Page : 336 pages
File Size : 45,6 Mb
Release : 2009-08-29
Category : Business & Economics
ISBN : 3540939326

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Tools for Computational Finance by Rüdiger Seydel Pdf

Tools for Computational Finance offers a clear explanation of computational issues arising in financial mathematics. The new third edition is thoroughly revised and significantly extended, including an extensive new section on analytic methods, focused mainly on interpolation approach and quadratic approximation. Other new material is devoted to risk-neutrality, early-exercise curves, multidimensional Black-Scholes models, the integral representation of options and the derivation of the Black-Scholes equation. New figures, more exercises, and expanded background material make this guide a real must-to-have for everyone working in the world of financial engineering.

Author : Robert Kosowski,Salih N. Neftci
Publisher : Academic Press
Page : 896 pages
File Size : 44,8 Mb
Release : 2014-11-26
Category : Business & Economics
ISBN : 9780123870070

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Principles of Financial Engineering by Robert Kosowski,Salih N. Neftci Pdf

Principles of Financial Engineering, Third 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 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. A solutions manual enhances the text by presenting additional cases and solutions to exercises. 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 Third Edition presents three new chapters on financial engineering in commodity markets, 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, 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 : Philip Barker
Publisher : Springer Science & Business Media
Page : 562 pages
File Size : 47,9 Mb
Release : 2007-05-16
Category : Computers
ISBN : 9781846287411

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Java Methods for Financial Engineering by Philip Barker Pdf

This book describes the principles of model building in financial engineering. It explains those models as designs and working implementations for Java-based applications. The book provides software professionals with an accessible source of numerical methods or ready-to-use code for use in business applications. It is the first book to cover the topic of Java implementations for finance/investment applications and is written specifically to be accessible to software practitioners without prior accountancy/finance training. The book develops a series of packaged classes explained and designed to allow the financial engineer complete flexibility.

Author : Bruno Remillard
Publisher : CRC Press
Page : 499 pages
File Size : 43,5 Mb
Release : 2013-04-05
Category : Business & Economics
ISBN : 9781439856949

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Statistical Methods for Financial Engineering by Bruno Remillard Pdf

While many financial engineering books are available, the statistical aspects behind the implementation of stochastic models used in the field are often overlooked or restricted to a few well-known cases. Statistical Methods for Financial Engineering guides current and future practitioners on implementing the most useful stochastic models used in financial engineering. After introducing properties of univariate and multivariate models for asset dynamics as well as estimation techniques, the book discusses limits of the Black-Scholes model, statistical tests to verify some of its assumptions, and the challenges of dynamic hedging in discrete time. It then covers the estimation of risk and performance measures, the foundations of spot interest rate modeling, Lévy processes and their financial applications, the properties and parameter estimation of GARCH models, and the importance of dependence models in hedge fund replication and other applications. It concludes with the topic of filtering and its financial applications. This self-contained book offers a basic presentation of stochastic models and addresses issues related to their implementation in the financial industry. Each chapter introduces powerful and practical statistical tools necessary to implement the models. The author not only shows how to estimate parameters efficiently, but he also demonstrates, whenever possible, how to test the validity of the proposed models. Throughout the text, examples using MATLAB® illustrate the application of the techniques to solve real-world financial problems. MATLAB and R programs are available on the author’s website.

Author : Rüdiger U. Seydel
Publisher : Springer
Page : 486 pages
File Size : 44,6 Mb
Release : 2017-08-17
Category : Mathematics
ISBN : 9781447173380

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Tools for Computational Finance by Rüdiger U. Seydel Pdf

Computational and numerical methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to anyone working in computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the book goes on to detail computational methods using both stochastic and deterministic approaches. Now in its sixth edition, Tools for Computational Finance has been significantly revised and contains: Several new parts such as a section on extended applications of tree methods, including multidimensional trees, trinomial trees, and the handling of dividends; Additional material in the field of generating normal variates with acceptance-rejection methods, and on Monte Carlo methods; 115 exercises, and more than 100 figures, many in color. Written from the perspective of an applied mathematician, all methods are introduced for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book, enabling readers to explore several areas of the financial world. Interdisciplinary in nature, this book will appeal to advanced undergraduate and graduate students in mathematics, engineering, and other scientific disciplines as well as professionals in financial engineering.

Author : Jürgen Topper
Publisher : John Wiley & Sons
Page : 398 pages
File Size : 50,9 Mb
Release : 2005-04
Category : Business & Economics
ISBN : IND:30000101871543

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Financial Engineering with Finite Elements by Jürgen Topper Pdf

The pricing of derivative instruments has always been a highly complex and time-consuming activity. Advances in technology, however, have enabled much quicker and more accurate pricing through mathematical rather than analytical models. In this book, the author bridges the divide between finance and mathematics by applying this proven mathematical technique to the financial markets. Utilising practical examples, the author systematically describes the processes involved in a manner accessible to those without a deep understanding of mathematics. * Explains little understood techniques that will assist in the accurate more speedy pricing of options * Centres on the practical application of these useful techniques * Offers a detailed and comprehensive account of the methods involved and is the first to explore the application of these particular techniques to the financial markets

Author : Gerasimos G. Rigatos
Publisher : Springer
Page : 310 pages
File Size : 50,9 Mb
Release : 2017-04-04
Category : Technology & Engineering
ISBN : 9783319528663

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State-Space Approaches for Modelling and Control in Financial Engineering by Gerasimos G. Rigatos Pdf

The book conclusively solves problems associated with the control and estimation of nonlinear and chaotic dynamics in financial systems when these are described in the form of nonlinear ordinary differential equations. It then addresses problems associated with the control and estimation of financial systems governed by partial differential equations (e.g. the Black–Scholes partial differential equation (PDE) and its variants). Lastly it an offers optimal solution to the problem of statistical validation of computational models and tools used to support financial engineers in decision making. The application of state-space models in financial engineering means that the heuristics and empirical methods currently in use in decision-making procedures for finance can be eliminated. It also allows methods of fault-free performance and optimality in the management of assets and capitals and methods assuring stability in the functioning of financial systems to be established. Covering the following key areas of financial engineering: (i) control and stabilization of financial systems dynamics, (ii) state estimation and forecasting, and (iii) statistical validation of decision-making tools, the book can be used for teaching undergraduate or postgraduate courses in financial engineering. It is also a useful resource for the engineering and computer science community

Author : Dan Stefanica
Publisher : Unknown
Page : 332 pages
File Size : 40,6 Mb
Release : 2011
Category : Business mathematics
ISBN : 0979757622

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A Primer for the Mathematics of Financial Engineering by Dan Stefanica Pdf

Author : Masaaki Kijima
Publisher : CRC Press
Page : 345 pages
File Size : 45,9 Mb
Release : 2016-04-19
Category : Business & Economics
ISBN : 9781439884843

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Stochastic Processes with Applications to Finance by Masaaki Kijima Pdf

Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools