The Mathematics Of Financial Models

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The Mathematics of Financial Models

Kannoo Ravindran
The Mathematics of Financial Models Book PDF

Author : Kannoo Ravindran
Publisher : John Wiley & Sons
Page : 352 pages
File Size : 46,8 Mb
Release : 2014-08-18
Category : Business & Economics
ISBN : 9781118235522

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The Mathematics of Financial Models by Kannoo Ravindran Pdf

Learn how quantitative models can help fight client problems head-on Before financial problems can be solved, they need to be fully understood. Since in-depth quantitative modeling techniques are a powerful tool to understanding the drivers associated with financial problems, one would need a solid grasp of these techniques before being able to unlock their full potential of the methods used. In The Mathematics of Financial Models, the author presents real world solutions to the everyday problems facing financial professionals. With interactive tools such as spreadsheets for valuation, pricing, and modeling, this resource combines highly mathematical quantitative analysis with useful, practical methodologies to create an essential guide for investment and risk-management professionals facing modeling issues in insurance, derivatives valuation, and pension benefits, among others. In addition to this, this resource also provides the relevant tools like matrices, calculus, statistics and numerical analysis that are used to build the quantitative methods used. Financial analysts, investment professionals, risk-management professionals, and graduate students will find applicable information throughout the book, and gain from the self-study exercises and the refresher course on key mathematical topics. Equipped with tips and information, The Mathematics of Financial Models Provides practical methodologies based on mathematical quantitative analysis to help analysts, investment and risk-management professionals better navigate client issues Contains interactive tools that demonstrate the power of analysis and modeling Helps financial professionals become more familiar with the challenges across a range of industries Includes a mathematics refresher course and plenty of exercises to get readers up to speed The Mathematics of Financial Models is an in-depth guide that helps readers break through common client financial problems and emerge with clearer strategies for solving issues in the future.

The Mathematics of Financial Modeling and Investment Management

Sergio M. Focardi,Frank J. Fabozzi, CFA
The Mathematics of Financial Modeling and Investment Management Book PDF

Author : Sergio M. Focardi,Frank J. Fabozzi, CFA
Publisher : John Wiley & Sons
Page : 804 pages
File Size : 40,7 Mb
Release : 2004-03-29
Category : Business & Economics
ISBN : 0471465992

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The Mathematics of Financial Modeling and Investment Management by Sergio M. Focardi,Frank J. Fabozzi, CFA Pdf

the mathematics of financial modeling & investment management The Mathematics of Financial Modeling & Investment Management covers a wide range of technical topics in mathematics and finance-enabling the investment management practitioner, researcher, or student to fully understand the process of financial decision-making and its economic foundations. This comprehensive resource will introduce you to key mathematical techniques-matrix algebra, calculus, ordinary differential equations, probability theory, stochastic calculus, time series analysis, optimization-as well as show you how these techniques are successfully implemented in the world of modern finance. Special emphasis is placed on the new mathematical tools that allow a deeper understanding of financial econometrics and financial economics. Recent advances in financial econometrics, such as tools for estimating and representing the tails of the distributions, the analysis of correlation phenomena, and dimensionality reduction through factor analysis and cointegration are discussed in depth. Using a wealth of real-world examples, Focardi and Fabozzi simultaneously show both the mathematical techniques and the areas in finance where these techniques are applied. They also cover a variety of useful financial applications, such as: * Arbitrage pricing * Interest rate modeling * Derivative pricing * Credit risk modeling * Equity and bond portfolio management * Risk management * And much more Filled with in-depth insight and expert advice, The Mathematics of Financial Modeling & Investment Management clearly ties together financial theory and mathematical techniques.

The Mathematics of Finance

Victor Goodman,Joseph Gail Stampfli
The Mathematics of Finance Book PDF

Author : Victor Goodman,Joseph Gail Stampfli
Publisher : American Mathematical Soc.
Page : 274 pages
File Size : 49,6 Mb
Release : 2009
Category : Capital market
ISBN : 9780821847930

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The Mathematics of Finance by Victor Goodman,Joseph Gail Stampfli Pdf

The book begins with binomial stock price models, moves on to multistage models, then to the Cox-Ross-Rubinstein option pricing process, and then to the Black-Scholes formula. Other topics presented include Zero Coupon Bonds, forward rates, the yield curve, and several bond price models. The book continues with foreign exchange models and the Keynes Interest Rate Parity Formula, and concludes with the study of country risk, a topic not inappropriate for the times."--pub. desc.

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 : 47,5 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].

Stochastic Financial Models

Douglas Kennedy
Stochastic Financial Models Book PDF

Author : Douglas Kennedy
Publisher : CRC Press
Page : 264 pages
File Size : 53,7 Mb
Release : 2016-04-19
Category : Business & Economics
ISBN : 9781439882719

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Stochastic Financial Models by Douglas Kennedy Pdf

Filling the void between surveys of the field with relatively light mathematical content and books with a rigorous, formal approach to stochastic integration and probabilistic ideas, Stochastic Financial Models provides a sound introduction to mathematical finance. The author takes a classical applied mathematical approach, focusing on calculations

Martingale Methods in Financial Modelling

Marek Musiela
Martingale Methods in Financial Modelling Book PDF

Author : Marek Musiela
Publisher : Springer Science & Business Media
Page : 521 pages
File Size : 41,7 Mb
Release : 2013-06-29
Category : Mathematics
ISBN : 9783662221327

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Martingale Methods in Financial Modelling by Marek Musiela Pdf

A comprehensive and self-contained treatment of the theory and practice of option pricing. The role of martingale methods in financial modeling is exposed. The emphasis is on using arbitrage-free models already accepted by the market as well as on building the new ones. Standard calls and puts together with numerous examples of exotic options such as barriers and quantos, for example on stocks, indices, currencies and interest rates are analysed. The importance of choosing a convenient numeraire in price calculations is explained. Mathematical and financial language is used so as to bring mathematicians closer to practical problems of finance and presenting to the industry useful maths tools.

Encyclopedia of Financial Models

Frank J. Fabozzi
Encyclopedia of Financial Models Book PDF

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 3180 pages
File Size : 50,8 Mb
Release : 2012-10-15
Category : Business & Economics
ISBN : 9781118539958

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Encyclopedia of Financial Models by Frank J. Fabozzi Pdf

An essential reference dedicated to a wide array of financial models, issues in financial modeling, and mathematical and statistical tools for financial modeling The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models, 3 Volume Set has been created to help a broad spectrum of individuals—ranging from finance professionals to academics and students—understand financial modeling and make use of the various models currently available. Incorporating timely research and in-depth analysis, the Encyclopedia of Financial Models is an informative 3-Volume Set that covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this set includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of three separate volumes and 127 entries—touching on everything from asset pricing and bond valuation models to trading cost models and volatility—and provides readers with a balanced understanding of today's dynamic world of financial modeling. Frank Fabozzi follows up his successful Handbook of Finance with another major reference work, The Encyclopedia of Financial Models Covers the two major topical areas: asset valuation for cash and derivative instruments, and portfolio modeling Fabozzi explores the critical background tools from mathematics, probability theory, statistics, and operations research needed to understand these complex models Organized alphabetically by category, this book gives readers easy and quick access to specific topics sorted by an applicable category among them Asset Allocation, Credit Risk Modeling, Statistical Tools 3 Volumes onlinelibrary.wiley.com Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and this 3-Volume Set will help put them in perspective.

Financial Modelling with Jump Processes

Peter Tankov
Financial Modelling with Jump Processes Book PDF

Author : Peter Tankov
Publisher : CRC Press
Page : 552 pages
File Size : 52,7 Mb
Release : 2003-12-30
Category : Business & Economics
ISBN : 9781135437947

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Financial Modelling with Jump Processes by Peter Tankov Pdf

WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic

Financial Modeling Under Non-Gaussian Distributions

Eric Jondeau,Ser-Huang Poon,Michael Rockinger
Financial Modeling Under Non Gaussian Distributions Book PDF

Author : Eric Jondeau,Ser-Huang Poon,Michael Rockinger
Publisher : Springer Science & Business Media
Page : 541 pages
File Size : 41,7 Mb
Release : 2007-04-05
Category : Mathematics
ISBN : 9781846286964

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Financial Modeling Under Non-Gaussian Distributions by Eric Jondeau,Ser-Huang Poon,Michael Rockinger Pdf

This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.

Mathematical Models of Financial Derivatives

Yue-Kuen Kwok
Mathematical Models of Financial Derivatives Book PDF

Author : Yue-Kuen Kwok
Publisher : Springer Science & Business Media
Page : 530 pages
File Size : 45,5 Mb
Release : 2008-07-10
Category : Mathematics
ISBN : 9783540686880

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Mathematical Models of Financial Derivatives by Yue-Kuen Kwok Pdf

This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.

The Mathematics of Financial Models

Kannoo Ravindran
The Mathematics of Financial Models Book PDF

Author : Kannoo Ravindran
Publisher : John Wiley & Sons
Page : 344 pages
File Size : 55,5 Mb
Release : 2014-09-02
Category : Business & Economics
ISBN : 9781118004616

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The Mathematics of Financial Models by Kannoo Ravindran Pdf

Learn how quantitative models can help fight client problems head-on Before financial problems can be solved, they need to be fully understood. Since in-depth quantitative modeling techniques are a powerful tool to understanding the drivers associated with financial problems, one would need a solid grasp of these techniques before being able to unlock their full potential of the methods used. In The Mathematics of Financial Models, the author presents real world solutions to the everyday problems facing financial professionals. With interactive tools such as spreadsheets for valuation, pricing, and modeling, this resource combines highly mathematical quantitative analysis with useful, practical methodologies to create an essential guide for investment and risk-management professionals facing modeling issues in insurance, derivatives valuation, and pension benefits, among others. In addition to this, this resource also provides the relevant tools like matrices, calculus, statistics and numerical analysis that are used to build the quantitative methods used. Financial analysts, investment professionals, risk-management professionals, and graduate students will find applicable information throughout the book, and gain from the self-study exercises and the refresher course on key mathematical topics. Equipped with tips and information, The Mathematics of Financial Models Provides practical methodologies based on mathematical quantitative analysis to help analysts, investment and risk-management professionals better navigate client issues Contains interactive tools that demonstrate the power of analysis and modeling Helps financial professionals become more familiar with the challenges across a range of industries Includes a mathematics refresher course and plenty of exercises to get readers up to speed The Mathematics of Financial Models is an in-depth guide that helps readers break through common client financial problems and emerge with clearer strategies for solving issues in the future.

Advanced Mathematical Methods for Finance

Julia Di Nunno,Bernt Øksendal
Advanced Mathematical Methods for Finance Book PDF

Author : Julia Di Nunno,Bernt Øksendal
Publisher : Springer Science & Business Media
Page : 532 pages
File Size : 49,9 Mb
Release : 2011-03-29
Category : Mathematics
ISBN : 9783642184123

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Advanced Mathematical Methods for Finance by Julia Di Nunno,Bernt Øksendal Pdf

This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.

Financial Modeling

Stephane Crepey
Financial Modeling Book PDF

Author : Stephane Crepey
Publisher : Springer Science & Business Media
Page : 464 pages
File Size : 46,6 Mb
Release : 2013-06-13
Category : Computers
ISBN : 9783642371134

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Financial Modeling by Stephane Crepey Pdf

Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. Although BSDEs are well known to academics, they are less familiar to practitioners in the financial industry. In order to fill this gap, this book revisits financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes. It also contains a review of quantitative finance tools, including Fourier techniques, Monte Carlo methods, finite differences and model calibration schemes. With a view to use in graduate courses in computational finance and financial modeling, corrected problem sets and Matlab sheets have been provided. Stéphane Crépey’s book starts with a few chapters on classical stochastic processes material, and then... fasten your seatbelt... the author starts traveling backwards in time through backward stochastic differential equations (BSDEs). This does not mean that one has to read the book backwards, like a manga! Rather, the possibility to move backwards in time, even if from a variety of final scenarios following a probability law, opens a multitude of possibilities for all those pricing problems whose solution is not a straightforward expectation. For example, this allows for framing problems like pricing with credit and funding costs in a rigorous mathematical setup. This is, as far as I know, the first book written for several levels of audiences, with applications to financial modeling and using BSDEs as one of the main tools, and as the song says: "it's never as good as the first time". Damiano Brigo, Chair of Mathematical Finance, Imperial College London While the classical theory of arbitrage free pricing has matured, and is now well understood and used by the finance industry, the theory of BSDEs continues to enjoy a rapid growth and remains a domain restricted to academic researchers and a handful of practitioners. Crépey’s book presents this novel approach to a wider community of researchers involved in mathematical modeling in finance. It is clearly an essential reference for anyone interested in the latest developments in financial mathematics. Marek Musiela, Deputy Director of the Oxford-Man Institute of Quantitative Finance

Encyclopedia of Financial Models, Volume I

Frank J. Fabozzi
Encyclopedia of Financial Models Volume I Book PDF

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 1137 pages
File Size : 55,7 Mb
Release : 2012-09-26
Category : Business & Economics
ISBN : 9781118539859

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Encyclopedia of Financial Models, Volume I by Frank J. Fabozzi Pdf

Volume 1 of the Encyclopedia of Financial Models The need for serious coverage of financial modeling has never been greater, especially with the size, diversity, and efficiency of modern capital markets. With this in mind, the Encyclopedia of Financial Models has been created to help a broad spectrum of individuals ranging from finance professionals to academics and students understand financial modeling and make use of the various models currently available. Incorporating timely research and in-depth analysis, Volume 1 of the Encyclopedia of Financial Models covers both established and cutting-edge models and discusses their real-world applications. Edited by Frank Fabozzi, this volume includes contributions from global financial experts as well as academics with extensive consulting experience in this field. Organized alphabetically by category, this reliable resource consists of thirty-nine informative entries and provides readers with a balanced understanding of today's dynamic world of financial modeling. Volume 1 addresses Asset Pricing Models, Bayesian Analysis and Financial Modeling Applications, Bond Valuation Modeling, Credit Risk Modeling, and Derivatives Valuation Emphasizes both technical and implementation issues, providing researchers, educators, students, and practitioners with the necessary background to deal with issues related to financial modeling The 3-Volume Set contains coverage of the fundamentals and advances in financial modeling and provides the mathematical and statistical techniques needed to develop and test financial models Financial models have become increasingly commonplace, as well as complex. They are essential in a wide range of financial endeavors, and the Encyclopedia of Financial Models will help put them in perspective.

Stochastic Models of Financial Mathematics

Vigirdas Mackevicius
Stochastic Models of Financial Mathematics Book PDF

Author : Vigirdas Mackevicius
Publisher : Elsevier
Page : 130 pages
File Size : 53,6 Mb
Release : 2016-11-08
Category : Mathematics
ISBN : 9780081020869

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Stochastic Models of Financial Mathematics by Vigirdas Mackevicius Pdf

This book presents a short introduction to continuous-time financial models. An overview of the basics of stochastic analysis precedes a focus on the Black-Scholes and interest rate models. Other topics covered include self-financing strategies, option pricing, exotic options and risk-neutral probabilities. Vasicek, Cox-Ingersoll-Ross, and Heath-Jarrow-Morton interest rate models are also explored. The author presents practitioners with a basic introduction, with more rigorous information provided for mathematicians. The reader is assumed to be familiar with the basics of probability theory. Some basic knowledge of stochastic integration and differential equations theory is preferable, although all preliminary information is given in the first part of the book. Some relatively simple theoretical exercises are also provided. About continuous-time stochastic models of financial mathematics Black-Sholes model and interest rate models Requiring a minimum knowledge of stochastic integration and stochastic differential equations