Bridge the gap between theory and practice. Designed to bridge the gap between theory and practice, this introductory text on the futures and options markets is ideal for those with a limited backgrou
An ideal introduction for those starting out as practitioners of mathematical finance, this book provides a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice. Strengths and weaknesses of different models, e.g. Black–Scholes, stochastic volatility, jump-diffusion and variance gamma, are examined. Both the theory and the implementation of the industry-standard LIBOR market model are considered in detail. Each pricing problem is approached using multiple techniques including the well-known PDE and martingale approaches. This second edition contains many more worked examples and over 200 exercises with detailed solutions. Extensive appendices provide a guide to jargon, a recap of the elements of probability theory, and a collection of computer projects. The author brings to this book a blend of practical experience and rigorous mathematical background and supplies here the working knowledge needed to b
Derivatives Algorithms provides a unique expert overview of the abstractions and coding methods which support real-world derivatives trading. Written by an industry professional with extensive experie
To be financially literate in today’s market, one must have a solid understanding of derivatives concepts and instruments and the uses of those instruments in corporations. The Third Edition has an a
In recent years, complex financial products - such as asset-backed securities, derivatives, credit-default swaps, and collateralised debt obligations - have proliferated in developing countries. These
From basic to exotic options, this volume describes accurate and efficient numerical solutions to the options pricing problem. It presents state-of-the-art developments in option pricing along with di
This book covers fundamental concepts in financial markets and asset pricing such as hedging, arbitrage, speculation in different markets, classical models for pricing of simple and complex derivative
Calculus Without Derivatives expounds the foundations and recent advances in nonsmooth analysis, a powerful compound of mathematical tools that obviates the usual smoothness assumptions. This textbook
Derivatives and Development engages recent efforts to deploy derivatives as tools for economic development. Even as these complex financial instruments are indicted for their role in the global food a
Seventeen chapters presented by Batten (Hong Kong U. of Science & Technology, China) and Wagner (U. of Passau, Germany) examine the link between financial derivatives and the role they play in man
The first swap was executed over thirty years ago. Since then, the interest rate swaps and other derivative markets have grown and diversified in phenomenal directions. Derivatives are used today by a
