Description: The Mathematics of Financial Derivatives A Student Introduction The authors describe the modelling of financial derivative products from an applied mathematician's viewpoint. Paul Wilmott (Author), Sam Howison (Author), Jeff Dewynne (Author) 9780521497893, Cambridge University Press Paperback / softback, published 29 September 1995 336 pages 22.9 x 15.2 x 1.8 cm, 0.45 kg 'The book is pleasantly readable and gives a good introduction.' C. Praagman, ITW Nieuws Finance is one of the fastest growing areas in the modern banking and corporate world. This, together with the sophistication of modern financial products, provides a rapidly growing impetus for new mathematical models and modern mathematical methods; the area is an expanding source for novel and relevant 'real-world' mathematics. In this book the authors describe the modelling of financial derivative products from an applied mathematician's viewpoint, from modelling through analysis to elementary computation. A unified approach to modelling derivative products as partial differential equations is presented, using numerical solutions where appropriate. Some mathematics is assumed, but clear explanations are provided for material beyond elementary calculus, probability, and algebra. Over 140 exercises are included. This volume will become the standard introduction to this exciting new field for advanced undergraduate students. Part I. Basic Option Theory: 1. An introduction to options and markets 2. Asset price random walks 3. The Black-Scholes model 4. Partial differential equations 5. The Black–Scholes formulae 6. Variations on the Black-Scholes model 7. American options Part II. Numerical Methods: 8. Finite-difference methods 9. Methods for American options 10. Binomial methods Part III. Further Option Theory: 11. Exotic and path-dependent options 12. Barrier options 13. A unifying framework for path-dependent options 14. Asian options 15. Lookback options 16. Options with transaction costs Part IV. Interest Rate Derivative Products: 17. Interest rate derivatives 18. Convertible bonds Hints to selected exercises Bibliography Index. Subject Areas: Mathematical modelling [PBWH], Finance [KFF]
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BIC Subject Area 1: Mathematical modelling [PBWH]
BIC Subject Area 2: Finance [KFF]
Book Title: The Mathematics of Financial Derivatives
ISBN: 0521497892
Publication Date: 29/09/1995
Item Depth: 18
Number of Pages: 336 Pages
Language: English
Publication Name: The Mathematics of Financial Derivatives: a Student Introduction
Publisher: Cambridge University Press
Publication Year: 1995
Subject: Finance, Mathematics
Item Height: 229 mm
Item Weight: 450 g
Type: Textbook
Author: Sam Howison, Paul Wilmott, Jeff Dewynne
Item Width: 152 mm
Format: Paperback
