Problems and Solutions in Mathematical Finance: Equity Derivatives, Volume 2 (The Wiley Finance Series)

De (autor) , ,
Notă GoodReads:
en Limba Engleză Carte Hardback – 03 Feb 2017
Detailed guidance on the mathematics behind equity derivatives Problems and Solutions in Mathematical Finance Volume II is an innovative reference for quantitative practitioners and students, providing guidance through a range of mathematical problems encountered in the finance industry. This volume focuses solely on equity derivatives problems, beginning with basic problems in derivatives securities before moving on to more advanced applications, including the construction of volatility surfaces to price exotic options. By providing a methodology for solving theoretical and practical problems, whilst explaining the limitations of financial models, this book helps readers to develop the skills they need to advance their careers. The text covers a wide range of derivatives pricing, such as European, American, Asian, Barrier and other exotic options. Extensive appendices provide a summary of important formulae from calculus, theory of probability, and differential equations, for the convenience of readers.
As Volume II of the four–volume Problems and Solutions in Mathematical Finance series, this book provides clear explanation of the mathematics behind equity derivatives, in order to help readers gain a deeper understanding of their mechanics and a firmer grasp of the calculations.
  • Review the fundamentals of equity derivatives
  • Work through problems from basic securities to advanced exotics pricing
  • Examine numerical methods and detailed derivations of closed–form solutions
  • Utilise formulae for probability, differential equations, and more
Mathematical finance relies on mathematical models, numerical methods, computational algorithms and simulations to make trading, hedging, and investment decisions. For the practitioners and graduate students of quantitative finance, Problems and Solutions in Mathematical Finance Volume II provides essential guidance principally towards the subject of equity derivatives.
Citește tot Restrânge
Toate formatele și edițiile
Toate formatele și edițiile Preț Express
Carte Hardback (2) 23515 lei  Economic 19-31 zile
  Wiley – 10 Oct 2014 23515 lei  Economic 19-31 zile
  Wiley – 03 Feb 2017 33860 lei  Economic 19-31 zile +8933 lei  9-13 zile

Din seria The Wiley Finance Series

Preț: 33860 lei

Preț vechi: 37209 lei

Puncte Express: 508

Preț estimativ în valută:
6913 8522$ 6049£

Carte disponibilă

Livrare economică 13-25 aprilie
Livrare express 03-07 aprilie pentru 9932 lei

Preluare comenzi: 021 569.72.76


ISBN-13: 9781119965824
ISBN-10: 1119965829
Pagini: 856
Dimensiuni: 178 x 246 x 50 mm
Greutate: 1.57 kg
Ediția: 2. Auflage.
Editura: Wiley
Seria The Wiley Finance Series

Locul publicării: Chichester, United Kingdom

Public țintă

Quantitative analysts, both experienced and those new to the industry, front office risk managers and traders, final year students

Textul de pe ultima copertă

Problems and Solutions in Mathematical Finance
Equity Derivatives
Eric Chin, Dian Nel and Sverrir Ólafsson
The quantitative methods required for the pricing and hedging of a range of financial securities are drawn from mathematical finance, an important and rapidly growing discipline. In an increasingly complex financial world, the role of mathematical finance is indispensable. It follows that successful financial engineers or quants need to have an excellent grasp of all the major technicalities of mathematical finance to master its diverse applications in the financial industry.
Problems and Solutions in Mathematical Finance Volume 2: Equity Derivatives is the second of a four–volume set of books focusing on problems and solutions in mathematical finance.
The first volume in the series introduced the reader to all the important concepts in probability and stochastic calculus. The second volume covers a broad area of equity derivative contracts, ranging from vanilla options to various more complex options such as time dependent American, compound, barrier and volatility options. The theoretical presentation and its effective integration with a wide range of problems is clear and to the point. This approach brings the student quickly to the forefront of the modern practice of mathematical finance.
This series is unique as it provides the student with rigorous but yet intuitive explanations of some highly technical material further deepened by extensive real–world examples.
Written mainly for students, industry practitioners and those involved in teaching in this field of study, Equity Derivatives provides a valuable reference book to complement one′s further understanding of mathematical finance.


Preface ix
About the Authors xi
1 Basic Equity Derivatives Theory 1
1.1 Introduction 1
1.2 Problems and Solutions 8
1.2.1 Forward and Futures Contracts 8
1.2.2 Options Theory 15
1.2.3 Hedging Strategies 27
2 European Options 63
2.1 Introduction 63
2.2 Problems and Solutions 74
2.2.1 Basic Properties 74
2.2.2 Black Scholes Model 89
2.2.3 Tree–Based Methods 190
2.2.4 The Greeks 218
3 American Options 267
3.1 Introduction 267
3.2 Problems and Solutions 271
3.2.1 Basic Properties 271
3.2.2 Time–Independent Options 292
3.2.3 Time–Dependent Options 305
4 Barrier Options 351
4.1 Introduction 351
4.2 Problems and Solutions 357
4.2.1 Probabilistic Approach 357
4.2.2 Reflection Principle Approach 386
4.2.3 Further Barrier–Style Options 408
5 Asian Options 439
5.1 Introduction 439
5.2 Problems and Solutions 443
5.2.1 Discrete Sampling 443
5.2.2 Continuous Sampling 480
6 Exotic Options 531
6.1 Introduction 531
6.2 Problems and Solutions 532
6.2.1 Path–Independent Options 532
6.2.2 Path–Dependent Options 586
7 Volatility Models 647
7.1 Introduction 647
7.2 Problems and Solutions 652
7.2.1 Historical and Implied Volatility 652
7.2.2 Local Volatility 685
7.2.3 Stochastic Volatility 710
7.2.4 Volatility Derivatives 769
A Mathematics Formulae 787
B Probability Theory Formulae 797
C Differential Equations Formulae 813
Bibliography 821
Notation 825
Index 829

Notă biografică

Eric Chin is a quantitative analyst at an investment bank in the City of London where he is involved in providing guidance on price testing methodologies and their implementation, formulating model calibration and model appropriateness on commodity and credit products. Prior to joining the banking industry he worked as a senior researcher at British Telecom investigating radio spectrum trading and risk management within the telecommunications sector. Eric Chin holds an MSc in Applied Statistics and an MSc in Mathematical Finance both from University of Oxford. He also holds a PhD in Mathematics from University of Dundee.
Dian Nel has more than 10 years of experience in the commodities sector. He currently works in the City of London where he specialises in oil and gas markets. He holds a BEng in Electrical and Electronic Engineering from StellenboschUniversity and an MSc in Mathematical Finance from ChristChurch, OxfordUniversity. He is a Chartered Engineer registered with the Engineering Council UK.
Sverrir Olafsson is Professor of Financial Mathematics at Reykjavik University; a Visiting Professor at QueenMaryUniversity, London and a director of Riskcon Ltd, a UK based risk management consultancy. Previously he was a Chief Researcher at BT Research and held academic positions at The Mathematical Departments of Kings College, London; UMIST Manchester and The University of Southampton. Dr Olafsson is the author of over 95 refereed academic papers and has been a key note speaker at numerous international conferences and seminars. He is on the editorial board of three international journals. He has provided an extensive consultancy on financial risk management and given numerous specialist seminars to finance specialists. In the last five years his main teaching has been MSc courses on Risk Management, Fixed Income, and Mathematical Finance.
Dr Olafsson has an MSc and PhD in mathematical physics from the Universities of Tübingen and Karlsruhe respectively.