The mathematics of derivatives tools for designing numerical algorithms
Praise for The Mathematics of Derivatives ""The Mathematics of Derivatives provides a concise pedagogical discussion of both fundamental and very recent developments in mathematical finance, and is particularly well suited for readers with a science or engineering background. It is written...
| Autor principal: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Hoboken, N.J. :
Wiley
c2007.
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| Edición: | 1st edition |
| Colección: | Wiley finance series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627179506719 |
Tabla de Contenidos:
- Introduction to the techniques of derivative modeling
- Preliminary mathematical tools
- Stochastic calculus
- Applications of stochastic calculus to finance
- From stochastic processes formalism to differential equation formalism
- Understanding the Black-Scholes equation
- Interest rate hedging
- Interest rate derivatives : HJM models
- Differential equations, boundary conditions and solutions
- Credit spreads
- Specific models
- Exercises
- Solutions.
