Computational Financial Mathematics Using Mathematica(r): Optimal Trading in Stocks and Options

ISBN-13: 9780817641979 / Angielski / Twarda / 2002 / 481 str.

Srdjan Stojanovic

Opis

This book provides a beautiful overview of what mathematics and Mathematica can do for finance. Sophisticated theories are presented in a rigorous but user-friendly, practical style, which, with the programming capabilities of Mathematica, help the reader develop good intuition in real trading. Key features: * quick introduction toMathematica provided;* minimal prerequisites: good understanding of calculus and some differential equations;* a highly original presentation of optimal portfolio diversification;* supplementary Mathematica files available for download at http: //extras.springer.com/2003/978-0-8176-4197-9/. The book is designed for instructors and students, and most importantly, will meet the everyday trading needs of the professional---the analytically inclined individual investor who wants to solve various problems encountered when investing and trading in stocks and stock options."

Recenzje

"Stojanovic offers an excellent, user-friendly presentation of advanced mathematical techniques and Mathematica programming for solving problems in finance and trading. He demonstrates the value of probability, mathematical statistics, calculus of variations, and optimal control of stochastic, ordinary and partial differential equations to the study of market analysis. Solutions are computed symbolically, numerically, or by means of Monte-Carlo simulations.... A very useful and valuable book for researchers, students, professionals, and individual investors." -Choice

"It is an innovative approach and is very useful for students and practitioners in finance to learn how to use mathematics for investment analysis." -Mathematical Reviews

"This book is a state-of-the-art introduction to the mathematics of computational finance. The author reviews and extends several recent breakthroughs and also provides new material, which is highly recommended. The novel use of Mathematica enhances the learning experience by letting the reader focus on the essential ideas. I thoroughly recommend this book to both students and practitioners." -Peter Carr, Courant Institute, New York University

Spis treści

Preface * Cash Account Evolution * Stock Price Evolution * European Style Stock Options * Stock Market Statistics * Implied Volatility for European Options * American Style Stock Options * Optimal Portfolio Rules * Advanced Trading Strategies * Bibliography * Index