Mathematical Models of Financial Derivatives

ISBN-13: 9783540422884 / Angielski / Twarda / 2008 / 548 str.

Yue-Kuen Kwok

Opis

Objectives and Audience In the past three decades, we have witnessed the phenomenal growth in the trading of ?nancial derivatives and structured products in the ?nancial markets around the globe and the surge in research on derivative pricing theory. Leading ?nancial ins- tutions are hiring graduates with a science background who can use advanced a- lytical and numerical techniques to price ?nancial derivatives and manage portfolio risks, a phenomenon coined as Rocket Science on Wall Street. There are now more than a hundred Master level degreed programs in Financial Engineering/Quantitative Finance/Computational Finance in different continents. This book is written as an - troductory textbook on derivative pricing theory for students enrolled in these degree programs. Another audience of the book may include practitioners in quantitative teams in ?nancial institutions who would like to acquire the knowledge of option pricing techniques and explore the new development in pricing models of exotic structured derivatives. The level of mathematics in this book is tailored to readers with preparation at the advanced undergraduate level of science and engineering - jors, in particular, basic pro?ciencies in probability and statistics, differential eq- tions, numerical methods, and mathematical analysis. Advance knowledge in s- chastic processes that are relevant to the martingale pricing theory, like stochastic differential calculus and theory of martingale, are introduced in this book. The cornerstones of derivative pricing theory are the Black Scholes Merton pricing model and the martingale pricing theory of ?nancial derivatives."

Recenzje

From the reviews of the second edition:

"Mathematical Models of Financial Derivatives is a ... comprehensive collection of known facts and techniques, as well as a methodologically thought-through textbook on derivative pricing in financial markets. The book is written both for a novice who will profit from its numerous and well-conceived exercises, and a practitioner who wants to brush up on finer points of the classical pricing theory behind a specific financial product. ... it will certainly attract many a non-mathematician with an interest in quantitative methods in finance ... ." (Gordan Zitkovic, The Mathematical Association of America, March, 2009)

"This book is written mainly as a textbook of modeling on derivative pricing theory for the students in financial engineering, computational finance etc. It provides basic knowledge of mathematical theory and applications of the financial derivatives. ... This book can also be used as an Instructor's Manual of reference of those in financial institutions." (Gong Guanglu, Zentralblatt MATH, Vol. 1146, 2008)

Spis treści

to Derivative Instruments.- Financial Economics and Stochastic Calculus.- Option Pricing Models: Black–Scholes–Merton Formulation and Martingale Pricing Theory.- Path Dependent Options.- American Options.- Numerical Schemes for Pricing Options.- Interest Rate Models and Bond Pricing.- Interest Rate Derivatives: Bond Options, LIBOR and Swap Products.

O autorze

Yue-Kuen Kwok is Professor and Program Director of MSc in Mathematics (Financial Mathematics and Statistics) at the Department of Mathematics of Hong Kong University of Science and Technology

Blurb

Mathematical Models of Financial Derivatives is a textbook on the theory behind modeling derivatives using the financial engineering approach, focussing on the martingale pricing principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are

analyzed, emphasizing on the aspects of pricing, hedging and their risk management. Starting from the renowned Black-Scholes-Merton formulation of option pricing model, readers are guided through the text on the new advances on the state-of-the-art derivative pricing models and interest rate models. Both analytic techniques and numerical methods for solving various types of derivative pricing models are emphasized.

The second edition presents a substantial revision of the first edition. The continuous-time martingale pricing theory is motivated through analysis of the underlying financial economics principles within a discrete-time framework. A large collection of closed-form formulas of various forms of exotic equity and fixed income derivatives are documented. The most recent research results and methodologies are made accessible to readers through the extensive set of exercises at the end of each chapter.

Yue-Kuen Kwok is Professor of Mathematics at Hong Kong University of Science and Technology. He is the author of over 80 research papers and several books, including Applied Complex Variables. He is an associate editor of Journal of Economic Dynamics and Control and Asia-Pacific Financial Markets.