financial derivatives in theory and practice wiley series in probability and statistics

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Financial Derivatives In Theory And Practice

Author : Philip Hunt
ISBN : 9780470863602
Genre : Mathematics
File Size : 29. 10 MB
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The term Financial Derivative is a very broad term which has come to mean any financial transaction whose value depends on the underlying value of the asset concerned. Sophisticated statistical modelling of derivatives enables practitioners in the banking industry to reduce financial risk and ultimately increase profits made from these transactions. The book originally published in March 2000 to widespread acclaim. This revised edition has been updated with minor corrections and new references, and now includes a chapter of exercises and solutions, enabling use as a course text. Comprehensive introduction to the theory and practice of financial derivatives. Discusses and elaborates on the theory of interest rate derivatives, an area of increasing interest. Divided into two self-contained parts ? the first concentrating on the theory of stochastic calculus, and the second describes in detail the pricing of a number of different derivatives in practice. Written by well respected academics with experience in the banking industry. A valuable text for practitioners in research departments of all banking and finance sectors. Academic researchers and graduate students working in mathematical finance.

Financial Derivatives In Theory And Practice

Author : P. J. Hunt
ISBN : STANFORD:36105025229654
Genre : Mathematics
File Size : 56. 56 MB
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This book brings together in one volume both a complete, rigorous and yet readable account of the mathematics underlying derivative pricing and a guide to applying these ideas to solve real pricing problems. It is aimed at practitioners and researchers who wish to understand the latest finance literature and develop their own pricing models. The authors' combination of strong theoretical knowledge and extensive market experience make this book particularly relevant for those interested in real world applications of mathematical finance. Features: detailed coverage of interest rate derivatives, from 'vanilla' instruments through to many of the more exotic products currently being traded overview of popular term structure models along with their relationships to each other (including Heath-Jarrow-Morton, short rate models and the latest market models) explanation of numeraires as a modelling and pricing tool pricing models for constant maturity swaps and other convexity products models and efficient algorithms for path-dependent and Bermudan swaptions insights into how to go about pricing products beyond those treated in the text accessible yet rigorous treatment of the stochastic calculus required for option pricing

Financial Derivatives In Theory And Practice

Author : Philip Hunt
ISBN : 0470863595
Genre : Business & Economics
File Size : 26. 50 MB
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For use in classes at masters and postgraduate level, this text covers financial derivatives in theory and practice.

Financial Modelling

Author : Joerg Kienitz
ISBN : 9781118413296
Genre : Business & Economics
File Size : 87. 50 MB
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Financial Modelling - Theory, Implementation and Practice is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi-) analytic and simulation techniques, and calibration even for exotic options. The book is split into three parts. The first part considers financial markets in general and looks at the complex models needed to handle observed structures, reviewing models based on diffusions including stochastic-local volatility models and (pure) jump processes. It shows the possible risk neutral densities, implied volatility surfaces, option pricing and typical paths for a variety of models including SABR, Heston, Bates, Bates-Hull-White, Displaced-Heston, or stochastic volatility versions of Variance Gamma, respectively Normal Inverse Gaussian models and finally, multi-dimensional models. The stochastic-local-volatility Libor market model with time-dependent parameters is considered and as an application how to price and risk-manage CMS spread products is demonstrated. The second part of the book deals with numerical methods which enables the reader to use the models of the first part for pricing and risk management, covering methods based on direct integration and Fourier transforms, and detailing the implementation of the COS, CONV, Carr-Madan method or Fourier-Space-Time Stepping. This is applied to pricing of European, Bermudan and exotic options as well as the calculation of the Greeks. The Monte Carlo simulation technique is outlined and bridge sampling is discussed in a Gaussian setting and for Lévy processes. Computation of Greeks is covered using likelihood ratio methods and adjoint techniques. A chapter on state-of-the-art optimization algorithms rounds up the toolkit for applying advanced mathematical models to financial problems and the last chapter in this section of the book also serves as an introduction to model risk. The third part is devoted to the usage of Matlab, introducing the software package by describing the basic functions applied for financial engineering. The programming is approached from an object-oriented perspective with examples to propose a framework for calibration, hedging and the adjoint method for calculating Greeks in a Libor Market model. Source code used for producing the results and analysing the models is provided on the author’s dedicated website, http://www.mathworks.de/matlabcentral/fileexchange/authors/246981

Risk And Financial Management

Author : Charles S. Tapiero
ISBN : 0470849088
Genre : Business & Economics
File Size : 68. 29 MB
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Financial risk management has become a popular practice amongstfinancial institutions to protect against the adverse effects ofuncertainty caused by fluctuations in interest rates, exchangerates, commodity prices, and equity prices. New financialinstruments and mathematical techniques are continuously developedand introduced in financial practice. These techniques are beingused by an increasing number of firms, traders and financial riskmanagers across various industries. Risk and FinancialManagement: Mathematical and Computational Methods confrontsthe many issues and controversies, and explains the fundamentalconcepts that underpin financial risk management. Provides a comprehensive introduction to the core topics ofrisk and financial management. Adopts a pragmatic approach, focused on computational, ratherthan just theoretical, methods. Bridges the gap between theory and practice in financial riskmanagement Includes coverage of utility theory, probability, options andderivatives, stochastic volatility and value at risk. Suitable for students of risk, mathematical finance, andfinancial risk management, and finance practitioners. Includes extensive reference lists, applications andsuggestions for further reading. Risk and Financial Management: Mathematical and ComputationalMethods is ideally suited to both students of mathematicalfinance with little background in economics and finance, andstudents of financial risk management, as well as financepractitioners requiring a clearer understanding of the mathematicaland computational methods they use every day. It combines therequired level of rigor, to support the theoretical developments,with a practical flavour through many examples andapplications.

Probability And Finance

Author : Glenn Shafer
ISBN : 9780471461715
Genre : Business & Economics
File Size : 74. 24 MB
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Provides a foundation for probability based on game theory rather than measure theory. A strong philosophical approach with practical applications. Presents in-depth coverage of classical probability theory as well as new theory.

Financial Derivatives In Theory And Practice Revised Edition

Author : Philip James Hunt
ISBN : OCLC:848799764
Genre : Derivative securities
File Size : 51. 47 MB
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Mathematical Finance

Author : Christian Fries
ISBN : 0470179775
Genre : Mathematics
File Size : 50. 28 MB
Format : PDF
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A balanced introduction to the theoretical foundations and real-world applications of mathematical finance The ever-growing use of derivative products makes it essential for financial industry practitioners to have a solid understanding of derivative pricing. To cope with the growing complexity, narrowing margins, and shortening life-cycle of the individual derivative product, an efficient, yet modular, implementation of the pricing algorithms is necessary. Mathematical Finance is the first book to harmonize the theory, modeling, and implementation of today's most prevalent pricing models under one convenient cover. Building a bridge from academia to practice, this self-contained text applies theoretical concepts to real-world examples and introduces state-of-the-art, object-oriented programming techniques that equip the reader with the conceptual and illustrative tools needed to understand and develop successful derivative pricing models. Utilizing almost twenty years of academic and industry experience, the author discusses the mathematical concepts that are the foundation of commonly used derivative pricing models, and insightful Motivation and Interpretation sections for each concept are presented to further illustrate the relationship between theory and practice. In-depth coverage of the common characteristics found amongst successful pricing models are provided in addition to key techniques and tips for the construction of these models. The opportunity to interactively explore the book's principal ideas and methodologies is made possible via a related Web site that features interactive Java experiments and exercises. While a high standard of mathematical precision is retained, Mathematical Finance emphasizes practical motivations, interpretations, and results and is an excellent textbook for students in mathematical finance, computational finance, and derivative pricing courses at the upper undergraduate or beginning graduate level. It also serves as a valuable reference for professionals in the banking, insurance, and asset management industries.

Matrix Analysis For Statistics

Author : James R. Schott
ISBN : 9781119092483
Genre : Mathematics
File Size : 45. 72 MB
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An up-to-date version of the complete, self-contained introduction to matrix analysis theory and practice Providing accessible and in-depth coverage of the most common matrix methods now used in statistical applications, Matrix Analysis for Statistics, Third Edition features an easy-to-follow theorem/proof format. Featuring smooth transitions between topical coverage, the author carefully justifies the step-by-step process of the most common matrix methods now used in statistical applications, including eigenvalues and eigenvectors; the Moore-Penrose inverse; matrix differentiation; and the distribution of quadratic forms. An ideal introduction to matrix analysis theory and practice, Matrix Analysis for Statistics, Third Edition features: • New chapter or section coverage on inequalities, oblique projections, and antieigenvalues and antieigenvectors • Additional problems and chapter-end practice exercises at the end of each chapter • Extensive examples that are familiar and easy to understand • Self-contained chapters for flexibility in topic choice • Applications of matrix methods in least squares regression and the analyses of mean vectors and covariance matrices Matrix Analysis for Statistics, Third Edition is an ideal textbook for upper-undergraduate and graduate-level courses on matrix methods, multivariate analysis, and linear models. The book is also an excellent reference for research professionals in applied statistics. James R. Schott, PhD, is Professor in the Department of Statistics at the University of Central Florida. He has published numerous journal articles in the area of multivariate analysis. Dr. Schott’s research interests include multivariate analysis, analysis of covariance and correlation matrices, and dimensionality reduction techniques.

The Mathematics Of Derivatives Securities With Applications In Matlab

Author : Mario Cerrato
ISBN : 9781119973416
Genre : Business & Economics
File Size : 64. 16 MB
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Quantitative Finance is expanding rapidly. One of the aspects of the recent financial crisis is that, given the complexity of financial products, the demand for people with high numeracy skills is likely to grow and this means more recognition will be given to Quantitative Finance in existing and new course structures worldwide. Evidence has suggested that many holders of complex financial securities before the financial crisis did not have in-house experts or rely on a third-party in order to assess the risk exposure of their investments. Therefore, this experience shows the need for better understanding of risk associate with complex financial securities in the future. The Mathematics of Derivative Securities with Applications in MATLAB provides readers with an introduction to probability theory, stochastic calculus and stochastic processes, followed by discussion on the application of that knowledge to solve complex financial problems such as pricing and hedging exotic options, pricing American derivatives, pricing and hedging under stochastic volatility and an introduction to interest rates modelling. The book begins with an overview of MATLAB and the various components that will be used alongside it throughout the textbook. Following this, the first part of the book is an in depth introduction to Probability theory, Stochastic Processes and Ito Calculus and Ito Integral. This is essential to fully understand some of the mathematical concepts used in the following part of the book. The second part focuses on financial engineering and guides the reader through the fundamental theorem of asset pricing using the Black and Scholes Economy and Formula, Options Pricing through European and American style options, summaries of Exotic Options, Stochastic Volatility Models and Interest rate Modelling. Topics covered in this part are explained using MATLAB codes showing how the theoretical models are used practically. Authored from an academic’s perspective, the book discusses complex analytical issues and intricate financial instruments in a way that it is accessible to postgraduate students with or without a previous background in probability theory and finance. It is written to be the ideal primary reference book or a perfect companion to other related works. The book uses clear and detailed mathematical explanation accompanied by examples involving real case scenarios throughout and provides MATLAB codes for a variety of topics.

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