Описание: Presents the first step towards becoming a properly qualified financial risk manager and asset manager. Suitable to those with a moderate understanding of mathematics at high school level, this book features 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in the accompanying CD-ROM.
Описание: News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University). Market microstructure is the study of how markets operate and how transaction dynamics can affect security price formation and behavior. The impact of microstructure on all areas of finance has been increasingly apparent. Empirical microstructure has opened the door for improved transaction cost measurement, volatility dynamics and even asymmetric information measures, among others. Thus, this field is an important building block towards understanding today's financial markets. One of the pioneers in the field of market microstructure is David K Whitcomb, who retired from Rutgers University in 1999 after 25 years of service. David generously funded the David K Whitcomb Center for Research in Financial Services, located at Rutgers University. The Center organized a conference at Rutgers in his honor. This conference showcased papers and research conducted by the leading luminaries in the field of microstructure and drew a broad and illustrious audience of academicians, practitioners and former students, all who came to pay tribute to David K Whitcomb. Most of the papers in this volume were presented at that conference and the contributions to this volume are a lasting bookmark in microstructure. The coverage of topics on this volume is broad, ranging from the theoretical to empirical, and covering various issues from market architecture to liquidity and volatility.
Автор: Wilmott, Paul Название: Frequently asked questions in quantitative finance ISBN: 0470058269 ISBN-13(EAN): 9780470058268 Издательство: Wiley Рейтинг: Цена: 2820 р. Наличие на складе: Поставка под заказ.
Описание: Quantitative finance is a rewarding real-world application of mathematics. This title looks at some of the most important aspects of financial engineering, and considers them from both theoretical and practical points of view.
Описание: This book presents a cogent description of the main methodologies used in derivatives pricing. Starting with a summary of the elements of Stochastic Calculus, Quantitative Methods in Derivatives Pricing develops the fundamental tools of financial engineering, such as scenario generation, simulation for European instruments, simulation for American instruments, and finite differences in an intuitive and practical manner, with an abundance of practical examples and case studies. Intended primarily as an introductory graduate textbook in computational finance, this book will also serve as a reference for practitioners seeking basic information on alternative pricing methodologies. Domingo Tavella is President of Octanti Associates, a consulting firm in risk management and financial systems design. He is the founder and chief editor of the Journal of Computational Finance and has pioneered the application of advanced numerical techniques in pricing and risk analysis in the financial and insurance industries. Tavella coauthored Pricing Financial Instruments: The Finite Difference Method. He holds a PhD in aeronautical engineering from Stanford University and an MBA in finance from the University of California at Berkeley.
Автор: Swishchuk Название: Change of Time Methods in Quantitative Finance ISBN: 3319324063 ISBN-13(EAN): 9783319324067 Издательство: Springer Рейтинг: Цена: 4674 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book is devoted to the history of Change of Time Methods (CTM), the connections of CTM to stochastic volatilities and finance, fundamental aspects of the theory of CTM, basic concepts, and its properties. An emphasis is given on many applications of CTM in financial and energy markets, and the presented numerical examples are based on real data. The change of time method is applied to derive the well-known Black-Scholes formula for European call options, and to derive an explicit option pricing formula for a European call option for a mean-reverting model for commodity prices. Explicit formulas are also derived for variance and volatility swaps for financial markets with a stochastic volatility following a classical and delayed Heston model. The CTM is applied to price financial and energy derivatives for one-factor and multi-factor alpha-stable Levy-based models. Readers should have a basic knowledge of probability and statistics, and some familiarity with stochastic processes, such as Brownian motion, Levy process and martingale.
Автор: Teall John, Ilardi Stephen S, Hasan I Iftekhar, Op Название: Quantitative Methods for Finance and Investments ISBN: 063122338X ISBN-13(EAN): 9780631223382 Издательство: Wiley Рейтинг: Цена: 8360 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This text aims to provide a reasonable degree of proficiency in applying elementary mathematics to several types of financial analysis. All of the methodology is geared toward the development, implementation, and analysis of financial models to solve financial problems.
Автор: Teall John, Hasan I Iftekhar, Oppong R. Joseph, Название: Quantitative Methods for Finance and Investments ISBN: 0631223398 ISBN-13(EAN): 9780631223399 Издательство: Wiley Рейтинг: Цена: 3344 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This text aims to provide a reasonable degree of proficiency in applying elementary mathematics to several types of financial analysis. All of the methodology is geared toward the development, implementation, and analysis of financial models to solve financial problems.
Описание: This book puts numerical methods in action for the purpose of solving practical problems arising in quantitative finance. Part one develops a comprehensive toolkit including Monte Carlo simulation, numerical schemes for partial differential equations, stochastic optimization in discrete time, copula functions, Laplace transforms and quadrature methods. Part two proposes eighteen self-contained cases covering model simulation, derivative valuation, dynamic hedging, portfolio selection, risk management, statistical estimation and calibration. It encompasses a wide variety of problems arising in markets for equity, interest rates, credit risk, energy and exotic derivatives. Each case introduces a problem, develops a detailed solution and illustrates empirical results. Proposed algorithms are implemented using either Matlab or Visual Basic. The book originates from class notes and case-studies developed within courses on Numerical Methods for Finance and Exotic Derivatives held by the authors at Bocconi University since the year 2000.
Автор: Epps, T.wake Название: Quantitative finance ISBN: 0470431997 ISBN-13(EAN): 9780470431993 Издательство: Wiley Рейтинг: Цена: 12749 р. Наличие на складе: Поставка под заказ.
Описание: Presents a course in quantitative finance, including exercises and worked solutions. This title emphasizes instruction and technique in covering the essential topics for a quantitative finance survey course, including portfolio theory, decision theory, pricing of primary assets, pricing of derivatives and the empirical behavior of prices.
Автор: Blyth, Stephen Название: An Introduction to Quantitative Finance ISBN: 019966658X ISBN-13(EAN): 9780199666584 Издательство: Oxford Academ Рейтинг: Цена: 4891 р. Наличие на складе: Поставка под заказ.
Описание: The quantitative nature of complex financial transactions makes them a fascinating subject area for mathematicians of all types. This book gives an insight into financial engineering while building on introductory probability courses by detailing one of the most fascinating applications of the subject.
Автор: Sanders J. A., Verhulst F., Murdock J. Название: Averaging Methods in Nonlinear Dynamical Systems ISBN: 0387489169 ISBN-13(EAN): 9780387489162 Издательство: Springer Рейтинг: Цена: 11219 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Perturbation theory and in particular normal form theory has shown strong growth during the last decades. So it is not surprising that the authors have presented an extensive revision of the first edition of the Averaging Methods in Nonlinear Dynamical Systems book. There are many changes, corrections and updates in chapters on Basic Material and Asymptotics, Averaging, and Attraction. Chapters on Periodic Averaging and Hyperbolicity, Classical (first level) Normal Form Theory, Nilpotent (classical) Normal Form, and Higher Level Normal Form Theory are entirely new and represent new insights in averaging, in particular its relation with dynamical systems and the theory of normal forms. Also new are surveys on invariant manifolds in Appendix C and averaging for PDEs in Appendix E. Since the first edition, the book has expanded in length and the third author, James Murdock has been added.Review of First Edition"One of the most striking features of the book is the nice collection of examples, which range from the very simple to some that are elaborate, realistic, and of considerable practical importance. Most of them are presented in careful detail and are illustrated with profuse, illuminating diagrams." - Mathematical Reviews
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