Mathematical Finance: Theory, Modeling, Implementation
John Wiley & Sons, 19.10.2007 - 512 Seiten
A balanced introduction to the theoretical foundations andreal-world applications of mathematical finance
The ever-growing use of derivative products makes it essentialfor financial industry practitioners to have a solid understandingof derivative pricing. To cope with the growing complexity,narrowing margins, and shortening life-cycle of the individualderivative product, an efficient, yet modular, implementation ofthe pricing algorithms is necessary. Mathematical Finance isthe first book to harmonize the theory, modeling, andimplementation of today's most prevalent pricing models under oneconvenient cover. Building a bridge from academia to practice, thisself-contained text applies theoretical concepts to real-worldexamples and introduces state-of-the-art, object-orientedprogramming techniques that equip the reader with the conceptualand illustrative tools needed to understand and develop successfulderivative pricing models.
Utilizing almost twenty years of academic and industryexperience, the author discusses the mathematical concepts that arethe foundation of commonly used derivative pricing models, andinsightful Motivation and Interpretation sections for each conceptare presented to further illustrate the relationship between theoryand practice. In-depth coverage of the common characteristics foundamongst successful pricing models are provided in addition to keytechniques and tips for the construction of these models. Theopportunity to interactively explore the book's principal ideas andmethodologies is made possible via a related Web site that featuresinteractive 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 forstudents in mathematical finance, computational finance, andderivative pricing courses at the upper undergraduate or beginninggraduate level. It also serves as a valuable reference forprofessionals in the banking, insurance, and asset managementindustries.