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Problems and Solutions in Mathematical Finance, Volume 3

Problems and Solutions in Mathematical Finance, Volume 3
Author: Eric Chin
Publisher: Wiley
Total Pages: 0
Release: 2023-05-30
Genre: Business & Economics
ISBN: 9781119965817
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Your complete guide to mastering basic and advanced techniques for interest rate derivative modeling and pricing Interest rate trading constitutes the largest sector of the world derivatives market. Interest rate contracts are a much valued risk management tool used by the majority of the world's largest companies. But interest rate derivative modeling and pricing are extremely challenging tasks, requiring a thorough knowledge and practical expertise in advanced discrete and continuous mathematical modeling methods–practical knowledge which can only be gained through extensive problem solving and the application of contemporary interest rate tools and models to an array of market scenarios. Authored by a distinguished team of quantitative analysts with extensive experience in the field, this second volume in the landmark Problems and Solutions in Mathematical Finance offers you a quick, painless way to acquire that knowledge and expertise. The only book offering a problems-and-solutions approach to teaching interest rate and inflation index derivatives modelling Walks you step-by-step through the theoretical aspects of interest rate and inflation indexed derivatives as well as broad range real-world problems Extremely practical, it bridges the gap between mathematical theory and the everyday reality of the financial markets An ideal text for quantitative finance students and an essential go-to resource for busy practitioners looking to refresh their knowledge and enhance their practical expertise

Problems and Solutions in Mathematical Finance, Volume 2

Problems and Solutions in Mathematical Finance, Volume 2
Author: Eric Chin
Publisher: John Wiley & Sons
Total Pages: 868
Release: 2017-03-13
Genre: Business & Economics
ISBN: 1119965829
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Detailed guidance on the mathematics behind equity derivatives Problems and Solutions in Mathematical Finance Volume II is an innovative reference for quantitative practitioners and students, providing guidance through a range of mathematical problems encountered in the finance industry. This volume focuses solely on equity derivatives problems, beginning with basic problems in derivatives securities before moving on to more advanced applications, including the construction of volatility surfaces to price exotic options. By providing a methodology for solving theoretical and practical problems, whilst explaining the limitations of financial models, this book helps readers to develop the skills they need to advance their careers. The text covers a wide range of derivatives pricing, such as European, American, Asian, Barrier and other exotic options. Extensive appendices provide a summary of important formulae from calculus, theory of probability, and differential equations, for the convenience of readers. As Volume II of the four-volume Problems and Solutions in Mathematical Finance series, this book provides clear explanation of the mathematics behind equity derivatives, in order to help readers gain a deeper understanding of their mechanics and a firmer grasp of the calculations. Review the fundamentals of equity derivatives Work through problems from basic securities to advanced exotics pricing Examine numerical methods and detailed derivations of closed-form solutions Utilise formulae for probability, differential equations, and more Mathematical finance relies on mathematical models, numerical methods, computational algorithms and simulations to make trading, hedging, and investment decisions. For the practitioners and graduate students of quantitative finance, Problems and Solutions in Mathematical Finance Volume II provides essential guidance principally towards the subject of equity derivatives.

Problems and Solutions in Mathematical Finance

Problems and Solutions in Mathematical Finance
Author: Eric Chin
Publisher: John Wiley & Sons
Total Pages: 400
Release: 2014-11-20
Genre: Business & Economics
ISBN: 1119966078
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Mathematical finance requires the use of advanced mathematicaltechniques drawn from the theory of probability, stochasticprocesses and stochastic differential equations. These areas aregenerally introduced and developed at an abstract level, making itproblematic when applying these techniques to practical issues infinance. Problems and Solutions in Mathematical Finance Volume I:Stochastic Calculus is the first of a four-volume set ofbooks focusing on problems and solutions in mathematicalfinance. This volume introduces the reader to the basic stochasticcalculus concepts required for the study of this important subject,providing a large number of worked examples which enable the readerto build the necessary foundation for more practical orientatedproblems in the later volumes. Through this application and byworking through the numerous examples, the reader will properlyunderstand and appreciate the fundamentals that underpinmathematical finance. Written mainly for students, industry practitioners and thoseinvolved in teaching in this field of study, StochasticCalculus provides a valuable reference book to complementone’s further understanding of mathematical finance.

Problems and Solutions in Mathematical Finance

Problems and Solutions in Mathematical Finance
Author: Eric Chin
Publisher: John Wiley & Sons
Total Pages: 856
Release: 2017-01-04
Genre: Business & Economics
ISBN: 1119966116
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Detailed guidance on the mathematics behind equity derivatives Problems and Solutions in Mathematical Finance Volume II is an innovative reference for quantitative practitioners and students, providing guidance through a range of mathematical problems encountered in the finance industry. This volume focuses solely on equity derivatives problems, beginning with basic problems in derivatives securities before moving on to more advanced applications, including the construction of volatility surfaces to price exotic options. By providing a methodology for solving theoretical and practical problems, whilst explaining the limitations of financial models, this book helps readers to develop the skills they need to advance their careers. The text covers a wide range of derivatives pricing, such as European, American, Asian, Barrier and other exotic options. Extensive appendices provide a summary of important formulae from calculus, theory of probability, and differential equations, for the convenience of readers. As Volume II of the four-volume Problems and Solutions in Mathematical Finance series, this book provides clear explanation of the mathematics behind equity derivatives, in order to help readers gain a deeper understanding of their mechanics and a firmer grasp of the calculations. Review the fundamentals of equity derivatives Work through problems from basic securities to advanced exotics pricing Examine numerical methods and detailed derivations of closed-form solutions Utilise formulae for probability, differential equations, and more Mathematical finance relies on mathematical models, numerical methods, computational algorithms and simulations to make trading, hedging, and investment decisions. For the practitioners and graduate students of quantitative finance, Problems and Solutions in Mathematical Finance Volume II provides essential guidance principally towards the subject of equity derivatives.

Problems and Solutions in Mathematical Finance, Volume 4

Problems and Solutions in Mathematical Finance, Volume 4
Author: Eric Chin
Publisher: Wiley
Total Pages: 0
Release: 2024-09-30
Genre: Business & Economics
ISBN: 9781119965800
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A practical problem solving reference for commodity and Forex derivatives Problems and Solutions in Mathematical Finance provides an innovative reference for quantitative finance students and practitioners. Using a unique problem-solving approach, this invaluable guide bridges the gap between the theoretical and practical to impart a deeper understanding of the mathematical problems encountered in the finance industry. Volume IV: Commodity and Foreign Exchange Derivatives breaks down the complexity of the topic by walking you step-by-step through a variety of modelling problems. Building skill upon skill, you'll work through a series of problems of increasing difficulty as you learn both the strategy and mechanics behind each solution. Coverage includes both theoretical and real-world problems, using stochastic calculus, probability theory and statistics, as well as an assumed understanding of exotic option and interest rate models covered in volumes II and III. Financial institutions rely on quantitative analysis to inform decision making on trading, hedging, investing, risk management and pricing. This book provides both instruction and reference from a highly practical perspective, giving you a highly applicable real-world skillset. Fully grasp the fundamentals of commodity and foreign exchange derivatives Follow mathematical modelling processes step-by-step Link theory to real-world problems through guided problem-solving Test your knowledge and skills with increasingly complex problem sets Commodity and Foreign Exchange Derivatives are a complex, nuanced area in the quantitative finance realm. Simply reading about these instruments fails to convey the level of understanding required to work with them; in the real-world, quants draw upon an in-depth knowledge of both finance and mathematics every day. Problems and Solutions in Mathematical Finance provides practical reference and problem-solving skills for anyone learning or working in quantitative finance.

Measure, Probability, and Mathematical Finance

Measure, Probability, and Mathematical Finance
Author: Guojun Gan
Publisher: John Wiley & Sons
Total Pages: 54
Release: 2014-04-07
Genre: Mathematics
ISBN: 1118831969
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An introduction to the mathematical theory and financial models developed and used on Wall Street Providing both a theoretical and practical approach to the underlying mathematical theory behind financial models, Measure, Probability, and Mathematical Finance: A Problem-Oriented Approach presents important concepts and results in measure theory, probability theory, stochastic processes, and stochastic calculus. Measure theory is indispensable to the rigorous development of probability theory and is also necessary to properly address martingale measures, the change of numeraire theory, and LIBOR market models. In addition, probability theory is presented to facilitate the development of stochastic processes, including martingales and Brownian motions, while stochastic processes and stochastic calculus are discussed to model asset prices and develop derivative pricing models. The authors promote a problem-solving approach when applying mathematics in real-world situations, and readers are encouraged to address theorems and problems with mathematical rigor. In addition, Measure, Probability, and Mathematical Finance features: A comprehensive list of concepts and theorems from measure theory, probability theory, stochastic processes, and stochastic calculus Over 500 problems with hints and select solutions to reinforce basic concepts and important theorems Classic derivative pricing models in mathematical finance that have been developed and published since the seminal work of Black and Scholes Measure, Probability, and Mathematical Finance: A Problem-Oriented Approach is an ideal textbook for introductory quantitative courses in business, economics, and mathematical finance at the upper-undergraduate and graduate levels. The book is also a useful reference for readers who need to build their mathematical skills in order to better understand the mathematical theory of derivative pricing models.

Problems and Solutions in Mathematical Finance, Volume 1

Problems and Solutions in Mathematical Finance, Volume 1
Author: Eric Chin
Publisher: John Wiley & Sons
Total Pages: 404
Release: 2014-11-10
Genre: Business & Economics
ISBN: 1119965837
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Mathematical finance requires the use of advanced mathematical techniques drawn from the theory of probability, stochastic processes and stochastic differential equations. These areas are generally introduced and developed at an abstract level, making it problematic when applying these techniques to practical issues in finance. Problems and Solutions in Mathematical Finance Volume I: Stochastic Calculus is the first of a four-volume set of books focusing on problems and solutions in mathematical finance. This volume introduces the reader to the basic stochastic calculus concepts required for the study of this important subject, providing a large number of worked examples which enable the reader to build the necessary foundation for more practical orientated problems in the later volumes. Through this application and by working through the numerous examples, the reader will properly understand and appreciate the fundamentals that underpin mathematical finance. Written mainly for students, industry practitioners and those involved in teaching in this field of study, Stochastic Calculus provides a valuable reference book to complement one’s further understanding of mathematical finance.

Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes

Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes
Author: Cornelis W Oosterlee
Publisher: World Scientific
Total Pages: 1310
Release: 2019-10-29
Genre: Business & Economics
ISBN: 1786347962
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This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.Supplementary Material:Solutions Manual is available to instructors who adopt this textbook for their courses. Please contact [email protected].

Applied Quantitative Finance

Applied Quantitative Finance
Author: Wolfgang Karl Härdle
Publisher: Springer
Total Pages: 372
Release: 2017-08-02
Genre: Business & Economics
ISBN: 3662544865
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This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins. The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book.