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| Author | : Jean-Philippe Bouchaud |
| Publisher | : Cambridge University Press |
| Total Pages | : 410 |
| Release | : 2003-12-11 |
| Genre | : Business & Economics |
| ISBN | : 1139440276 |
Download Theory of Financial Risk and Derivative Pricing Book in PDF, ePub and Kindle
Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.
| Author | : Jean-Philippe Bouchaud |
| Publisher | : |
| Total Pages | : 400 |
| Release | : 2003 |
| Genre | : |
| ISBN | : |
Download Theory of Financial Risk and Derivative Pricing, Second Edition Book in PDF, ePub and Kindle
Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising recent theoretical developments in the field, this second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.
| Author | : Robert A Jarrow |
| Publisher | : World Scientific |
| Total Pages | : 609 |
| Release | : 2008-10-08 |
| Genre | : Business & Economics |
| ISBN | : 9814470635 |
Download Financial Derivatives Pricing: Selected Works Of Robert Jarrow Book in PDF, ePub and Kindle
This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.
| Author | : Claudio Albanese |
| Publisher | : Academic Press |
| Total Pages | : 436 |
| Release | : 2006 |
| Genre | : Business & Economics |
| ISBN | : 0120476827 |
Download Advanced Derivatives Pricing and Risk Management Book in PDF, ePub and Kindle
Book and CDROM include the important topics and cutting-edge research in financial derivatives and risk management.
| Author | : Martin Baxter |
| Publisher | : Cambridge University Press |
| Total Pages | : 252 |
| Release | : 1996-09-19 |
| Genre | : Business & Economics |
| ISBN | : 9780521552899 |
Download Financial Calculus Book in PDF, ePub and Kindle
A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.
| Author | : Satyajit Das |
| Publisher | : McGraw-Hill Companies |
| Total Pages | : 888 |
| Release | : 1998 |
| Genre | : Derivative securities |
| ISBN | : |
Download Risk Management and Financial Derivatives Book in PDF, ePub and Kindle
"Risk Management and Financial Derivatives: A Guide to the Mathematics meets the demand for a simple, nontechnical explanation of the methodology of risk management and financial derivatives." "Risk Management and Financial Derivatives provides clear, concise explanations of the mathematics behind today's complex financial risk management topics. An ideal introduction for those new to the subject, it will also serve as an indispensable reference for those already experienced in the field."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
| Author | : Nigel J. Cutland |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 329 |
| Release | : 2012-09-13 |
| Genre | : Mathematics |
| ISBN | : 1447144082 |
Download Derivative Pricing in Discrete Time Book in PDF, ePub and Kindle
This book provides an introduction to the mathematical modelling of real world financial markets and the rational pricing of derivatives, which is part of the theory that not only underpins modern financial practice but is a thriving area of mathematical research. The central theme is the question of how to find a fair price for a derivative; defined to be a price at which it is not possible for any trader to make a risk free profit by trading in the derivative. To keep the mathematics as simple as possible, while explaining the basic principles, only discrete time models with a finite number of possible future scenarios are considered. The theory examines the simplest possible financial model having only one time step, where many of the fundamental ideas occur, and are easily understood. Proceeding slowly, the theory progresses to more realistic models with several stocks and multiple time steps, and includes a comprehensive treatment of incomplete models. The emphasis throughout is on clarity combined with full rigour. The later chapters deal with more advanced topics, including how the discrete time theory is related to the famous continuous time Black-Scholes theory, and a uniquely thorough treatment of American options. The book assumes no prior knowledge of financial markets, and the mathematical prerequisites are limited to elementary linear algebra and probability. This makes it accessible to undergraduates in mathematics as well as students of other disciplines with a mathematical component. It includes numerous worked examples and exercises, making it suitable for self-study.
| Author | : Ambrose Lo |
| Publisher | : CRC Press |
| Total Pages | : 432 |
| Release | : 2018-07-04 |
| Genre | : Mathematics |
| ISBN | : 1315301229 |
Download Derivative Pricing Book in PDF, ePub and Kindle
The proliferation of financial derivatives over the past decades, options in particular, has underscored the increasing importance of derivative pricing literacy among students, researchers, and practitioners. Derivative Pricing: A Problem-Based Primer demystifies the essential derivative pricing theory by adopting a mathematically rigorous yet widely accessible pedagogical approach that will appeal to a wide variety of audience. Abandoning the traditional "black-box" approach or theorists’ "pedantic" approach, this textbook provides readers with a solid understanding of the fundamental mechanism of derivative pricing methodologies and their underlying theory through a diversity of illustrative examples. The abundance of exercises and problems makes the book well-suited as a text for advanced undergraduates, beginning graduates as well as a reference for professionals and researchers who need a thorough understanding of not only "how," but also "why" derivative pricing works. It is especially ideal for students who need to prepare for the derivatives portion of the Society of Actuaries Investment and Financial Markets Exam. Features Lucid explanations of the theory and assumptions behind various derivative pricing models. Emphasis on intuitions, mnemonics as well as common fallacies. Interspersed with illustrative examples and end-of-chapter problems that aid a deep understanding of concepts in derivative pricing. Mathematical derivations, while not eschewed, are made maximally accessible. A solutions manual is available for qualified instructors. The Author Ambrose Lo is currently Assistant Professor of Actuarial Science at the Department of Statistics and Actuarial Science at the University of Iowa. He received his Ph.D. in Actuarial Science from the University of Hong Kong in 2014, with dependence structures, risk measures, and optimal reinsurance being his research interests. He is a Fellow of the Society of Actuaries (FSA) and a Chartered Enterprise Risk Analyst (CERA). His research papers have been published in top-tier actuarial journals, such as ASTIN Bulletin: The Journal of the International Actuarial Association, Insurance: Mathematics and Economics, and Scandinavian Actuarial Journal.
| Author | : Nicholas H. Bingham |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 447 |
| Release | : 2013-06-29 |
| Genre | : Mathematics |
| ISBN | : 1447138562 |
Download Risk-Neutral Valuation Book in PDF, ePub and Kindle
This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives. On the probabilistic side, both discrete- and continuous-time stochastic processes are treated, with special emphasis on martingale theory, stochastic integration and change-of-measure techniques. Based on firm probabilistic foundations, general properties of discrete- and continuous-time financial market models are discussed.
| Author | : Jean-Philippe Bouchaud |
| Publisher | : |
| Total Pages | : 218 |
| Release | : 2000 |
| Genre | : Electronic books |
| ISBN | : 9780511046230 |
Download Theory of Financial Risks Book in PDF, ePub and Kindle
"This book summarizes recent theoretical developments inspired by statistical physics in the description of the potential moves in financial markets, and its application to derivative pricing and risk control. The possibility of accessing and processing huge quantities of data on financial markets opens the path to new methodologies where systematic comparison between theories and real data not only becomes possible, but mandatory. This book takes a physicist's point of view of financial risk by comparing theory with experiment. Starting with important results in probability theory the authors discuss the statistical analysis of real data, the empirical determination of statistical laws, the definition of risk, the theory of optimal portfolio and the problem of derivatives (forward contracts, options). This book will be of interest to physicists interested in finance, quantitative analysts in financial institutions, risk managers and graduate students in mathematical finance."--Publisher's description.
