Download or read book Mathematics of the Financial Markets written by Alain Ruttiens and published by John Wiley & Sons. This book was released on 2013-08-05 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematics of the Financial Markets Financial Instruments and Derivatives Modeling, Valuation and Risk Issues "Alain Ruttiens has the ability to turn extremely complex concepts and theories into very easy to understand notions. I wish I had read his book when I started my career!" Marco Dion, Global Head of Equity Quant Strategy, J.P. Morgan "The financial industry is built on a vast collection of financial securities that can be valued and risk profiled using a set of miscellaneous mathematical models. The comprehension of these models is fundamental to the modern portfolio and risk manager in order to achieve a deep understanding of the capabilities and limitations of these methods in the approximation of the market. In his book, Alain Ruttiens exposes these models for a wide range of financial instruments by using a detailed and user friendly approach backed up with real-life data examples. The result is an excellent entry-level and reference book that will help any student and current practitioner up their mathematical modeling skills in the increasingly demanding domain of asset and risk management." Virgile Rostand, Consultant, Toronto ON "Alain Ruttiens not only presents the reader with a synthesis between mathematics and practical market dealing, but, more importantly a synthesis of his thinking and of his life." René Chopard, CEO, Centro di Studi Bancari Lugano, Vezia / Professor, Università dell'Insubria, Varese "Alain Ruttiens has written a book on quantitative finance that covers a wide range of financial instruments, examples and models. Starting from first principles, the book should be accessible to anyone who is comfortable with trading strategies, numbers and formulas." Dr Yuh-Dauh Lyuu, Professor of Finance & Professor of Computer Science & Information Engineering, National Taiwan University

Download or read book Experiments in Quantitative Finance written by Joel Gibbons and published by Routledge. This book was released on 2017-07-28 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a novel approach to characterizing markets in quantitative terms. The examples cut across the world of interest rates, price of gold, stock market and corporate worlds that the stock market rests on, and the pricing of options on financial instruments. The emphasis is on methods of inquiry, methods that can just as easily be applied to other markets and other economic phenomena as well. The goal is to make the methods available to the widest possible audience of quantitative analysts and to the trading desks and investment plans they feed.Quantitative research and modeling in finance and economics have a long history going back to Frank Ramsey, mathematician, logician, and economist, who pioneered the application of dynamic models in economics in the 1920s, and to his theory of the Ramsey Tax, which is a rule for apportioning tax rates in a way that raises the maximum tax revenues while impacting the decisions of taxpayers as little as possible. The opposite would be a tax so inefficient that it causes people to avoid doing whatever it is that subjects them to the tax.These experiments yield valuable insight into economic affairs, but they are only a stepping-stone for others—a starting point for discovery. Foremost among them is locating usable statistical findings to the investment world. Gibbons' intention is not to provide investment advice, it is to provide education. These data are subject to changing results, but that should not diminish their educational value. This is a proactive fusion of business economics and sound social science methods.

Download or read book Idealization XII Correcting the Model written by and published by BRILL. This book was released on 2016-08-01 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: The principal task of the book series Poznan Studies in the Philosophy of the Sciences and the Humanities is to promote those developments in philosophy that respect the tradition of great philosophical ideas, on the one hand, and the manner of philosophical thinking introduced by analytical philosophy, on the other. The aim is to contribute to practicing philosophy as deep as Marxism and as caring about justification as positivism.

Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.

Download or read book The Black Scholes Model written by Marek Capiński and published by Cambridge University Press. This book was released on 2012-09-13 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt: Master the essential mathematical tools required for option pricing within the context of a specific, yet fundamental, pricing model.

Download or read book Modeling Derivatives in C written by Justin London and published by John Wiley & Sons. This book was released on 2005-01-21 with total page 922 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.

Download or read book Mathematical Modeling and Methods of Option Pricing written by Lishang Jiang and published by World Scientific. This book was released on 2005 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the perspective of partial differential equations (PDE), this book introduces the Black-Scholes-Merton's option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs.

Download or read book Simulation and Monte Carlo written by J. S. Dagpunar and published by John Wiley & Sons. This book was released on 2007-04-04 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt: Simulation and Monte Carlo is aimed at students studying for degrees in Mathematics, Statistics, Financial Mathematics, Operational Research, Computer Science, and allied subjects, who wish an up-to-date account of the theory and practice of Simulation. Its distinguishing features are in-depth accounts of the theory of Simulation, including the important topic of variance reduction techniques, together with illustrative applications in Financial Mathematics, Markov chain Monte Carlo, and Discrete Event Simulation. Each chapter contains a good selection of exercises and solutions with an accompanying appendix comprising a Maple worksheet containing simulation procedures. The worksheets can also be downloaded from the web site supporting the book. This encourages readers to adopt a hands-on approach in the effective design of simulation experiments. Arising from a course taught at Edinburgh University over several years, the book will also appeal to practitioners working in the finance industry, statistics and operations research.

Download or read book Option Pricing Models and Volatility Using Excel VBA written by Fabrice D. Rouah and published by John Wiley & Sons. This book was released on 2012-06-15 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive guide offers traders, quants, and students the tools and techniques for using advanced models for pricing options. The accompanying website includes data files, such as options prices, stock prices, or index prices, as well as all of the codes needed to use the option and volatility models described in the book. Praise for Option Pricing Models & Volatility Using Excel-VBA "Excel is already a great pedagogical tool for teaching option valuation and risk management. But the VBA routines in this book elevate Excel to an industrial-strength financial engineering toolbox. I have no doubt that it will become hugely successful as a reference for option traders and risk managers." —Peter Christoffersen, Associate Professor of Finance, Desautels Faculty of Management, McGill University "This book is filled with methodology and techniques on how to implement option pricing and volatility models in VBA. The book takes an in-depth look into how to implement the Heston and Heston and Nandi models and includes an entire chapter on parameter estimation, but this is just the tip of the iceberg. Everyone interested in derivatives should have this book in their personal library." —Espen Gaarder Haug, option trader, philosopher, and author of Derivatives Models on Models "I am impressed. This is an important book because it is the first book to cover the modern generation of option models, including stochastic volatility and GARCH." —Steven L. Heston, Assistant Professor of Finance, R.H. Smith School of Business, University of Maryland

Download or read book Tools for Computational Finance written by Rüdiger U. Seydel and published by Springer Science & Business Media. This book was released on 2012-03-09 with total page 440 pages. Available in PDF, EPUB and Kindle. Book excerpt: The disciplines of financial engineering and numerical computation differ greatly, however computational methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering; specifically the use of numerical methods as tools for computational finance. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to the entire field of computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the remainder of the book goes on to detail computational methods using both stochastic and deterministic approaches. Now in its fifth edition, Tools for Computational Finance has been significantly revised and contains: A new chapter on incomplete markets which links to new appendices on Viscosity solutions and the Dupire equation; Several new parts throughout the book such as that on the calculation of sensitivities (Sect. 3.7) and the introduction of penalty methods and their application to a two-factor model (Sect. 6.7) Additional material in the field of analytical methods including Kim’s integral representation and its computation Guidelines for comparing algorithms and judging their efficiency An extended chapter on finite elements that now includes a discussion of two-asset options Additional exercises, figures and references Written from the perspective of an applied mathematician, methods are introduced as tools within the book for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book enabling readers to explore several areas of the financial world. Interdisciplinary in nature, this book will appeal to advanced undergraduate students in mathematics, engineering and other scientific disciplines as well as professionals in financial engineering.

Download or read book Mathematics without Apologies written by Michael Harris and published by Princeton University Press. This book was released on 2017-05-30 with total page 468 pages. Available in PDF, EPUB and Kindle. Book excerpt: An insightful reflection on the mathematical soul What do pure mathematicians do, and why do they do it? Looking beyond the conventional answers—for the sake of truth, beauty, and practical applications—this book offers an eclectic panorama of the lives and values and hopes and fears of mathematicians in the twenty-first century, assembling material from a startlingly diverse assortment of scholarly, journalistic, and pop culture sources. Drawing on his personal experiences and obsessions as well as the thoughts and opinions of mathematicians from Archimedes and Omar Khayyám to such contemporary giants as Alexander Grothendieck and Robert Langlands, Michael Harris reveals the charisma and romance of mathematics as well as its darker side. In this portrait of mathematics as a community united around a set of common intellectual, ethical, and existential challenges, he touches on a wide variety of questions, such as: Are mathematicians to blame for the 2008 financial crisis? How can we talk about the ideas we were born too soon to understand? And how should you react if you are asked to explain number theory at a dinner party? Disarmingly candid, relentlessly intelligent, and richly entertaining, Mathematics without Apologies takes readers on an unapologetic guided tour of the mathematical life, from the philosophy and sociology of mathematics to its reflections in film and popular music, with detours through the mathematical and mystical traditions of Russia, India, medieval Islam, the Bronx, and beyond.

Download or read book Asset Pricing and Portfolio Choice Theory written by Kerry Back and published by Oxford University Press. This book was released on 2010-08-12 with total page 504 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Asset Pricing and Portfolio Choice Theory, Kerry E. Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and professionals, as it includes detailed proofs and calculations as section appendices. Topics covered include the classical results on single-period, discrete-time, and continuous-time models, as well as various proposed explanations for the equity premium and risk-free rate puzzles and chapters on heterogeneous beliefs, asymmetric information, non-expected utility preferences, and production models. The book includes numerous exercises designed to provide practice with the concepts and to introduce additional results. Each chapter concludes with a notes and references section that supplies pathways to additional developments in the field.

Download or read book Quantitative Analysis In Financial Markets Collected Papers Of The New York University Mathematical Finance Seminar Vol Ii written by Marco Avellaneda and published by World Scientific. This book was released on 2001-01-10 with total page 379 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains lectures delivered at the celebrated Seminar in Mathematical Finance at the Courant Institute. The lecturers and presenters of papers are prominent researchers and practitioners in the field of quantitative financial modeling. Most are faculty members at leading universities or Wall Street practitioners.The lectures deal with the emerging science of pricing and hedging derivative securities and, more generally, managing financial risk. Specific articles concern topics such as option theory, dynamic hedging, interest-rate modeling, portfolio theory, price forecasting using statistical methods, etc.

Download or read book Financial Calculus written by Martin Baxter and published by Cambridge University Press. This book was released on 1996-09-19 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.

Download or read book Statistics of Financial Markets written by Jürgen Franke and published by Springer Science & Business Media. This book was released on 2004 with total page 454 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extreme Value Theory (EVT), GARCH MODELS, Hypothesis Testing, Fitting Probability Distributions to Risk Factors and Portfolios.

Download or read book An Engine Not a Camera written by Donald MacKenzie and published by MIT Press. This book was released on 2008-08-29 with total page 782 pages. Available in PDF, EPUB and Kindle. Book excerpt: In An Engine, Not a Camera, Donald MacKenzie argues that the emergence of modern economic theories of finance affected financial markets in fundamental ways. These new, Nobel Prize-winning theories, based on elegant mathematical models of markets, were not simply external analyses but intrinsic parts of economic processes. Paraphrasing Milton Friedman, MacKenzie says that economic models are an engine of inquiry rather than a camera to reproduce empirical facts. More than that, the emergence of an authoritative theory of financial markets altered those markets fundamentally. For example, in 1970, there was almost no trading in financial derivatives such as "futures." By June of 2004, derivatives contracts totaling $273 trillion were outstanding worldwide. MacKenzie suggests that this growth could never have happened without the development of theories that gave derivatives legitimacy and explained their complexities. MacKenzie examines the role played by finance theory in the two most serious crises to hit the world's financial markets in recent years: the stock market crash of 1987 and the market turmoil that engulfed the hedge fund Long-Term Capital Management in 1998. He also looks at finance theory that is somewhat beyond the mainstream—chaos theorist Benoit Mandelbrot's model of "wild" randomness. MacKenzie's pioneering work in the social studies of finance will interest anyone who wants to understand how America's financial markets have grown into their current form.

Download or read book Theory of Rational Option Pricing written by Robert C Merton and published by Legare Street Press. This book was released on 2022-10-27 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work is in the "public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.