Mathematical Models of Financial Derivatives: Vol 1 (Springer financial mathematics) - Hardcover

Kwok, Yue-Kuen

Hardcover

ISBN 10: 9813083255 ISBN 13: 9789813083257

Publisher: Springer Verlag, Singapore, 1998

Synopsis

Financial Mathematics is one of the fastest growing research fields in applied mathematics. Leading edge banking and financial firms around the globe are hiring science experts who can use advanced analytical and numerical techniques to price financial derivatives and manage portfolio risks, a phenomena coined as "Rocket Sciences on Wall Street". As such, new degree programs in mathematical and computational finance have also sprouted both in North America and the Far East.To-date, there is a lack of texts stressing on the mathematical aspects of derivative pricing which can meet the demands from students enrolled in these new degree programs. Mathematical Models of Financial Derivatives fills a gap for textbooks to serve this increasing demand. It models derivative products based mainly on the differential equation approach, together with numerical solution techniques when appropriate. Research results and concepts are made accessible to the student through extensive, well thought out exercises at the end of each chapter.

About this title

Review

From the reviews of the second edition:

"Mathematical Models of Financial Derivatives is a ... comprehensive collection of known facts and techniques, as well as a methodologically thought-through textbook on derivative pricing in financial markets. The book is written both for a novice who will profit from its numerous and well-conceived exercises, and a practitioner who wants to brush up on finer points of the classical pricing theory behind a specific financial product. ... it will certainly attract many a non-mathematician with an interest in quantitative methods in finance ... ." (Gordan Žitkovic, The Mathematical Association of America, March, 2009)

"This book is written mainly as a textbook of modeling on derivative pricing theory for the students in financial engineering, computational finance etc. It provides basic knowledge of mathematical theory and applications of the financial derivatives. ... This book can also be used as an Instructor’s Manual of reference of those in financial institutions." (Gong Guanglu, Zentralblatt MATH, Vol. 1146, 2008)

From the Back Cover

Mathematical Models of Financial Derivatives is a textbook on the theory behind

modeling derivatives using the financial engineering approach, focussing on the martingale pricing principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are

analyzed, emphasizing on the aspects of pricing, hedging and their risk management. Starting from the renowned Black-Scholes-Merton formulation of option pricing model, readers are guided through the text on the new advances on the state-of-the-art derivative pricing models and interest rate models. Both analytic techniques and numerical methods for solving various types of derivative pricing models are emphasized.

The second edition presents a substantial revision of the first edition. The continuous-time martingale pricing theory is motivated through analysis of the underlying financial economics principles within a discrete-time framework. A large collection of closed-form formulas of various forms of exotic equity and fixed income derivatives are documented. The most recent research results and methodologies are made accessible to readers through the extensive set of exercises at the end of each chapter.

Yue-Kuen Kwok is Professor of Mathematics at Hong Kong University of Science and Technology. He is the author of over 80 research papers and several books, including Applied Complex Variables. He is an associate editor of Journal of Economic Dynamics and Control and Asia-Pacific Financial Markets.

Edition details

• Publisher: Springer Verlag, Singapore
• Publication date: 1998
• Language: English
• ISBN 10: 9813083255
• ISBN 13: 9789813083257
• Binding: Hardcover
• Number of pages: 386