Modelling Financial Derivatives with MATHEMATICA ®

Shaw, William T.

ISBN 10: 052159233X / ISBN 13: 9780521592338

Published by Cambridge University Press (edition First Edition), 1999

It's a preowned item in good condition and includes all the pages. It may have some general signs of wear and tear, such as markings, highlighting, slight damage to the cover, minimal wear to the binding, etc., but they will not affect the overall reading experience. Seller Inventory # 052159233X-11-1

Synopsis:

One of the most important tasks in finance is to find good mathematical models for financial products, in particular derivatives. However, the more realistic the model, the more practitioners face still-unsolved problems in rigorous mathematics and econometrics in addition to serious numerical difficulties. The idea behind this work is to use Mathematica to provide a wide range of exact benchmark models against which inexact models can be tested and verified. In so doing, the author is able to explain when models and numerical schemes can be relied on, and when they can't. Benchmarking is also applied to Monte Carlo simulations. Mathematica's graphical and animation capabilities are exploited to show how a model's characteristics can be visualised in two and three dimensions, thereby gaining further insight. The models described are all available on an accompanying CD that runs on most Windows and Macintosh platforms; to be able fully to use the software, Mathematica 3.0 is required, though certain features are usable with Mathematica 2.2. This product will prove of inestimable worth for financial instrument valuation and hedging, checking existing models and for analysing derivatives; it can be used for professional or training purposes in financial institutions or universities, and on MBA courses.

Review: 'Shaw's book has the originality to present the standard mathematics of financial derivatives within a SAC [symbolic and algebraic computation]-assisted framework ... So, should we all become SAC experts? For many, the answer will probably be yes ... There are many useful examples that it will often be a case of looking for the instrument most closely related to the desired one, and adapting the example code as required ... Shaw's book is definitely worth looking at for a few days to get a feel for the ideas and advantages that lie away from the traditional programming approaches - and then could be a strong basis for a longer-term view of the subject.' Gabriele Susinno and Chris Shortland, RISK Magazine

Bibliographic Details

Title: Modelling Financial Derivatives with ...
Publisher: Cambridge University Press (edition First Edition)
Publication Date: 1999
Binding: Hardcover
Condition: Good
Edition: First Edition.