Download Ebook Mathematical Models of Financial Derivatives (Springer Finance), by Yue-Kuen Kwok
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Mathematical Models of Financial Derivatives (Springer Finance), by Yue-Kuen Kwok
Download Ebook Mathematical Models of Financial Derivatives (Springer Finance), by Yue-Kuen Kwok
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This second edition of Mathematical Models of Financial Derivatives, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. It presents a self-contained treatment of risk-neutral valuation theory, martingale measure, and tools in stochastic calculus required for the understanding of option pricing theory. Derivative pricing models are solved using various approaches, by martingale pricing theory and partial differential equation methods. This text is targeted to students in mathematical finance. It also serves as a good reference for quantitative analysts and derivative traders in investment banks. The most recent research results and methodologies are made accessible to the reader through the extensive set of exercises at the end of each chapter.
- Sales Rank: #2165262 in eBooks
- Published on: 2013-04-11
- Released on: 2013-04-11
- Format: Kindle eBook
From Publishers Weekly
この第2版では、ほとんどのデリバティブ(派生証券)に共通している評価原則に焦点を当てている.株式市場や債券市場で一般に取引が行われている広範囲に渡る金融デリバティブ(派生商品)が分析されており、価格設定やヘッジング、および実際の運用面に重きが置かれている.伊藤の公式やGirsanovの定理に関する議論、そしてリスク中立測度や同値マルチンゲール測度による価格決定アプローチが強調されている点も特徴である.クレジット・リスク・モデルとクレジットデリバティブに関する新しい章が追加されている.そして、多くの有用な例題によって最新のリサーチ結果が提供されている.
Copyright� Reed Business Information, a division of Reed Elsevier Inc. All rights reserved.
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.
Most helpful customer reviews
7 of 8 people found the following review helpful.
The cherry of this book is its well-thought out exercises
By Choi Chi Hung
This is a well-written textbook for beginners in financial derivatives. It is very comprehensive as it covers various financial products. The main attraction of this book is its exercises. Many problems come from past academic papers. I benefit a lot from doing those drills.
6 of 7 people found the following review helpful.
MATHEMATICAL MODELS OF FINANCIAL DERIVATIVES
By A Customer
The goal of this book is to disseminate the knowledge of a very technical subject to a very wide range of audience, including finance professionals. The author did a respectable job in that regard. With some improvement in future revisions, this book seems to be one of the best introductionary texts on stochastic calculus.
4 of 5 people found the following review helpful.
Lucid and detailed introduction
By A Customer
This is a really lucid and detailed introduction to derivative pricing theory from the pde way of doing things. The author is an applied mathematician, of the fluid mechanics variety, and this should tell you right away what the drift of the presentation is like.
Some will argue that all of Wilmott's books are along exactly the same line, so why do we need another pde book? Given the amazing number of textbooks dedicated to the martingale approach, it is great to have yet another, fresh way of looking at the pde approach.
The derivations come with all the necessary technical details, the style is very down to earth, and to my mind original. There are many details that I personally haven't seen in any other textbook before, and there are plenty of what seem like very useful exercises.
I really like this book, and it was a pleasant surprise to see it in a local library.
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