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The Mathematics of Derivatives Securities with Applications in MATLAB

Autor MM Cerrato
en Limba Engleză Hardback – 20 feb 2012
The book is divided into two parts - the first part introduces probability theory, stochastic calculus and stochastic processes before moving on to the second part which instructs readers on how to apply the content learnt in part one to solve complex financial problems such as pricing and hedging exotic options, pricing American derivatives, pricing and hedging under stochastic volatility, and interest rate modelling. Each chapter provides a thorough discussion of the topics covered with practical examples in MATLAB so that readers will build up to an analysis of modern cutting edge research in finance, combining probabilistic models and cutting edge finance illustrated by MATLAB applications. Most books currently available on the subject require the reader to have some knowledge of the subject area and rarely consider computational applications such as MATLAB. This book stands apart from the rest as it covers complex analytical issues and complex financial instruments in a way that is accessible to those without a background in probability theory and finance, as well as providing detailed mathematical explanations with MATLAB code for a variety of topics and real world case examples.
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Specificații

ISBN-13: 9780470683699
ISBN-10: 0470683694
Pagini: 248
Ilustrații: Illustrations
Dimensiuni: 158 x 231 x 24 mm
Greutate: 0.5 kg
Editura: Wiley
Locul publicării:Chichester, United Kingdom

Public țintă

  Postgraduate students studying Mathematical Finance MSc′s

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Descriere

Discusses analytical issues and intricate financial instruments in a way that it is accessible to postgraduate students with or without a previous background in probability theory and finance. This title covers an overview of MATLAB and the various components that will be used alongside it throughout the textbook.