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9781119965824 1119965829 An essential reference for practitioners and students of quantitative financeFinancial analysts and investment bankers utilize mathematical finance tenets constantly in their encounters with financial markets, making a firm grasp of quantitative skills essential to a successful practitioner. Building upon the stochastic calculus basis established in "Volume I, Problems and Solutions in Mathematical Finance Volume II" concentrates on the study of equity, currency, and commodity derivatives. In their sequel study on mathematical finance, quantitative analysts Dr. Eric Chin and Dian Nel and risk management professor Dr. Sverrir Olafsson provide examples of both basic derivative securities and advanced model parameters. Mathematical and computational finance rely on computational intelligence, numerical methods, and computer simulations to make trading, hedging, and investment decisions, to determine the risk of those decisions, and to define price derivatives.Details the problem-solving process that determines popular option pricing techniques including procedures from closed-form solutions to numerical methodsProvides the background required to enrich a career based in equities, currency, and commodity derivativesFor students and practitioners of quantitative finance, the detailed explanations of equity derivatives in this book will enrich any study of financial markets., Detailed guidance on the mathematics behind equity derivatives"Problems and Solutions in Mathematical Finance Volume II" is an innovative reference for quantitative practitioners and students, providing guidance through a range of mathematical problems encountered in the finance industry. This volume focuses solely on equity derivatives problems, beginning with basic problems in derivatives securities before moving on to more advanced applications, including the construction of volatility surfaces to price exotic options. By providing a methodology for solving theoretical and practical problems, whilst explaining the limitations of financial models, this book helps readers to develop the skills they need to advance their careers. The text covers a wide range of derivatives pricing, such as European, American, Asian, Barrier and other exotic options. Extensive appendices provide a summary of important formulae from calculus, theory of probability, and differential equations, for the convenience of readers.As Volume II of the four-volume" Problems and Solutions in Mathematical Finance" series, this book provides clear explanation of the mathematics behind equity derivatives, in order to help readers gain a deeper understanding of their mechanics and a firmer grasp of the calculations.Review the fundamentals of equity derivativesWork through problems from basic securities to advanced exotics pricingExamine numerical methods and detailed derivations of closed-form solutionsUtilise formulae for probability, differential equations, and moreMathematical finance relies on mathematical models, numerical methods, computational algorithms and simulations to make trading, hedging, and investment decisions. For the practitioners and graduate students of quantitative finance, "Problems and Solutions in Mathematical Finance Volume II" provides essential guidance principally towards the subject of equity derivatives., Mathematical finance is a vast subject and is an ever growing field that no single book can cover everything, nor should it try to do so. Following on from the detailed treatment on stochastic calculus in volume I, this volume focuses on solving equity, currency and commodity derivative problems faced in today's world. By providing a methodology of solving theoretical and practical problems as well as discussing the limitations of financial models, readers will have a better understanding of the problem at hand, and hence fast track them to the next two volumes. This volume is the first practical volume of the series containing basic problems in derivative securities before moving on to more advanced applications in the industry such as estimation of model parameters and constructing volatility surfaces to price exotic options. This volume contains problems and solutions of popular option pricing techniques ranging from detailed derivation of closed-form solutions to numerical methods. It will provide the reader with the necessary skills to enhance their career specialising in equities, currency and commodity derivatives and will provide a valuable reference book for practitioners and graduate students of quantitative finance.
9781119965824 1119965829 An essential reference for practitioners and students of quantitative financeFinancial analysts and investment bankers utilize mathematical finance tenets constantly in their encounters with financial markets, making a firm grasp of quantitative skills essential to a successful practitioner. Building upon the stochastic calculus basis established in "Volume I, Problems and Solutions in Mathematical Finance Volume II" concentrates on the study of equity, currency, and commodity derivatives. In their sequel study on mathematical finance, quantitative analysts Dr. Eric Chin and Dian Nel and risk management professor Dr. Sverrir Olafsson provide examples of both basic derivative securities and advanced model parameters. Mathematical and computational finance rely on computational intelligence, numerical methods, and computer simulations to make trading, hedging, and investment decisions, to determine the risk of those decisions, and to define price derivatives.Details the problem-solving process that determines popular option pricing techniques including procedures from closed-form solutions to numerical methodsProvides the background required to enrich a career based in equities, currency, and commodity derivativesFor students and practitioners of quantitative finance, the detailed explanations of equity derivatives in this book will enrich any study of financial markets., Detailed guidance on the mathematics behind equity derivatives"Problems and Solutions in Mathematical Finance Volume II" is an innovative reference for quantitative practitioners and students, providing guidance through a range of mathematical problems encountered in the finance industry. This volume focuses solely on equity derivatives problems, beginning with basic problems in derivatives securities before moving on to more advanced applications, including the construction of volatility surfaces to price exotic options. By providing a methodology for solving theoretical and practical problems, whilst explaining the limitations of financial models, this book helps readers to develop the skills they need to advance their careers. The text covers a wide range of derivatives pricing, such as European, American, Asian, Barrier and other exotic options. Extensive appendices provide a summary of important formulae from calculus, theory of probability, and differential equations, for the convenience of readers.As Volume II of the four-volume" Problems and Solutions in Mathematical Finance" series, this book provides clear explanation of the mathematics behind equity derivatives, in order to help readers gain a deeper understanding of their mechanics and a firmer grasp of the calculations.Review the fundamentals of equity derivativesWork through problems from basic securities to advanced exotics pricingExamine numerical methods and detailed derivations of closed-form solutionsUtilise formulae for probability, differential equations, and moreMathematical finance relies on mathematical models, numerical methods, computational algorithms and simulations to make trading, hedging, and investment decisions. For the practitioners and graduate students of quantitative finance, "Problems and Solutions in Mathematical Finance Volume II" provides essential guidance principally towards the subject of equity derivatives., Mathematical finance is a vast subject and is an ever growing field that no single book can cover everything, nor should it try to do so. Following on from the detailed treatment on stochastic calculus in volume I, this volume focuses on solving equity, currency and commodity derivative problems faced in today's world. By providing a methodology of solving theoretical and practical problems as well as discussing the limitations of financial models, readers will have a better understanding of the problem at hand, and hence fast track them to the next two volumes. This volume is the first practical volume of the series containing basic problems in derivative securities before moving on to more advanced applications in the industry such as estimation of model parameters and constructing volatility surfaces to price exotic options. This volume contains problems and solutions of popular option pricing techniques ranging from detailed derivation of closed-form solutions to numerical methods. It will provide the reader with the necessary skills to enhance their career specialising in equities, currency and commodity derivatives and will provide a valuable reference book for practitioners and graduate students of quantitative finance.