A Primer for the Mathematics of Financial Engineering

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Publisher :
ISBN 13 : 9780979757624
Total Pages : 332 pages
Book Rating : 4.7/5 (576 download)

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Book Synopsis A Primer for the Mathematics of Financial Engineering by : Dan Stefanica

Download or read book A Primer for the Mathematics of Financial Engineering written by Dan Stefanica and published by . This book was released on 2011 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt:

A Primer for Financial Engineering

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Author :
Publisher : Academic Press
ISBN 13 : 0128017503
Total Pages : 156 pages
Book Rating : 4.1/5 (28 download)

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Book Synopsis A Primer for Financial Engineering by : Ali N. Akansu

Download or read book A Primer for Financial Engineering written by Ali N. Akansu and published by Academic Press. This book was released on 2015-03-25 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book bridges the fields of finance, mathematical finance and engineering, and is suitable for engineers and computer scientists who are looking to apply engineering principles to financial markets. The book builds from the fundamentals, with the help of simple examples, clearly explaining the concepts to the level needed by an engineer, while showing their practical significance. Topics covered include an in depth examination of market microstructure and trading, a detailed explanation of High Frequency Trading and the 2010 Flash Crash, risk analysis and management, popular trading strategies and their characteristics, and High Performance DSP and Financial Computing. The book has many examples to explain financial concepts, and the presentation is enhanced with the visual representation of relevant market data. It provides relevant MATLAB codes for readers to further their study. Please visit the companion website on http://booksite.elsevier.com/9780128015612/ - Provides engineering perspective to financial problems - In depth coverage of market microstructure - Detailed explanation of High Frequency Trading and 2010 Flash Crash - Explores risk analysis and management - Covers high performance DSP & financial computing

Principles of Financial Engineering

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Publisher : Academic Press
ISBN 13 : 0080919979
Total Pages : 697 pages
Book Rating : 4.0/5 (89 download)

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Book Synopsis Principles of Financial Engineering by : Salih N. Neftci

Download or read book Principles of Financial Engineering written by Salih N. Neftci and published by Academic Press. This book was released on 2008-12-09 with total page 697 pages. Available in PDF, EPUB and Kindle. Book excerpt: Principles of Financial Engineering, Second Edition, is a highly acclaimed text on the fast-paced and complex subject of financial engineering. This updated edition describes the "engineering" elements of financial engineering instead of the mathematics underlying it. It shows you how to use financial tools to accomplish a goal rather than describing the tools themselves. It lays emphasis on the engineering aspects of derivatives (how to create them) rather than their pricing (how they act) in relation to other instruments, the financial markets, and financial market practices. This volume explains ways to create financial tools and how the tools work together to achieve specific goals. Applications are illustrated using real-world examples. It presents three new chapters on financial engineering in topics ranging from commodity markets to financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles, and how to incorporate counterparty risk into derivatives pricing. Poised midway between intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pricing. This latest edition of Principles of Financial Engineering is ideal for financial engineers, quantitative analysts in banks and investment houses, and other financial industry professionals. It is also highly recommended to graduate students in financial engineering and financial mathematics programs. - The Second Edition presents 5 new chapters on structured product engineering, credit markets and instruments, and principle protection techniques, among other topics - Additions, clarifications, and illustrations throughout the volume show these instruments at work instead of explaining how they should act - The Solutions Manual enhances the text by presenting additional cases and solutions to exercises

Mathematics for Finance

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Publisher : Springer
ISBN 13 : 1852338466
Total Pages : 317 pages
Book Rating : 4.8/5 (523 download)

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Book Synopsis Mathematics for Finance by : Marek Capinski

Download or read book Mathematics for Finance written by Marek Capinski and published by Springer. This book was released on 2006-04-18 with total page 317 pages. Available in PDF, EPUB and Kindle. Book excerpt: This textbook contains the fundamentals for an undergraduate course in mathematical finance aimed primarily at students of mathematics. Assuming only a basic knowledge of probability and calculus, the material is presented in a mathematically rigorous and complete way. The book covers the time value of money, including the time structure of interest rates, bonds and stock valuation; derivative securities (futures, options), modelling in discrete time, pricing and hedging, and many other core topics. With numerous examples, problems and exercises, this book is ideally suited for independent study.

Principles of Financial Engineering

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Publisher : Academic Press
ISBN 13 : 0123870070
Total Pages : 893 pages
Book Rating : 4.1/5 (238 download)

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Book Synopsis Principles of Financial Engineering by : Robert Kosowski

Download or read book Principles of Financial Engineering written by Robert Kosowski and published by Academic Press. This book was released on 2014-11-26 with total page 893 pages. Available in PDF, EPUB and Kindle. Book excerpt: Principles of Financial Engineering, Third Edition, is a highly acclaimed text on the fast-paced and complex subject of financial engineering. This updated edition describes the "engineering" elements of financial engineering instead of the mathematics underlying it. It shows how to use financial tools to accomplish a goal rather than describing the tools themselves. It lays emphasis on the engineering aspects of derivatives (how to create them) rather than their pricing (how they act) in relation to other instruments, the financial markets, and financial market practices. This volume explains ways to create financial tools and how the tools work together to achieve specific goals. Applications are illustrated using real-world examples. It presents three new chapters on financial engineering in topics ranging from commodity markets to financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles, and how to incorporate counterparty risk into derivatives pricing. Poised midway between intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pricing. A solutions manual enhances the text by presenting additional cases and solutions to exercises. This latest edition of Principles of Financial Engineering is ideal for financial engineers, quantitative analysts in banks and investment houses, and other financial industry professionals. It is also highly recommended to graduate students in financial engineering and financial mathematics programs. - The Third Edition presents three new chapters on financial engineering in commodity markets, financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles and how to incorporate counterparty risk into derivatives pricing, among other topics - Additions, clarifications, and illustrations throughout the volume show these instruments at work instead of explaining how they should act - The solutions manual enhances the text by presenting additional cases and solutions to exercises

Solutions Manual - a Linear Algebra Primer for Financial Engineering

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Publisher :
ISBN 13 : 9780979757662
Total Pages : pages
Book Rating : 4.7/5 (576 download)

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Book Synopsis Solutions Manual - a Linear Algebra Primer for Financial Engineering by : Dan Stefanica

Download or read book Solutions Manual - a Linear Algebra Primer for Financial Engineering written by Dan Stefanica and published by . This book was released on 2016-08-22 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

A Linear Algebra Primer for Financial Engineering

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Publisher :
ISBN 13 : 9780979757655
Total Pages : 324 pages
Book Rating : 4.7/5 (576 download)

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Book Synopsis A Linear Algebra Primer for Financial Engineering by : Dan Stefanica

Download or read book A Linear Algebra Primer for Financial Engineering written by Dan Stefanica and published by . This book was released on 2014-09-25 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Optimal Statistical Inference in Financial Engineering

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Publisher : CRC Press
ISBN 13 : 1420011030
Total Pages : 379 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis Optimal Statistical Inference in Financial Engineering by : Masanobu Taniguchi

Download or read book Optimal Statistical Inference in Financial Engineering written by Masanobu Taniguchi and published by CRC Press. This book was released on 2007-11-26 with total page 379 pages. Available in PDF, EPUB and Kindle. Book excerpt: Until now, few systematic studies of optimal statistical inference for stochastic processes had existed in the financial engineering literature, even though this idea is fundamental to the field. Balancing statistical theory with data analysis, Optimal Statistical Inference in Financial Engineering examines how stochastic models can effectively des

A Course in Financial Calculus

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Publisher : Cambridge University Press
ISBN 13 : 9780521890779
Total Pages : 208 pages
Book Rating : 4.8/5 (97 download)

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Book Synopsis A Course in Financial Calculus by : Alison Etheridge

Download or read book A Course in Financial Calculus written by Alison Etheridge and published by Cambridge University Press. This book was released on 2002-08-15 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance provides a dramatic example of the successful application of mathematics to the practical problem of pricing financial derivatives. This self-contained text is designed for first courses in financial calculus. Key concepts are introduced in the discrete time framework: proofs in the continuous-time world follow naturally. The second half of the book is devoted to financially sophisticated models and instruments. A valuable feature is the large number of exercises and examples, designed to test technique and illustrate how the methods and concepts are applied to realistic financial questions.

A First Course in Quantitative Finance

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Publisher : Cambridge University Press
ISBN 13 : 1108419577
Total Pages : 599 pages
Book Rating : 4.1/5 (84 download)

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Book Synopsis A First Course in Quantitative Finance by : Thomas Mazzoni

Download or read book A First Course in Quantitative Finance written by Thomas Mazzoni and published by Cambridge University Press. This book was released on 2018-03-29 with total page 599 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using stereoscopic images and other novel pedagogical features, this book offers a comprehensive introduction to quantitative finance.

An Introduction to the Mathematics of Financial Derivatives

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Publisher : Academic Press
ISBN 13 : 0125153929
Total Pages : 550 pages
Book Rating : 4.1/5 (251 download)

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Book Synopsis An Introduction to the Mathematics of Financial Derivatives by : Salih N. Neftci

Download or read book An Introduction to the Mathematics of Financial Derivatives written by Salih N. Neftci and published by Academic Press. This book was released on 2000-05-19 with total page 550 pages. Available in PDF, EPUB and Kindle. Book excerpt: A step-by-step explanation of the mathematical models used to price derivatives. For this second edition, Salih Neftci has expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He does not assume that the reader has a thorough mathematical background. His explanations of financial calculus seek to be simple and perceptive.

Algorithmic and High-Frequency Trading

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Publisher : Cambridge University Press
ISBN 13 : 1316453650
Total Pages : 360 pages
Book Rating : 4.3/5 (164 download)

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Book Synopsis Algorithmic and High-Frequency Trading by : Álvaro Cartea

Download or read book Algorithmic and High-Frequency Trading written by Álvaro Cartea and published by Cambridge University Press. This book was released on 2015-08-06 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: The design of trading algorithms requires sophisticated mathematical models backed up by reliable data. In this textbook, the authors develop models for algorithmic trading in contexts such as executing large orders, market making, targeting VWAP and other schedules, trading pairs or collection of assets, and executing in dark pools. These models are grounded on how the exchanges work, whether the algorithm is trading with better informed traders (adverse selection), and the type of information available to market participants at both ultra-high and low frequency. Algorithmic and High-Frequency Trading is the first book that combines sophisticated mathematical modelling, empirical facts and financial economics, taking the reader from basic ideas to cutting-edge research and practice. If you need to understand how modern electronic markets operate, what information provides a trading edge, and how other market participants may affect the profitability of the algorithms, then this is the book for you.

Statistics and Data Analysis for Financial Engineering

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Publisher : Springer
ISBN 13 : 1493926144
Total Pages : 736 pages
Book Rating : 4.4/5 (939 download)

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Book Synopsis Statistics and Data Analysis for Financial Engineering by : David Ruppert

Download or read book Statistics and Data Analysis for Financial Engineering written by David Ruppert and published by Springer. This book was released on 2015-04-21 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: The new edition of this influential textbook, geared towards graduate or advanced undergraduate students, teaches the statistics necessary for financial engineering. In doing so, it illustrates concepts using financial markets and economic data, R Labs with real-data exercises, and graphical and analytic methods for modeling and diagnosing modeling errors. These methods are critical because financial engineers now have access to enormous quantities of data. To make use of this data, the powerful methods in this book for working with quantitative information, particularly about volatility and risks, are essential. Strengths of this fully-revised edition include major additions to the R code and the advanced topics covered. Individual chapters cover, among other topics, multivariate distributions, copulas, Bayesian computations, risk management, and cointegration. Suggested prerequisites are basic knowledge of statistics and probability, matrices and linear algebra, and calculus. There is an appendix on probability, statistics and linear algebra. Practicing financial engineers will also find this book of interest.

Actuarial Finance

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Publisher : John Wiley & Sons
ISBN 13 : 1119137012
Total Pages : 592 pages
Book Rating : 4.1/5 (191 download)

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Book Synopsis Actuarial Finance by : Mathieu Boudreault

Download or read book Actuarial Finance written by Mathieu Boudreault and published by John Wiley & Sons. This book was released on 2019-03-22 with total page 592 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new textbook offering a comprehensive introduction to models and techniques for the emerging field of actuarial Finance Drs. Boudreault and Renaud answer the need for a clear, application-oriented guide to the growing field of actuarial finance with this volume, which focuses on the mathematical models and techniques used in actuarial finance for the pricing and hedging of actuarial liabilities exposed to financial markets and other contingencies. With roots in modern financial mathematics, actuarial finance presents unique challenges due to the long-term nature of insurance liabilities, the presence of mortality or other contingencies and the structure and regulations of the insurance and pension markets. Motivated, designed and written for and by actuaries, this book puts actuarial applications at the forefront in addition to balancing mathematics and finance at an adequate level to actuarial undergraduates. While the classical theory of financial mathematics is discussed, the authors provide a thorough grounding in such crucial topics as recognizing embedded options in actuarial liabilities, adequately quantifying and pricing liabilities, and using derivatives and other assets to manage actuarial and financial risks. Actuarial applications are emphasized and illustrated with about 300 examples and 200 exercises. The book also comprises end-of-chapter point-form summaries to help the reader review the most important concepts. Additional topics and features include: Compares pricing in insurance and financial markets Discusses event-triggered derivatives such as weather, catastrophe and longevity derivatives and how they can be used for risk management; Introduces equity-linked insurance and annuities (EIAs, VAs), relates them to common derivatives and how to manage mortality for these products Introduces pricing and replication in incomplete markets and analyze the impact of market incompleteness on insurance and risk management; Presents immunization techniques alongside Greeks-based hedging; Covers in detail how to delta-gamma/rho/vega hedge a liability and how to rebalance periodically a hedging portfolio. This text will prove itself a firm foundation for undergraduate courses in financial mathematics or economics, actuarial mathematics or derivative markets. It is also highly applicable to current and future actuaries preparing for the exams or actuary professionals looking for a valuable addition to their reference shelf. As of 2019, the book covers significant parts of the Society of Actuaries’ Exams FM, IFM and QFI Core, and the Casualty Actuarial Society’s Exams 2 and 3F. It is assumed the reader has basic skills in calculus (differentiation and integration of functions), probability (at the level of the Society of Actuaries’ Exam P), interest theory (time value of money) and, ideally, a basic understanding of elementary stochastic processes such as random walks.

Interest Rate Modelling

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Publisher : John Wiley & Sons
ISBN 13 :
Total Pages : 680 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Interest Rate Modelling by : Jessica James

Download or read book Interest Rate Modelling written by Jessica James and published by John Wiley & Sons. This book was released on 2000-06-08 with total page 680 pages. Available in PDF, EPUB and Kindle. Book excerpt: Back Cover ( this section should include endorsements also) As interest rate markets continue to innovate and expand it is becoming increasingly important to remain up-to-date with the latest practical and theoretical developments. This book covers the latest developments in full, with descriptions and implementation techniques for all the major classes of interest rate models - both those actively used in practice as well as theoretical models still 'waiting in the wings'. Interest rate models, implementation methods and estimation issues are discussed at length by the authors as are important new developments such as kernel estimation techniques, economic based models, implied pricing methods and models on manifolds. Providing balanced coverage of both the practical use of models and the theory that underlies them, Interest Rate Modelling adopts an implementation orientation throughout making it an ideal resource for both practitioners and researchers. Back Flap Jessica James Jessica James is Head of Research for Bank One's Strategic Risk Management group, based in the UK. Jessica started life as a physicist at Manchester University and completed her D Phil in Theoretical Atomic and Nuclear Physics at Christ Church, Oxford, under Professor Sandars. After a year as a college lecturer at Trinity, Oxford, she began work at the First National Bank of Chicago, now Bank One, where she still works. She is well known as a speaker on the conference circuit, lecturing on a variety of topics such as VaR, capital allocation, credit derivatives and interest rate modelling, and has published articles on various aspects of financial modelling. Nick Webber Nick Webber is a lecturer in Finance at Warwick Business School. Prior to his academic career, Nick had extensive experience in the industrial and commercial world in operational research and computing. After obtaining a PhD in Theoretical Physics from Imperial College he began research into financial options. His main area of research centres on interest rate modelling and computational finance. He has taught practitioner and academic courses for many years, chiefly on options and interest rates. Front Flap Interest Rate Modelling provides a comprehensive resource on all the main aspects of valuing and hedging interest rate products. A series of introductory chapters reviews the theoretical background, pointing out the problems in using naïve valuation and implementation techniques. There follows a full analysis of interest rate models including major categories, such as Affine, HJM and Market models, and in addition, lesser well known types that include Consol, Random field and Jump-augmented Models. Implementation methods are discussed in depth including the latest developments in the use of finite difference, Lattice and Monte Carlo methods and their particular application to the valuation of interest rate derivatives. Containing previously unpublished material, Interest Rate Modelling is a key reference work both for practitioners developing and implementing models for real and for academics teaching and researching in the field.

Financial Engineering with Derivatives

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Publisher : Irwin Professional Publishing
ISBN 13 :
Total Pages : 208 pages
Book Rating : 4.3/5 (512 download)

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Book Synopsis Financial Engineering with Derivatives by : Robert Arnold Klein

Download or read book Financial Engineering with Derivatives written by Robert Arnold Klein and published by Irwin Professional Publishing. This book was released on 1995 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 10 thought-provoking chapters, some of the industry's heavy-hitters share the latest information on a fascinating range of topics, including exotic options, structured notes, derivatives on foreign equities, mortgage-backed securities, and commodities. These financial experts analyze each innovation in detail, providing a theoretical point of view as well as from an applied real-world perspective. Inside, you'll find creative uses of FLEX options; techniques for increasing returns with structured notes; new applications for currency forwards; ways to reengineer cash flows through mortgage derivatives; important lessons learned from recent derivatives-related losses and much more.

Computational Finance

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Publisher : Springer Science & Business Media
ISBN 13 : 9462390703
Total Pages : 305 pages
Book Rating : 4.4/5 (623 download)

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Book Synopsis Computational Finance by : Argimiro Arratia

Download or read book Computational Finance written by Argimiro Arratia and published by Springer Science & Business Media. This book was released on 2014-05-08 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book covers a wide range of topics, yet essential, in Computational Finance (CF), understood as a mix of Finance, Computational Statistics, and Mathematics of Finance. In that regard it is unique in its kind, for it touches upon the basic principles of all three main components of CF, with hands-on examples for programming models in R. Thus, the first chapter gives an introduction to the Principles of Corporate Finance: the markets of stock and options, valuation and economic theory, framed within Computation and Information Theory (e.g. the famous Efficient Market Hypothesis is stated in terms of computational complexity, a new perspective). Chapters 2 and 3 give the necessary tools of Statistics for analyzing financial time series, it also goes in depth into the concepts of correlation, causality and clustering. Chapters 4 and 5 review the most important discrete and continuous models for financial time series. Each model is provided with an example program in R. Chapter 6 covers the essentials of Technical Analysis (TA) and Fundamental Analysis. This chapter is suitable for people outside academics and into the world of financial investments, as a primer in the methods of charting and analysis of value for stocks, as it is done in the financial industry. Moreover, a mathematical foundation to the seemly ad-hoc methods of TA is given, and this is new in a presentation of TA. Chapter 7 reviews the most important heuristics for optimization: simulated annealing, genetic programming, and ant colonies (swarm intelligence) which is material to feed the computer savvy readers. Chapter 8 gives the basic principles of portfolio management, through the mean-variance model, and optimization under different constraints which is a topic of current research in computation, due to its complexity. One important aspect of this chapter is that it teaches how to use the powerful tools for portfolio analysis from the RMetrics R-package. Chapter 9 is a natural continuation of chapter 8 into the new area of research of online portfolio selection. The basic model of the universal portfolio of Cover and approximate methods to compute are also described.