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The ever-growing use of derivative products makes it essential for financial industry practitioners to have a solid understanding of derivative pricing. To cope with the growing complexity, narrowing margins, and shortening life-cycle of the individual derivative product, an efficient, yet modular, implementation of the pricing algorithms is necessary. Mathematical Finance is the first book to harmonize the theory, modeling, and implementation of today's most prevalent pricing models under one convenient cover. Building a bridge from academia to practice, this self-contained text applies theoretical concepts to real-world examples and introduces state-of-the-art, object-oriented programming techniques that equip the reader with the conceptual and illustrative tools needed to understand and develop successful derivative pricing models.

Utilizing almost twenty years of academic and industry experience, the author discusses the mathematical concepts that are the foundation of commonly used derivative pricing models, and insightful Motivation and Interpretation sections for each concept are presented to further illustrate the relationship between theory and practice. In-depth coverage of the common characteristics found amongst successful pricing models are provided in addition to key techniques and tips for the construction of these models. The opportunity to interactively explore the book's principal ideas and methodologies is made possible via a related Web site that features interactive Java experiments and exercises.

While a high standard of mathematical precision is retained, Mathematical Finance emphasizes practical motivations, interpretations, and results and is an excellent textbook for students in mathematical finance, computational finance, and derivative pricing courses at the upper undergraduate or beginning graduate level. It also serves as a valuable reference for professionals in the banking, insurance, and asset management industries.

- Author:
**Christian Fries** - Year:
**2007** - Publisher:
**Wiley** - Language:
**English** - ISBN:
**9780470047224,0470047224**

- File size:
**16 518 176** - Format:
**pdf**

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The book collects over 120 exercises on different subjects of Mathematical Finance, including Option Pricing, Risk Theory, and Interest Rate Models. Many of the exercises are solved, while others are only proposed. Every chapter contains an introductory s...

The book collects over 120 exercises on different subjects of Mathematical Finance, including Option Pricing, Risk Theory, and Interest Rate Models. Many of the exercises are solved, while others are only proposed. Every chapter contains an introductory s...

the mathematics of financial modeling & investment management The Mathematics of Financial Modeling & Investment Management covers a wide range of technical topics in mathematics and finance-enabling the investment management practitioner, researcher, or...

An outgrowth of the sixth conference on â€śMathematical Methods in Reliability: Theory, Methods, and Applications,â€ť this book is a selection of invited chapters, all of which deal with various aspects of mathematical and statistical models and methods in re...

Toward the late 1990s, several research groups independently began developing new, related theories in mathematical finance. These theories did away with the standard stochastic geometric diffusion â€śSamuelsonâ€ť market model (also known as the Black-Scholes...

This book highlights recent developments in mathematical control theory and its applications to finance. It presents a collection of original contributions by distinguished scholars, addressing a large spectrum of problems and techniques. Control theory p...

Mathematical Logic and Model Theory: A Brief Introduction offers a streamlined yet easy-to-read introduction to mathematical logic and basic model theory. It presents, in a self-contained manner, the essential aspects of model theory needed to understand ...

Optimization models play an increasingly important role in financial decisions. This is the first textbook devoted to explaining how recent advances in optimization models, methods and software can be applied to solve problems in computational finance mor...

This book highlights recent developments in mathematical control theory and its applications to finance. It presents a collection of original contributions by distinguished scholars, addressing a large spectrum of problems and techniques. Control theory p...

This book covers recent advances in efficiency evaluations, most notably Data Envelopment Analysis (DEA) and Stochastic Frontier Analysis (SFA) methods. It introduces the underlying theories, shows how to make the relevant calculations and discusses appli...

Lokale Bildungslandschaften sind heute mehr als ein theoretischer Entwurf, sondern gelebte Praxis an vielen Orten dieser Republik. Sie sind Rahmen fĂĽr eine neue Lernkultur, fĂĽr eine VerknĂĽpfung formaler und informeller Bildung und moderne Formen der Steue...

This volume constitutes the refereed proceedings of the 7th International Symposium on Bioinformatics Research and Applications, ISBRA 2011, held in Changsha, China, in May 2011. The 36 revised full papers presented together with 4 invited talks were care...