Item description for Mathematical Models of Financial Derivatives (Springer Finance) by Yue-Kuen Kwok...
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.
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Est. Packaging Dimensions: Length: 1.5" Width: 6.5" Height: 9.5" Weight: 2.02 lbs.
Release Date Aug 15, 2008
ISBN 3540422889 ISBN13 9783540422884
Availability 149 units. Availability accurate as of May 24, 2017 10:01.
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More About Yue-Kuen Kwok
Yue-Kuen Kwok is Professor and Program Director of MSc in Mathematics (Financial Mathematics and Statistics) at the Department of Mathematics of Hong Kong University of Science and Technology
Reviews - What do customers think about Mathematical Models of Financial Derivatives (Springer Finance)?
MATHEMATICAL MODELS OF FINANCIAL DERIVATIVES Jul 31, 2002
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.
Lucid and detailed introduction Aug 20, 2001
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.
The cherry of this book is its well-thought out exercises Nov 26, 2000
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.
Mathematical Models of Financial Derivatives Jun 12, 2000
The book is only a undergraduate textbook with no surprise. The author just tried to collect every method in linear pde and applied to finance area. Content is more or less same as Paul Wilmott's "option pricing : mathematical models and computations".