The mathematics of derivatives : tools for designing numerical algorithms / Robert L. Navin.

Format:

Book

Author/Creator:

Navin, Robert L.

Series:

Wiley finance series.

Wiley finance series

Language:

English

Subjects (All):

Derivative securities--Valuation--Mathematical models.

Derivative securities.

Physical Description:

1 online resource (207 p.)

Edition:

1st edition

Other Title:

Tools for designing numerical algorithms

Place of Publication:

Hoboken, N.J. : Wiley, c2007.

Language Note:

English

System Details:

text file

Summary:

Praise for The Mathematics of Derivatives ""The Mathematics of Derivatives provides a concise pedagogical discussion of both fundamental and very recent developments in mathematical finance, and is particularly well suited for readers with a science or engineering background. It is written from the point of view of a physicist focused on providing an understanding of the methodology and the assumptions behind derivative pricing. Navin has a unique and elegant viewpoint, and will help mathematically sophisticated readers rapidly get up to speed in the latest Wall Street f

Contents:

Introduction to the techniques of derivative modeling

Preliminary mathematical tools

Stochastic calculus

Applications of stochastic calculus to finance

From stochastic processes formalism to differential equation formalism

Understanding the Black-Scholes equation

Interest rate hedging

Interest rate derivatives : HJM models

Differential equations, boundary conditions and solutions

Credit spreads

Specific models

Exercises

Solutions.

Notes:

Description based upon print version of record.

Includes bibliographical references (p. 178) and index.

ISBN:

9786610827008

9781119197034

1119197031

9781280827006

1280827009

9780470099773

0470099771

OCLC:

123954883