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Financial Engineering and Computation
Principles, Mathematics, Algorithms

Author: Yuh-Dauh Lyuu, National Taiwan University

Date Published: November 2001
availability: Available
format: Hardback
isbn: 9780521781718

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Students and professionals intending to work in any area of finance must master not only advanced concepts and mathematical models but also learn how to implement these models computationally. This comprehensive text, first published in 2002, combines the theory and mathematics behind financial engineering with an emphasis on computation, in keeping with the way financial engineering is practised in capital markets. Unlike most books on investments, financial engineering, or derivative securities, the book starts from very basic ideas in finance and gradually builds up the theory. It offers a thorough grounding in the subject for MBAs in finance, students of engineering and sciences who are pursuing a career in finance, researchers in computational finance, system analysts, and financial engineers. Along with the theory, the author presents numerous algorithms for pricing, risk management, and portfolio management. The emphasis is on pricing financial and derivative securities: bonds, options, futures, forwards, interest rate derivatives, mortgage-backed securities, bonds with embedded options, and more.
- Accessible to readers without any prior exposure to finance
- Introduces more financial and derivative securities than most other books
- Many algorithms in the book are coded in Java as programs for the Web
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'… offers a thorough grounding in the subject or MBAs in finance, students of engineering and sciences who are pursuing a career in finance, researchers in computational finance, system analysts, and financial engineers.' Zentralblatt für Didaktik der Mathematik

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Product details
- Date Published: November 2001
- format: Hardback
- isbn: 9780521781718
- length: 648 pages
- dimensions: 254 x 178 x 35 mm
- weight: 1.33kg
- availability: Available
Table of Contents
1. Introduction
2. Analysis of algorithms
3. Basic financial mathematics
4. Bond price volatility
5. Term structure of interest rates
6. Fundamental statistical concepts
7. Option basics
8. Arbitrage in option pricing
9. Option pricing models
10. Sensitivity analysis of options
11. Extensions of options theory
12. Forwards, futures, futures options, swaps
13. Stochastic processes and Brownian motion
14. Continuous-time financial mathematics
15. Continuous-time pricing
16. Hedging
17. Trees
18. Numerical methods
19. Matrix computation
20. Time series and estimation
21. Interest rate derivative securities
22. Term structure fitting
23. Introduction to term structure modeling
24. Foundations of term structure modeling
25. Equilibrium term structure models
26. No-arbitrage term structure models
27. Fixed-income securities
28. Introduction to mortgage-backed securities
29. Analysis of mortgage-backed securities
30. Collateralized mortgage obligations
31. Modern portfolio theory
32. Software.
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