Financial Engineering and Computation
Principles, Mathematics, Algorithms
£108.00
- Author: Yuh-Dauh Lyuu, National Taiwan University
- Date Published: January 2002
- availability: Available
- format: Hardback
- isbn: 9780521781718
£
108.00
Hardback
Other available formats:
eBook
Looking for an inspection copy?
This title is not currently available on inspection.
-
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.
Read 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
Reviews & endorsements
'… 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
Customer reviews
Not yet reviewed
Be the first to review
Review was not posted due to profanity
×Product details
- Date Published: January 2002
- 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.-
General Resources
Find resources associated with this title
Type Name Unlocked * Format Size Showing of
This title is supported by one or more locked resources. Access to locked resources is granted exclusively by Cambridge University Press to lecturers whose faculty status has been verified. To gain access to locked resources, lecturers should sign in to or register for a Cambridge user account.
Please use locked resources responsibly and exercise your professional discretion when choosing how you share these materials with your students. Other lecturers may wish to use locked resources for assessment purposes and their usefulness is undermined when the source files (for example, solution manuals or test banks) are shared online or via social networks.
Supplementary resources are subject to copyright. Lecturers are permitted to view, print or download these resources for use in their teaching, but may not change them or use them for commercial gain.
If you are having problems accessing these resources please contact [email protected].
Sorry, this resource is locked
Please register or sign in to request access. If you are having problems accessing these resources please email [email protected]
Register Sign in» Proceed
You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner www.ebooks.com. Please see the permission section of the www.ebooks.com catalogue page for details of the print & copy limits on our eBooks.
Continue ×Are you sure you want to delete your account?
This cannot be undone.
Thank you for your feedback which will help us improve our service.
If you requested a response, we will make sure to get back to you shortly.
×