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Author: Luca Spadafora Publisher: World Scientific Publishing Company ISBN: 9813202491 Category : Business & Economics Languages : en Pages : 224
Book Description
This book provides simple introduction to quantitative finance for students and junior quants who want to approach the typical industry problems with practical but rigorous ambition. It shows a simple link between theoretical technicalities and practical solutions. Mathematical aspects are discussed from a practitioner perspective, with a deep focus on practical implications, favoring the intuition and the imagination. In addition, the new post-crisis paradigms, like multi-curves, x-value adjustments (xVA) and Counterparty Credit Risk are also discussed in a very simple framework. Finally, real world data and numerical simulations are compared in order to provide a reader with a simple and handy insight on the actual model performances.
Author: Luca Spadafora Publisher: World Scientific Publishing Company ISBN: 9813202491 Category : Business & Economics Languages : en Pages : 224
Book Description
This book provides simple introduction to quantitative finance for students and junior quants who want to approach the typical industry problems with practical but rigorous ambition. It shows a simple link between theoretical technicalities and practical solutions. Mathematical aspects are discussed from a practitioner perspective, with a deep focus on practical implications, favoring the intuition and the imagination. In addition, the new post-crisis paradigms, like multi-curves, x-value adjustments (xVA) and Counterparty Credit Risk are also discussed in a very simple framework. Finally, real world data and numerical simulations are compared in order to provide a reader with a simple and handy insight on the actual model performances.
Author: Thomas Mazzoni Publisher: Cambridge University Press ISBN: 1108419577 Category : Business & Economics Languages : en Pages : 599
Book Description
Using stereoscopic images and other novel pedagogical features, this book offers a comprehensive introduction to quantitative finance.
Author: Robert R. Reitano Publisher: CRC Press ISBN: 1003844979 Category : Mathematics Languages : en Pages : 257
Book Description
Every finance professional wants and needs a competitive edge. A firm foundation in advanced mathematics can translate into dramatic advantages to professionals willing to obtain it. Many are not—and that is the competitive edge these books offer the astute reader. Published under the collective title of Foundations of Quantitative Finance, this set of ten books develops the advanced topics in mathematics that finance professionals need to advance their careers. These books expand the theory most do not learn in graduate finance programs, or in most financial mathematics undergraduate and graduate courses. As an investment executive and authoritative instructor, Robert R. Reitano presents the mathematical theories he encountered and used in nearly three decades in the financial services industry and two decades in academia where he taught in highly respected graduate programs. Readers should be quantitatively literate and familiar with the developments in the earlier books in the set. While the set offers a continuous progression through these topics, each title can be studied independently. Features Extensively referenced to materials from earlier books Presents the theory needed to support advanced applications Supplements previous training in mathematics, with more detailed developments Built from the author's five decades of experience in industry, research, and teaching Published and forthcoming titles in the Robert R. Reitano Quantitative Finance Series: Book I: Measure Spaces and Measurable Functions Book II: Probability Spaces and Random Variables Book III: The Integrals of Lebesgue and (Riemann-)Stieltjes Book IV: Distribution Functions and Expectations Book V: General Measure and Integration Theory Book VI: Densities, Transformed Distributions, and Limit Theorems Book VII: Brownian Motion and Other Stochastic Processes Book VIII: Itô Integration and Stochastic Calculus 1 Book IX: Stochastic Calculus 2 and Stochastic Differential Equations Book X: Classical Models and Applications in Finance
Author: Christian Fries Publisher: John Wiley & Sons ISBN: 9780470179772 Category : Mathematics Languages : en Pages : 512
Book Description
A balanced introduction to the theoretical foundations and real-world applications of mathematical finance 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: Maria Cristina Mariani Publisher: John Wiley & Sons ISBN: 1118629965 Category : Business & Economics Languages : en Pages : 494
Book Description
Presents a multitude of topics relevant to the quantitative finance community by combining the best of the theory with the usefulness of applications Written by accomplished teachers and researchers in the field, this book presents quantitative finance theory through applications to specific practical problems and comes with accompanying coding techniques in R and MATLAB, and some generic pseudo-algorithms to modern finance. It also offers over 300 examples and exercises that are appropriate for the beginning student as well as the practitioner in the field. The Quantitative Finance book is divided into four parts. Part One begins by providing readers with the theoretical backdrop needed from probability and stochastic processes. We also present some useful finance concepts used throughout the book. In part two of the book we present the classical Black-Scholes-Merton model in a uniquely accessible and understandable way. Implied volatility as well as local volatility surfaces are also discussed. Next, solutions to Partial Differential Equations (PDE), wavelets and Fourier transforms are presented. Several methodologies for pricing options namely, tree methods, finite difference method and Monte Carlo simulation methods are also discussed. We conclude this part with a discussion on stochastic differential equations (SDE’s). In the third part of this book, several new and advanced models from current literature such as general Lvy processes, nonlinear PDE's for stochastic volatility models in a transaction fee market, PDE's in a jump-diffusion with stochastic volatility models and factor and copulas models are discussed. In part four of the book, we conclude with a solid presentation of the typical topics in fixed income securities and derivatives. We discuss models for pricing bonds market, marketable securities, credit default swaps (CDS) and securitizations. Classroom-tested over a three-year period with the input of students and experienced practitioners Emphasizes the volatility of financial analyses and interpretations Weaves theory with application throughout the book Utilizes R and MATLAB software programs Presents pseudo-algorithms for readers who do not have access to any particular programming system Supplemented with extensive author-maintained web site that includes helpful teaching hints, data sets, software programs, and additional content Quantitative Finance is an ideal textbook for upper-undergraduate and beginning graduate students in statistics, financial engineering, quantitative finance, and mathematical finance programs. It will also appeal to practitioners in the same fields.
Author: Glenn Shafer Publisher: John Wiley & Sons ISBN: 1118547934 Category : Business & Economics Languages : en Pages : 483
Book Description
Game-theoretic probability and finance come of age Glenn Shafer and Vladimir Vovk’s Probability and Finance, published in 2001, showed that perfect-information games can be used to define mathematical probability. Based on fifteen years of further research, Game-Theoretic Foundations for Probability and Finance presents a mature view of the foundational role game theory can play. Its account of probability theory opens the way to new methods of prediction and testing and makes many statistical methods more transparent and widely usable. Its contributions to finance theory include purely game-theoretic accounts of Ito’s stochastic calculus, the capital asset pricing model, the equity premium, and portfolio theory. Game-Theoretic Foundations for Probability and Finance is a book of research. It is also a teaching resource. Each chapter is supplemented with carefully designed exercises and notes relating the new theory to its historical context. Praise from early readers “Ever since Kolmogorov's Grundbegriffe, the standard mathematical treatment of probability theory has been measure-theoretic. In this ground-breaking work, Shafer and Vovk give a game-theoretic foundation instead. While being just as rigorous, the game-theoretic approach allows for vast and useful generalizations of classical measure-theoretic results, while also giving rise to new, radical ideas for prediction, statistics and mathematical finance without stochastic assumptions. The authors set out their theory in great detail, resulting in what is definitely one of the most important books on the foundations of probability to have appeared in the last few decades.” – Peter Grünwald, CWI and University of Leiden “Shafer and Vovk have thoroughly re-written their 2001 book on the game-theoretic foundations for probability and for finance. They have included an account of the tremendous growth that has occurred since, in the game-theoretic and pathwise approaches to stochastic analysis and in their applications to continuous-time finance. This new book will undoubtedly spur a better understanding of the foundations of these very important fields, and we should all be grateful to its authors.” – Ioannis Karatzas, Columbia University
Author: Robert R. Reitano Publisher: CRC Press ISBN: 100078827X Category : Mathematics Languages : en Pages : 276
Book Description
Every financial professional wants and needs an advantage. A firm foundation in advanced mathematics can translate into dramatic advantages to professionals willing to obtain it. Many are not—and that is the advantage these books offer the astute reader. Published under the collective title of Foundations of Quantitative Finance, this set of ten books presents the advanced mathematics finance professionals need to advantage their careers, these books present the theory most do not learn in graduate finance programs, or in most financial mathematics undergraduate and graduate courses. As a high-level industry executive and authoritative instructor, Robert R. Reitano presents the mathematical theories he encountered in nearly three decades working in the financial industry and two decades teaching in highly respected graduate programs. Readers should be quantitatively literate and familiar with the developments in the first book in the set, Foundations of Quantitative Finance Book I: Measure Spaces and Measurable Functions.
Author: Robert R. Reitano Publisher: CRC Press ISBN: 1000880826 Category : Mathematics Languages : en Pages : 214
Book Description
Every financial professional wants and needs an advantage. A firm foundation in advanced mathematics can translate into dramatic advantages to professionals willing to obtain it. Many are not—and that is the advantage these books offer the astute reader. Published under the collective title of Foundations of Quantitative Finance, this set of ten books presents the advanced mathematics finance professionals need to advance their careers. These books develop the theory most do not learn in Graduate Finance programs, or in most Financial Mathematics undergraduate and graduate courses. As an investment executive and authoritative instructor, Robert R. Reitano presents the mathematical theories he encountered and used in nearly three decades in the financial industry and two decades in education where he taught in highly respected graduate programs. Readers should be quantitatively literate and familiar with the developments in the first book in the set. While the set offers a continuous progression through these topics, each title can also be studied independently. Features Extensively referenced to utilize materials from earlier books Presents the theory needed to support advanced applications Supplements previous training in mathematics, with more detailed developments Built from the author's five decades of experience in industry, research, and teaching Published and forthcoming titles in the Robert R. Reitano Quantitative Finance Series: Book I: Measure Spaces and Measurable Functions Book II: Probability Spaces and Random Variables Book III: The Integrals of Lebesgue and (Riemann-)Stieltjes Book IV: Distribution Functions and Expectations Book V: General Measure and Integration Theory Book VI: Densities, Transformed Distributions, and Limit Theorems Book VII: Brownian Motion and Other Stochastic Processes Book VIII: Itô Integration and Stochastic Calculus 1 Book IX: Stochastic Calculus 2 and Stochastic Differential Equations Book X: Classical Models and Applications in Finance
Author: Stephen Blyth Publisher: Oxford University Press, USA ISBN: 0199666598 Category : Business & Economics Languages : en Pages : 193
Book Description
The quantitative nature of complex financial transactions makes them a fascinating subject area for mathematicians of all types. This book gives an insight into financial engineering while building on introductory probability courses by detailing one of the most fascinating applications of the subject.
Author: Luca Spadafora
Author: Luca Spadafora
Author: Thomas Mazzoni
Author: Robert R. Reitano
Author: Christian Fries
Author: Maria Cristina Mariani
Author: Glenn Shafer
Author: Robert R. Reitano
Author: Robert R. Reitano
Author: Nico van der Wijst
Author: Stephen Blyth