Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

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9780470431993: Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope
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A rigorous, yet accessible, introduction to essential topics inmathematical finance

Presented as a course on the topic, Quantitative Finance tracesthe evolution of financial theory and provides an overview of coretopics associated with financial investments. With its thoroughexplanations and use of real-world examples, this book carefullyoutlines instructions and techniques for working with essentialtopics found within quantitative finance including portfoliotheory, pricing of derivatives, decision theory, and the empiricalbehavior of prices.

The author begins with introductory chapters on mathematicalanalysis and probability theory, which provide the needed tools formodeling portfolio choice and pricing in discrete time. Next, areview of the basic arithmetic of compounding as well as therelationships that exist among bond prices and spot and forwardinterest rates is presented.? Additional topics coveredinclude:

  • Dividend discount models

  • Markowitz mean-variance theory

  • The Capital Asset Pricing Model

  • Static?portfolio theory based on the expected-utilityparadigm

  • Familiar probability models for marginal distributions ofreturns and the dynamic behavior of security prices

The final chapters of the book delve into the paradigms ofpricing and present the application of martingale pricing inadvanced models of price dynamics. Also included is a step-by-stepdiscussion on the use of Fourier methods to solve forarbitrage-free prices when underlying price dynamics are modeled inrealistic, but complex ways.

Throughout the book, the author presents insight on currentapproaches along with comments on the unique difficulties thatexist in the study of financial markets. These reflectionsillustrate the evolving nature of the financial field and helpreaders develop analytical techniques and tools to apply in theireveryday work. Exercises at the end of most chapters progress indifficulty, and selected worked-out solutions are available in theappendix. In addition, numerous empirical projects utilizeMATLAB® and Minitab® to demonstrate the mathematicaltools of finance for modeling the behavior of prices and markets.Data sets that accompany these projects can be found via the book'sFTP site.

Quantitative Finance is an excellent book for courses inquantitative finance or financial engineering at theupper-undergraduate and graduate levels. It is also a valuableresource for practitioners in related fields including engineering,finance, and economics.

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About the Author:

T. W. Epps, PhD, is Professor Emeritus of both Economics and Statistics at the University of Virginia.?A member of the American Finance Association, the American Statistical Association, and the Institute of Mathematical Statistics, Dr. Epps has published numerous journal articles in the areas of statistical theory, financial markets, time series analysis, and econometrics.

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Book Description John Wiley and Sons Ltd, United States, 2009. Hardback. Condition: New. New. Language: English. Brand new Book. A rigorous, yet accessible, introduction to essential topics in mathematical finance Presented as a course on the topic, Quantitative Finance traces the evolution of financial theory and provides an overview of core topics associated with financial investments. With its thorough explanations and use of real-world examples, this book carefully outlines instructions and techniques for working with essential topics found within quantitative finance including portfolio theory, pricing of derivatives, decision theory, and the empirical behavior of prices. The author begins with introductory chapters on mathematical analysis and probability theory, which provide the needed tools for modeling portfolio choice and pricing in discrete time. Next, a review of the basic arithmetic of compounding as well as the relationships that exist among bond prices and spot and forward interest rates is presented.? Additional topics covered include:* Dividend discount models* Markowitz mean-variance theory* The Capital Asset Pricing Model* Static?portfolio theory based on the expected-utility paradigm* Familiar probability models for marginal distributions of returns and the dynamic behavior of security prices The final chapters of the book delve into the paradigms of pricing and present the application of martingale pricing in advanced models of price dynamics.Also included is a step-by-step discussion on the use of Fourier methods to solve for arbitrage-free prices when underlying price dynamics are modeled in realistic, but complex ways. Throughout the book, the author presents insight on current approaches along with comments on the unique difficulties that exist in the study of financial markets. These reflections illustrate the evolving nature of the financial field and help readers develop analytical techniques and tools to apply in their everyday work. Exercises at the end of most chapters progress in difficulty, and selected worked-out solutions are available in the appendix. In addition, numerous empirical projects utilize MATLAB(r) and Minitab(r) to demonstrate the mathematical tools of finance for modeling the behavior of prices and markets. Data sets that accompany these projects can be found via the book's FTP site. Quantitative Finance is an excellent book for courses in quantitative finance or financial engineering at the upper-undergraduate and graduate levels. It is also a valuable resource for practitioners in related fields including engineering, finance, and economics. Seller Inventory # AAH9780470431993

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Book Description John Wiley and Sons Ltd, United States, 2009. Hardback. Condition: New. New. Language: English. Brand new Book. A rigorous, yet accessible, introduction to essential topics in mathematical finance Presented as a course on the topic, Quantitative Finance traces the evolution of financial theory and provides an overview of core topics associated with financial investments. With its thorough explanations and use of real-world examples, this book carefully outlines instructions and techniques for working with essential topics found within quantitative finance including portfolio theory, pricing of derivatives, decision theory, and the empirical behavior of prices. The author begins with introductory chapters on mathematical analysis and probability theory, which provide the needed tools for modeling portfolio choice and pricing in discrete time. Next, a review of the basic arithmetic of compounding as well as the relationships that exist among bond prices and spot and forward interest rates is presented.? Additional topics covered include:* Dividend discount models* Markowitz mean-variance theory* The Capital Asset Pricing Model* Static?portfolio theory based on the expected-utility paradigm* Familiar probability models for marginal distributions of returns and the dynamic behavior of security prices The final chapters of the book delve into the paradigms of pricing and present the application of martingale pricing in advanced models of price dynamics.Also included is a step-by-step discussion on the use of Fourier methods to solve for arbitrage-free prices when underlying price dynamics are modeled in realistic, but complex ways. Throughout the book, the author presents insight on current approaches along with comments on the unique difficulties that exist in the study of financial markets. These reflections illustrate the evolving nature of the financial field and help readers develop analytical techniques and tools to apply in their everyday work. Exercises at the end of most chapters progress in difficulty, and selected worked-out solutions are available in the appendix. In addition, numerous empirical projects utilize MATLAB(r) and Minitab(r) to demonstrate the mathematical tools of finance for modeling the behavior of prices and markets. Data sets that accompany these projects can be found via the book's FTP site. Quantitative Finance is an excellent book for courses in quantitative finance or financial engineering at the upper-undergraduate and graduate levels. It is also a valuable resource for practitioners in related fields including engineering, finance, and economics. Seller Inventory # AAH9780470431993

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Book Description John Wiley and Sons Ltd, United States, 2009. Hardback. Condition: New. New. Language: English. Brand new Book. A rigorous, yet accessible, introduction to essential topics in mathematical finance Presented as a course on the topic, Quantitative Finance traces the evolution of financial theory and provides an overview of core topics associated with financial investments. With its thorough explanations and use of real-world examples, this book carefully outlines instructions and techniques for working with essential topics found within quantitative finance including portfolio theory, pricing of derivatives, decision theory, and the empirical behavior of prices. The author begins with introductory chapters on mathematical analysis and probability theory, which provide the needed tools for modeling portfolio choice and pricing in discrete time. Next, a review of the basic arithmetic of compounding as well as the relationships that exist among bond prices and spot and forward interest rates is presented.? Additional topics covered include:* Dividend discount models* Markowitz mean-variance theory* The Capital Asset Pricing Model* Static?portfolio theory based on the expected-utility paradigm* Familiar probability models for marginal distributions of returns and the dynamic behavior of security prices The final chapters of the book delve into the paradigms of pricing and present the application of martingale pricing in advanced models of price dynamics.Also included is a step-by-step discussion on the use of Fourier methods to solve for arbitrage-free prices when underlying price dynamics are modeled in realistic, but complex ways. Throughout the book, the author presents insight on current approaches along with comments on the unique difficulties that exist in the study of financial markets. These reflections illustrate the evolving nature of the financial field and help readers develop analytical techniques and tools to apply in their everyday work. Exercises at the end of most chapters progress in difficulty, and selected worked-out solutions are available in the appendix. In addition, numerous empirical projects utilize MATLAB(r) and Minitab(r) to demonstrate the mathematical tools of finance for modeling the behavior of prices and markets. Data sets that accompany these projects can be found via the book's FTP site. Quantitative Finance is an excellent book for courses in quantitative finance or financial engineering at the upper-undergraduate and graduate levels. It is also a valuable resource for practitioners in related fields including engineering, finance, and economics. Seller Inventory # BTE9780470431993

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