Mathematical Models of Financial Derivatives (Springer Finance) - Hardcover

Kwok, Yue-Kuen

Hardcover

ISBN 10: 9813083255 ISBN 13: 9789813083257

Publisher: Springer, 1999

Synopsis

Financial Mathematics is one of the fastest growing research fields in applied mathematics. Leading edge banking and financial firms around the globe are hiring science experts who can use advanced analytical and numerical techniques to price financial derivatives and manage portfolio risks, a phenomena coined as "Rocket Sciences on Wall Street". As such, new degree programs in mathematical and computational finance have also sprouted both in North America and the Far East.To-date, there is a lack of texts stressing on the mathematical aspects of derivative pricing which can meet the demands from students enrolled in these new degree programs. Mathematical Models of Financial Derivatives fills a gap for textbooks to serve this increasing demand. It models derivative products based mainly on the differential equation approach, together with numerical solution techniques when appropriate. Research results and concepts are made accessible to the student through extensive, well thought out exercises at the end of each chapter.

About this title

From the Back Cover

Mathematical Models of Financial Derivatives is a textbook on the theory behind

modeling derivatives using the financial engineering approach, focussing on the martingale pricing principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are

analyzed, emphasizing on the aspects of pricing, hedging and their risk management. Starting from the renowned Black-Scholes-Merton formulation of option pricing model, readers are guided through the text on the new advances on the state-of-the-art derivative pricing models and interest rate models. Both analytic techniques and numerical methods for solving various types of derivative pricing models are emphasized.

The second edition presents a substantial revision of the first edition. The continuous-time martingale pricing theory is motivated through analysis of the underlying financial economics principles within a discrete-time framework. A large collection of closed-form formulas of various forms of exotic equity and fixed income derivatives are documented. The most recent research results and methodologies are made accessible to readers through the extensive set of exercises at the end of each chapter.

Yue-Kuen Kwok is Professor of Mathematics at Hong Kong University of Science and Technology. He is the author of over 80 research papers and several books, including Applied Complex Variables. He is an associate editor of Journal of Economic Dynamics and Control and Asia-Pacific Financial Markets.

About the Author

Yue-Kuen Kwok is Professor and Program Director of MSc in Mathematics (Financial Mathematics and Statistics) at the Department of Mathematics of Hong Kong University of Science and Technology

Edition details

• Publisher: Springer
• Publication date: 1999
• Language: English
• ISBN 10: 9813083255
• ISBN 13: 9789813083257
• Binding: Hardcover
• Edition number: 1
• Number of pages: 386