Computational Financial Mathematics using MATHEMATICA®

Srdjan Stojanovic

ISBN 10: 146126586X / ISBN 13: 9781461265863

Published by Birkhäuser Boston, Birkhäuser Boston Mai 2013, 2013

About this Item

Neuware -Given the explosion of interest in mathematical methods for solving problems in finance and trading, a great deal of research and development is taking place in universities, large brokerage firms, and in the supporting trading software industry. Mathematical advances have been made both analytically and numerically in finding practical solutions.This book provides a comprehensive overview of existing and original material, about what mathematics when allied with Mathematica can do for finance. Sophisticated theories are presented systematically in a user-friendly style, and a powerful combination of mathematical rigor and Mathematica programming. Three kinds of solution methods are emphasized: symbolic, numerical, and Monte-- Carlo. Nowadays, only good personal computers are required to handle the symbolic and numerical methods that are developed in this book.Key features: \* No previous knowledge of Mathematica programming is required \* The symbolic, numeric, data management and graphic capabilities of Mathematica are fully utilized \* Monte--Carlo solutions of scalar and multivariable SDEs are developed and utilized heavily in discussing trading issues such as Black--Scholes hedging \* Black--Scholes and Dupire PDEs are solved symbolically and numerically \* Fast numerical solutions to free boundary problems with details of their Mathematica realizations are provided \* Comprehensive study of optimal portfolio diversification, including an original theory of optimal portfolio hedging under non-Log-Normal asset price dynamics is presentedThe book is designed for the academic community of instructors and students, and most importantly, will meet the everyday trading needs of quantitatively inclined professional and individual investors.Springer Basel AG in Springer Science + Business Media, Heidelberger Platz 3, 14197 Berlin 496 pp. Englisch.

Seller Inventory # 9781461265863

Bibliographic Details

• Title: Computational Financial Mathematics using MATHEMATICA®
• Publisher: Birkhäuser Boston, Birkhäuser Boston Mai 2013
• Publication Date: 2013
• Language: English
• ISBN 10: 146126586X
• ISBN 13: 9781461265863
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 235W x 155H x 27D millimeters 235 millimeters width by 155 millimeters height by 27 millimeters depth
• Weight: 744 grams

About this title

Synopsis

This book provides a comprehensive overview of existing and original material, about what mathematics when allied with Mathematica can do for finance. Sophisticated theories are presented systematically in a user-friendly style, and a powerful combination of mathematical rigor and Mathematica programming. The book is designed for the academic community of instructors and students, and most importantly, will meet the everyday trading needs of quantitatively inclined professional and indiviual investors who want to solve various problems encountered when investing and trading in stocks and stock options.

Review

"Stojanovic offers an excellent, user-friendly presentation of advanced mathematical techniques and Mathematica programming for solving problems in finance and trading. He demonstrates the value of probability, mathematical statistics, calculus of variations, and optimal control of stochastic, ordinary and partial differential equations to the study of market analysis. Solutions are computed symbolically, numerically, or by means of Monte-Carlo simulations.... A very useful and valuable book for researchers, students, professionals, and individual investors."   ―Choice

"It is an innovative approach and is very useful for students and practitioners in finance to learn how to use mathematics for investment analysis."   ―Mathematical Reviews

"This book is a state-of-the-art introduction to the mathematics of computational finance. The author reviews and extends several recent breakthroughs and also provides new material, which is highly recommended. The novel use of Mathematica enhances the learning experience by letting the reader focus on the essential ideas. I thoroughly recommend this book to both students and practitioners."   ―Peter Carr, Courant Institute, New York University