The Mathematics of Financial Derivatives: A Student Introduction
Author:   Paul Wilmott (Imperial College of Science, Technology and Medicine, London) ,  Sam Howison (University of Oxford) ,  Jeff Dewynne (University of Southampton)
Publisher:   Cambridge University Press
ISBN:  

9780511812545


Publication Date:   05 June 2012
Format:   Undefined
Availability:   Available To Order   Availability explained
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The Mathematics of Financial Derivatives: A Student Introduction


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Overview

Finance is one of the fastest growing areas in the modern banking and corporate world. This, together with the sophistication of modern financial products, provides a rapidly growing impetus for new mathematical models and modern mathematical methods; the area is an expanding source for novel and relevant 'real-world' mathematics. In this book the authors describe the modelling of financial derivative products from an applied mathematician's viewpoint, from modelling through analysis to elementary computation. A unified approach to modelling derivative products as partial differential equations is presented, using numerical solutions where appropriate. Some mathematics is assumed, but clear explanations are provided for material beyond elementary calculus, probability, and algebra. Over 140 exercises are included. This volume will become the standard introduction to this exciting new field for advanced undergraduate students.

Full Product Details

Author:   Paul Wilmott (Imperial College of Science, Technology and Medicine, London) ,  Sam Howison (University of Oxford) ,  Jeff Dewynne (University of Southampton)
Publisher:   Cambridge University Press
Imprint:   Cambridge University Press (Virtual Publishing)
ISBN:  

9780511812545


ISBN 10:   051181254
Publication Date:   05 June 2012
Audience:   College/higher education ,  Tertiary & Higher Education
Format:   Undefined
Publisher's Status:   Active
Availability:   Available To Order   Availability explained
We have confirmation that this item is in stock with the supplier. It will be ordered in for you and dispatched immediately.

Table of Contents

Part I. Basic Option Theory: 1. An introduction to options and markets; 2. Asset price random walks; 3. The Black-Scholes model; 4. Partial differential equations; 5. The Black–Scholes formulae; 6. Variations on the Black-Scholes model; 7. American options; Part II. Numerical Methods: 8. Finite-difference methods; 9. Methods for American options; 10. Binomial methods; Part III. Further Option Theory: 11. Exotic and path-dependent options; 12. Barrier options; 13. A unifying framework for path-dependent options; 14. Asian options; 15. Lookback options; 16. Options with transaction costs; Part IV. Interest Rate Derivative Products: 17. Interest rate derivatives; 18. Convertible bonds; Hints to selected exercises; Bibliography; Index.

Reviews

'The layout is good and clear, so is the style of notation ... overall this is an excellent tool for both mathematicians interested in the world of finance as well as finance practitioners keen to rebuild the foundations of their knowledge.' Rudi Bogni, Times Higher Education Supplement 'The book is pleasantly readable and gives a good introduction.' C. Praagman, ITW Nieuws


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