The Mathematics of Financial Derivatives
The Mathematics of Financial Derivatives
Sam Howison, University of Oxford
Jeff Dewynne, University of Southampton
$82.00
USDFinance 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. Indeed, the area is an expanding source for novel and relevant "real-world" mathematics. In this book, the authors describe the modeling of financial derivative products from an applied mathematician's viewpoint, from modeling to analysis to elementary computation. The authors present a unified approach to modeling derivative products as partial differential equations, using numerical solutions where appropriate. The authors assume some mathematical background, but provide clear explanations for material beyond elementary calculus, probability, and algebra. This volume will become the standard introduction for advanced undergraduate students to this exciting new field.
- The book has already been used for several years in 'professional' form by the authors for financial courses
- The paperback edition is a fraction of the cost of the original Oxford volume
Reviews & endorsements
'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, The Times Higher Education Supplement
'The book is pleasantly readable and gives a good introduction.' C. Praagman, ITW Nieuws
Product details
September 1995Paperback
9780521497893
336 pages
229 × 152 × 18 mm
0.45kg
47 b/w illus. 143 music examples 143 exercises
Available
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.
