Quantitative Finance

Quantitative Finance is an ideal textbook for upper-undergraduate and beginning graduate students in statistics, financial engineering, quantitative finance, and mathematical finance programs. It will also appeal to practitioners in the same fields.

Quantitative Finance

Maria C. Mariani, Ionut Florescu

John Wiley & Sons

2020

Abstract

Quantitative finance focuses on the mathematical models used to price securities and measure risk. Financial engineering goes one step further to focus on applications and build tools that will implement the results of the models.

Presents a multitude of topics relevant to the quantitative finance community by combining the best of the theory with the usefulness of applications

Written by accomplished teachers and researchers in the field, this book presents quantitative finance theory through applications to specific practical problems and comes with accompanying coding techniques in R and MATLAB, and some generic pseudo-algorithms to modern finance. It also offers over 300 examples and exercises that are appropriate for the beginning student as well as the practitioner in the field.

The Quantitative Finance book is divided into four parts:

+ Part One begins by providing readers with the theoretical backdrop needed from probability and stochastic processes. We also present some useful finance concepts used throughout the book.

+ In part two of the book we present the classical Black-Scholes-Merton model in a uniquely accessible and understandable way. Implied volatility as well as local volatility surfaces are also discussed. Next, solutions to Partial Differential Equations (PDE), wavelets and Fourier transforms are presented. Several methodologies for pricing options namely, tree methods, finite difference method and Monte Carlo simulation methods are also discussed. We conclude this part with a discussion on stochastic differential equations (SDE’s).

+ In the third part of this book, several new and advanced models from current literature such as general Lvy processes, nonlinear PDE's for stochastic volatility models in a transaction fee market, PDE's in a jump-diffusion with stochastic volatility models and factor and copulas models are discussed.

+ In part four of the book, we conclude with a solid presentation of the typical topics in fixed income securities and derivatives. We discuss models for pricing bonds market, marketable securities, credit default swaps (CDS) and securitizations.

  • Emphasizes the volatility of financial analyses and interpretations
  • Weaves theory with application throughout the book
  • Utilizes R and MATLAB software programs
  • Presents pseudo-algorithms for readers who do not have access to any particular programming system

Citation

Maria C. Mariani, Ionut Florescu, Quantitative Finance, John Wiley & Sons, 2020.

Collection

Kinh tế

Related document

Quantitative FinanceBudgeting 101 From Getting Out of Debt and Tracking Expenses to Setting Financial Goals and Building Your Savings, Your Essential Guide to BudgetingPrinciples of Corporate Finance

Quantitative Finance

Budgeting 101 From Getting Out of Debt and Tracking Expenses to Setting Financial Goals and Building Your Savings, Your Essential Guide to BudgetingPrinciples of Corporate Finance

QR code

Quantitative Finance

Content

  • Thứ Ba, 08:12 13/07/2021

Tin tiêu điểm

Khai thác danh mục tạp chí mở Directory of Open Access Journals (DOAJ)

Thứ Sáu, 15:50 18/08/2023
Đăng ký sử dụng miễn phí bộ CSDL eLibraryUSA

Đăng ký sử dụng miễn phí bộ CSDL eLibraryUSA

Chủ Nhật, 15:56 06/08/2023

Tài nguyên giáo dục mở Việt Nam (Vietnam Open Educational Resources – VOER)

Thứ Sáu, 19:07 02/12/2022

Tài nguyên truy cập mở Digital Commons Network

Thứ Sáu, 15:15 04/11/2022

Thư viện ĐH Công nghiệp Hà Nội triển khai giới thiệu, hướng dẫn khai thác tài nguyên thư viện đến sinh viên K17

Thứ Năm, 07:43 27/10/2022

Các bài đã đăng

Reflect 4: Listening & Speaking (Student's Book)

Thứ Tư, 13:37 22/11/2023

Reflect 3: Reading & Writing (Teacher's guide)

Thứ Tư, 13:26 22/11/2023

Reflect 3: Listening & Speaking (Student's Book)

Thứ Tư, 13:14 22/11/2023

Giáo trình Vật lý 1

Thứ Ba, 12:56 14/11/2023

Giáo trình Quản trị chiến lược

Thứ Ba, 10:24 14/11/2023

Career Paths - Business English

Thứ Ba, 08:09 13/07/2021

Giáo trình con người và môi trường

Thứ Hai, 15:43 12/07/2021

Khát vọng chấn hưng Đất nước về những chuyến thăm, làm việc của nguyên Chủ tịch nước Trần Đức Lương

Thứ Hai, 15:21 12/07/2021

Danh pháp và Thuật ngữ Hóa học Việt Nam

Thứ Hai, 15:08 12/07/2021

Công nghệ lọc sinh học phục vụ sản xuất giống và nuôi trồng hải sản ven bờ biển Việt Nam

Thứ Hai, 14:36 12/07/2021

Video giới thiệu