The Mathematics of Financial Derivatives: A Student Introduction
- 4h 55m
- Jeff Dewynne, Paul Wilmott, Sam Howison
- Cambridge University Press
- 1995
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. 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.
In this Book
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An Introduction to Options and Markets
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Asset Price Random Walks
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The Black-Scholes Model
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Partial Differential Equations
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The Black-Scholes Formulæ
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Variations on the Black–Scholes Model
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American Options
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Finite-Difference Methods
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Methods for American Options
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Binomial Methods
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Exotic and Path-Dependent Options
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Barrier Options
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A Unifying Framework for Path-Dependent Options
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Asian Options: Options on Averages
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Lookback Options: Options on the Maximim or Minimum
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Options with Transaction Costs
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Interest Rate Models and Derivative Products
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Convertible Bonds
