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The Mathematics of Financial Derivatives by Paul Wilmott,Sam Howison,Jeff Dewynne
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    • Product code: 3736
    • ISBN: 0521497892, ISBN13: 9780521497893, 318 pages, paperback
      Published by Cambridge University Press, 1st edition, 1995
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    Description of The Mathematics of Financial Derivatives

    Finance is one of the fastest growing areas in the modern banking 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 modeling of financial derivative products from an applied mathematician's viewpoint, from modeling through analysis to elementary computation.

    A unified approach to modeling 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.

    This volume is the standard introduction for advanced undergraduate students to this exciting field.

    Contents of The Mathematics of Financial Derivatives

    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
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