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The Mathematics of Financial Derivatives by Paul Wilmott,Sam Howison,Jeff Dewynne
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The Mathematics of Financial Derivatives [Paperback]

A Student Introduction

by Paul Wilmott and Sam Howison and Jeff Dewynne
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Description of The Mathematics of Financial Derivatives

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.

Title Information

ISBN:
9780521497893
Pages:
336 pages
Format:
Paperback
Product Code:
3736
Publisher:
Cambridge University Press
Published:
29/09/1995
Edition:
1st Edition

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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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