An Introduction to Quantitative Finance
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Becsült beszerzési idő: A Prosperónál jelenleg nincsen raktáron, de a kiadónál igen. Beszerzés kb. 3-5 hét..
A Prosperónál jelenleg nincsen raktáron.
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A beszerzés időigényét az eddigi tapasztalatokra alapozva adjuk meg. Azért becsült, mert a terméket külföldről hozzuk be, így a kiadó kiszolgálásának pillanatnyi gyorsaságától is függ. A megadottnál gyorsabb és lassabb szállítás is elképzelhető, de mindent megteszünk, hogy Ön a lehető leghamarabb jusson hozzá a termékhez.
A termék adatai:
- Kiadó OUP Oxford
- Megjelenés dátuma 2013. november 7.
- ISBN 9780199666591
- Kötéstípus Puhakötés
- Terjedelem192 oldal
- Méret 233x157x11 mm
- Súly 301 g
- Nyelv angol
- Illusztrációk 36 b/w line drawings 0
Kategóriák
Rövid leírás:
The quantitative nature of complex financial transactions makes them a fascinating subject area for mathematicians of all types. This book gives an insight into financial engineering while building on introductory probability courses by detailing one of the most fascinating applications of the subject.
TöbbHosszú leírás:
The worlds of Wall Street and The City have always held a certain allure, but in recent years have left an indelible mark on the wider public consciousness and there has been a need to become more financially literate. The quantitative nature of complex financial transactions makes them a fascinating subject area for mathematicians of all types, whether for general interest or because of the enormous monetary rewards on offer.
An Introduction to Quantitative Finance concerns financial derivatives - a derivative being a contract between two entities whose value derives from the price of an underlying financial asset - and the probabilistic tools that were developed to analyse them. The theory in the text is motivated by a desire to provide a suitably rigorous yet accessible foundation to tackle problems the author encountered whilst trading derivatives on Wall Street. The book combines an unusual blend of real-world derivatives trading experience and rigorous academic background.
Probability provides the key tools for analysing and valuing derivatives. The price of a derivative is closely linked to the expected value of its pay-out, and suitably scaled derivative prices are martingales, fundamentally important objects in probability theory.
The prerequisite for mastering the material is an introductory undergraduate course in probability. The book is otherwise self-contained and in particular requires no additional preparation or exposure to finance. It is suitable for a one-semester course, quickly exposing readers to powerful theory and substantive problems. The book may also appeal to students who have enjoyed probability and have a desire to see how it can be applied. Signposts are given throughout the text to more advanced topics and to different approaches for those looking to take the subject further.
Short and to the point, uncluttered, unfancy, free of the faux rigor of most modern finance textbooks, written by a practitioner, that hits most of the essential principles of quantitative finance.
Tartalomjegyzék:
I Introduction and Preliminaries
Introduction
Preliminaries
II Forwards, Swaps and Options
Forward contracts and forward prices
Forward rates and libor
Interest rate swaps
Futures contracts
No-arbitrage principle
Options
III Replication, risk-neutrality and the fundamental theorem
Replication and risk-neutrality on the binomial tree
Martingales, numeraires and the fundamental theorem
Continuous time limit and Black-Scholes formula
Option price and probability duality
IV Interest Rate Options
Caps, floors and swaptions
Cancellable swaps and Bermudan swaptions
Additional topics in interest rate derivatives
V Through Continuous Time
Rough guide to continuous time
