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• catalog abstract "Financial Mathematics is one of the fastest growing research fields in applied mathematics. Leading edge banking and financial firms around the globe are hiring people who can use advanced analytical and numerical techniques to price financial derivatives and manage portfolio risks. Mathematical Models of Financial Derivatives serves this increasing demand, and is suitable as a textbook for degree programs in mathematical and computational finance. It models derivative products based mainly on the differential equation approach, together with numerical solution techniques when appropriate. Research results and concepts are made accessible to the student through extensive, well thought out exercises at the end of each chapter.".
• catalog contributor b11020393.
• catalog created "c1998.".
• catalog date "1998".
• catalog date "c1998.".
• catalog dateCopyrighted "c1998.".
• catalog description "Ch. 1. General Characteristics of Financial Derivative Models. 1.1. Financial options and their trading strategies. 1.2. Rational boundaries for option values. 1.3. Asset price dynamics and stochastic processes. 1.4. Black-Scholes formulation of option pricing -- Ch. 2. Pricing Models for One-asset European Options. 2.1. Black-Scholes pricing formulas and their properties. 2.2. Extended option pricing models. 2.3. Options on futures -- Ch. 3. Pricing Models for Multi-asset European Options. 3.1. Generalized multi-state Black-Scholes pricing models. 3.2. Foreign currency option models. 3.3. Options on the extremum of several risky assets -- Ch. 4. American Options. 4.1. Characterization of the optimal exercise boundaries. 4.2. Analytic formulations of the American option pricing models. 4.3. Approximate valuation methods for American options -- Ch. 5. Numerical Schemes for Pricing Options. 5.1. Principles of binomial pricing models. 5.2. Extensions of the binomial pricing model. 5.3. Finite difference algorithms. 5.4. Monte Carlo simulation -- Ch. 6. Path Dependent Options. 6.1. Barrier options. 6.2. Lookback options. 6.3. Asian options -- Ch. 7. Bonds and Interest Rate Derivatives. 7.1. Bonds and interest rate models. 7.2. No arbitrage interest rate models. 7.3. Bond options and other interest rate derivatives.".
• catalog description "Financial Mathematics is one of the fastest growing research fields in applied mathematics. Leading edge banking and financial firms around the globe are hiring people who can use advanced analytical and numerical techniques to price financial derivatives and manage portfolio risks. Mathematical Models of Financial Derivatives serves this increasing demand, and is suitable as a textbook for degree programs in mathematical and computational finance. It models derivative products based mainly on the differential equation approach, together with numerical solution techniques when appropriate. Research results and concepts are made accessible to the student through extensive, well thought out exercises at the end of each chapter.".
• catalog description "Includes bibliographical references (p. [365]-373) and indexes.".
• catalog extent "xiii, 386 p. :".
• catalog hasFormat "Mathematical models of financial derivatives.".
• catalog identifier "9813083255 (hardcover)".
• catalog identifier "9813083565 (softcover)".
• catalog isFormatOf "Mathematical models of financial derivatives.".
• catalog isPartOf "Springer finance".
• catalog issued "1998".
• catalog issued "c1998.".
• catalog language "eng".
• catalog publisher "Singapore ; New York : Springer,".
• catalog relation "Mathematical models of financial derivatives.".
• catalog subject "332.64/5 21".
• catalog subject "Derivative securities Mathematical models.".
• catalog subject "HG6024.A3 K85 1998".
• catalog tableOfContents "Ch. 1. General Characteristics of Financial Derivative Models. 1.1. Financial options and their trading strategies. 1.2. Rational boundaries for option values. 1.3. Asset price dynamics and stochastic processes. 1.4. Black-Scholes formulation of option pricing -- Ch. 2. Pricing Models for One-asset European Options. 2.1. Black-Scholes pricing formulas and their properties. 2.2. Extended option pricing models. 2.3. Options on futures -- Ch. 3. Pricing Models for Multi-asset European Options. 3.1. Generalized multi-state Black-Scholes pricing models. 3.2. Foreign currency option models. 3.3. Options on the extremum of several risky assets -- Ch. 4. American Options. 4.1. Characterization of the optimal exercise boundaries. 4.2. Analytic formulations of the American option pricing models. 4.3. Approximate valuation methods for American options -- Ch. 5. Numerical Schemes for Pricing Options. 5.1. Principles of binomial pricing models. 5.2. Extensions of the binomial pricing model. 5.3. Finite difference algorithms. 5.4. Monte Carlo simulation -- Ch. 6. Path Dependent Options. 6.1. Barrier options. 6.2. Lookback options. 6.3. Asian options -- Ch. 7. Bonds and Interest Rate Derivatives. 7.1. Bonds and interest rate models. 7.2. No arbitrage interest rate models. 7.3. Bond options and other interest rate derivatives.".
• catalog title "Mathematical models of financial derivatives / Y.K. Kwok.".
• catalog type "text".