Objectives and Audience In the past three decades, we have witnessed the phenomenal growth in the trading of financial derivatives and structured products in the financial markets around the globe and the surge in research on derivative pricing theory. Leading financial ins- tutions are hiring graduates with a science background who can use advanced analytical and numerical techniques to price financial derivatives and manage portfolio risks, a phenomenon coined as Rocket Science on Wall Street. There are now more than a hundred Master level degree programs in Financial Engineering/Quantitative Finance/Computational Finance on different continents. This book is written as an introductory textbook on derivative pricing theory for students enrolled in these degree programs. Another audience of the book may include practitioners in quantitative teams in financial institutions who would like to acquire the knowledge of option pricing techniques and explore the new development in pricing models of exotic structured derivatives. The level of mathematics in this book is tailored to readers with preparation at the advanced undergraduate level of science and engineering majors, in particular, basic profiiencies in probability and statistics, differential equations, numerical methods, and mathematical analysis. Advance knowledge in stochastic processes that are relevant to the martingale pricing theory, like stochastic differential calculus and theory of martingale, are introduced in this book. The cornerstones of derivative pricing theory are the Black-Scholes-Merton pricing model and the martingale pricing theory of financial derivatives.
Reviews / Votes
From the reviews of the second edition:
"Mathematical Models of Financial Derivatives is a . comprehensive collection of known facts and techniques, as well as a methodologically thought-through textbook on derivative pricing in financial markets. The book is written both for a novice who will profit from its numerous and well-conceived exercises, and a practitioner who wants to brush up on finer points of the classical pricing theory behind a specific financial product. . it will certainly attract many a non-mathematician with an interest in quantitative methods in finance . ." (Gordan Zitkovic, The Mathematical Association of America, March, 2009)
"This book is written mainly as a textbook of modeling on derivative pricing theory for the students in financial engineering, computational finance etc. It provides basic knowledge of mathematical theory and applications of the financial derivatives. . This book can also be used as an Instructor's Manual of reference of those in financial institutions." (Gong Guanglu, Zentralblatt MATH, Vol. 1146, 2008)
Series
Edition
Language
Place of publication
Publishing group
Target group
Professional and scholarly
Research
Edition type
Illustrations
Dimensions
Height: 241 mm
Width: 160 mm
Thickness: 34 mm
Weight
ISBN-13
978-3-540-42288-4 (9783540422884)
DOI
10.1007/978-3-540-68688-0
Schweitzer Classification
Yue-Kuen Kwok is Professor and Program Director of MSc in Mathematics (Financial Mathematics and Statistics) at the Department of Mathematics of Hong Kong University of Science and Technology
to Derivative Instruments.- Financial Economics and Stochastic Calculus.- Option Pricing Models: Black-Scholes-Merton Formulation and Martingale Pricing Theory.- Path Dependent Options.- American Options.- Numerical Schemes for Pricing Options.- Interest Rate Models and Bond Pricing.- Interest Rate Derivatives: Bond Options, LIBOR and Swap Products.
