The Mathematics of Financial Derivatives
A Student Introduction
Published on 29. September 1995
Book
Hardback
333 pages
978-0-521-49699-5 (ISBN)
Description
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.
Reviews / Votes
'The layout is good and clear, so is the style of notation ... overall this is an excellent tool for both mathematicians interested in the world of finance as well as finance practitioners keen to rebuild the foundations of their knowledge.' Rudi Bogni, The Times Higher Education Supplement 'The book is pleasantly readable and gives a good introduction.' C. Praagman, ITW NieuwsMore details
Language
English
Place of publication
Cambridge
United Kingdom
Target group
College/higher education
Illustrations
Worked examples or Exercises; 143 Printed music items; 47 Line drawings, unspecified
Dimensions
Height: 235 mm
Width: 155 mm
Thickness: 22 mm
Weight
578 gr
ISBN-13
978-0-521-49699-5 (9780521496995)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
New editions
Paul Wilmott | Sam Howison | Jeff Dewynne
The Mathematics of Financial Derivatives
A Student Introduction
Book
09/1995
Cambridge University Press
€86.30
Shipment within 15-20 days
Additional editions
Paul Wilmott | Sam Howison | Jeff Dewynne
The Mathematics of Financial Derivatives
A Student Introduction
E-Book
03/2012
1st Edition
Cambridge University Press
€54.49
Available for download
Paul Wilmott | Sam Howison | Jeff Dewynne
The Mathematics of Financial Derivatives
A Student Introduction
Book
09/1995
Cambridge University Press
€86.30
Shipment within 15-20 days
Persons
Content
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.