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Deterministic and Stochastic Topics in Computational Finance

Deterministic and Stochastic Topics in Computational Finance

ISBN: 9789813203082
Publisher: World Scientific Publishing Company
Publication Date: 2016-12-29
Number of pages: 484
Any used item that originally included an accessory such as an access code, one time use worksheet, cd or dvd, or other one time use accessories may not be guaranteed to be included or valid. By purchasing this item you acknowledge the above statement.

What distinguishes this book from other texts on mathematical finance is the use of both probabilistic and PDEs tools to price derivatives for both constant and stochastic volatility models, by which the reader has the advantage of computing explicitly a large number of prices for European, American and Asian derivatives.

The book presents continuous time models for financial markets, starting from classical models such as Black Scholes and evolving towards the most popular models today such as Heston and VAR.

A key feature of the textbook is the large number of exercises, mostly solved, which are designed to help the reader to understand the material.

The book is based on the author's lectures on topics on computational finance for senior and graduate students, delivered in USA (Princeton University and EMU), Taiwan and Kuwait. The prerequisites are an introductory course in stochastic calculus, as well as the usual calculus sequence.

The book is addressed to undergraduate and graduate students in Masters of Finance programs as well as to those who wish to become more efficient in their practical applications.

Topics covered:

Interest Rates and Bonds Forward Rates and Yield Curves Risk-neutral Valuation Martingale Measures Black Scholes Analysis American Options Stochastic Volatility Models (Heston, AR, GARCH) Stochastic Return Models (VAR) Readership: Undergraduates, graduate students and researchers in Mathematical Finance.

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