Repplinger D. Pricing of Bond Options

Designed to form the basis of an undergraduate course in mathematical finance, this book builds on mathematical models of bond and stock prices and covers three major areas of mathematical finance that all have an enormous impact on the way modern financial markets operate, namely: Black-Scholes’ arbitrage pricing of options and other derivative securities; Markowitz portfolio optimization theory and the Capital Asset Pricing Model; and interest...

Society for Industrial and Applied Mathematics, 2005, -316 pp. Mathematical finance is an old science but has become a major topic for numerical analysts since Merton [97], Black-Scholes [16] modeled financial derivatives. An excellent book for the mathematical foundation of option pricing is Lamberton and Lapeyre's [85]. Since the Black-Scholes model relies on stochastic differential equations, option pricing rapidly became an attractive topic...

Department of Mathematics University of Connecticut, 2003. These are lecture notes on mathematical finance. Mathematical finance is not about predicting the price of a stock. What it is about is figuring out the price of options and derivatives. The sections of these notes can be grouped into five categories: elementary probability, the binomial asset pricing model, advanced probability, the continuous model, and term structure models.

Steven E. Shreve, 1997. - 347 pages. Contens: Introduction to Probability Theory Conditional Expectation Arbitrage Pricing The Markov Property Stopping Times and American Options Properties of American Derivative Securities Jensen’s Inequality Random Walks Pricing in terms of Market Probabilities: The Radon-Nikodym Theorem. Capital Asset Pricing General Random Variables Semi-Continuous Models Brownian Motion The Ito Integral Ito’s Formula...

Wiley, 2004, 800 pp. The Mathematics of Financial Modeling & Investment Management covers a wide range of technical topics in mathematics and finance-enabling the investment management practitioner, researcher, or student to fully understand the process of financial decision-making and its economic. Using a wealth of real-world examples, Focardi and Fabozzi simultaneously show both the mathematical techniques and the areas in finance where...

University of Minnesota, 2000. Contents I Equilibrium and Arbitrage 1 Equilibrium in Security Markets 2 Linear Pricing 3 Arbitrage and Positive Pricing 4 Portfolio Restrictions II Valuation 5 Valuation 6 State Prices and Risk-Neutral Probabilities 7 Valuation under Portfolio Restrictions III Risk 8 Expected Utility 9 Risk Aversion 10 Risk IV Optimal Portfolios V Equilibrium Prices and Allocations VI Mean-Variance Analysis VII Multidate Se...

Unlike most books on investments, financial engineering, or derivative securities, the book starts from basic ideas in finance and gradually builds up the theory. Modern Finance:A Brief History Financial Engineering and Computation Financial Markets Computer Technology Analysis of Algorithms Complexity Analysis of Algorithms Description of Algorithms Software Implementation Basic Financial Mathematics Bond Price Volatility Term Structure of Inte...

This book presents the mathematics that underpins pricing models for derivative securities in modern financial markets, such as options, futures and swaps. This new edition adds substantial material from current areas of active research, such as coherent risk measures with applications to hedging, the arbitrage interval for incomplete discrete-time markets, and risk and return and sensitivity analysis for the Black-Scholes model.

Academic Press; 2 edition (December 15, 2008), 696 страниц Язык: English ISBN-10: 0123735742 ISBN-13: 978-0123735744 Cash Flow Engineering and Forward Contracts Engineering Simple Interest Rate Derivatives Introduction to Swap Engineering Repo Market Strategies in Financial Engineering Dynamic Replication Methods and Synthetics Mechanics of Options Engineering Convexity Positions Options Engineering with Applications Pricing Tools in Fi...

John Wiley & Sons, Inc., 2002. – 304 pages. This book is designed as a graduate textbook in financial engineering. It was motivated by the need to present the main techniques used in quantitative pricing in a single source adequate for Master level students. Students are expected to have some background in algebra, elementary statistics, calculus, and elementary techniques of financial pricing, such as binomial trees and simple Monte Carlo s...