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MATHEMATICS OF FINANCIAL DERIVATIVESWILMOT P. HOWISON S. DEWYNNE J.wydawnictwo: CAMBRIDGE , rok wydania 1995, wydanie Icena netto: The Mathematics of Financial Derivatives A Student Introduction 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'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, Times Higher Education Supplement 'The book is pleasantly readable and gives a good introduction.' C. Praagman, ITW Nieuws ContentsPart 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 333 pages 47 line diagrams 143 exercises 143 music examples
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