Mathematical Models of Financial Derivatives Paperback - 2014
by Yue-Kuen Kwok
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Mathematical Models of Financial Derivatives is a textbook on the theory behind modeling derivatives using the financial engineering approach, focussing on the martingale pricing principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are
analyzed, emphasizing on the aspects of pricing, hedging and their risk management. Starting from the renowned Black-Scholes-Merton formulation of option pricing model, readers are guided through the text on the new advances on the state-of-the-art derivative pricing models and interest rate models. Both analytic techniques and numerical methods for solving various types of derivative pricing models are emphasized.
The second edition presents a substantial revision of the first edition. The continuous-time martingale pricing theory is motivated through analysis of the underlying financial economics principles within a discrete-timeframework. A large collection of closed-form formulas of various forms of exotic equity and fixed income derivatives are documented. The most recent research results and methodologies are made accessible to readers through the extensive set of exercises at the end of each chapter.
Yue-Kuen Kwok is Professor of Mathematics at Hong Kong University of Science and Technology. He is the author of over 80 research papers and several books, including Applied Complex Variables. He is an associate editor of Journal of Economic Dynamics and Control and Asia-Pacific Financial Markets.
Details
- Title Mathematical Models of Financial Derivatives
- Author Yue-Kuen Kwok
- Binding Paperback
- Pages 530
- Volumes 1
- Language ENG
- Publisher Springer
- Date 2014-11-02
- Illustrated Yes
- Features Illustrated
- ISBN 9783642447938 / 3642447937
- Weight 1.67 lbs (0.76 kg)
- Dimensions 9.21 x 6.14 x 1.11 in (23.39 x 15.60 x 2.82 cm)
- Dewey Decimal Code 332.645
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Mathematical Models of Financial Derivatives
by Yue-Kuen Kwok
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Mathematical Models of Financial Derivatives (Springer Finance Textbooks)
by Kwok, Yue-Kuen
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- 9783642447938 / 3642447937
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