Financial Engineering and Computation

Principles, Mathematics, Algorithms

Yuh-Dauh Lyuu

628 pages, parution le 10/01/2002

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Résumé

During the past decade many sophisticated mathematical and computational techniques have been developed for analyzing financial markets. Students and professionals intending to work in any area of finance must not only master advanced concepts and mathematical models but must also learn how to implement these models computationally. This comprehensive text combines a thorough treatment of the theory and mathematics behind financial engineering with an emphasis on computation, in keeping with the way financial engineering is practiced in today's capital markets.

Unlike most books on investments, financial engineering, or derivative securities, the book starts from basic ideas in finance and gradually builds up the theory. The advanced mathematical concepts needed in modern finance are explained at accessible levels. Thus it offers a thorough grounding in the subject for MBAs in finance, students of engineering and sciences who are pursuing a career in finance, researchers in computational finance, system analysts, and financial engineers.

Building on the theory, the author presents algorithms for computational techniques in pricing, risk management, and portfolio management, together with analyses of their efficiency. Pricing financial and derivative securities is a central theme of the book. A broad range of instruments is treated: bonds, options, futures, forwards, interest rate derivatives, mortgage-backed securities, bonds with embedded options, and more. Each instrument is treated in a short, self-contained chapter for ready reference use.

Contents

Preface
Useful Abbreviations
1. Introduction
2. Analysis of Algorithms
3. Basic Financial Mathematics
4. Bond Price Volatility
5. Term Structure of Interest Rates
6. Fundamental Statistical Concepts
7. Option Basics
8. Arbitrage in Option Pricing
9. Option Pricing Models
10. Sensitivity Analysis of Options
11. Extensions of Options Theory
12. Forwards, Futures, Futures Options, Swaps
13. Stochastic Processes and Brownian Motion
14. Continuous-Time Financial Mathematics
15. Continuous-Time Derivatives Pricing
16. Hedging
17. Trees
18. Numerical Methods
19. Matrix Computation
20. Time Series Analysis
21. Interest Rate Derivative Securities
22. Term Structure Fitting
23. Introduction to Term Structure Modeling
24. Foundations of Term Structure Modeling
25. Equilibrium Term Structure Models
26. No-Arbitrage Term Structure Models
27. Fixed-Income Securities
28. Introduction to Mortgage-Backed Securities
29. Analysis of Mortgage-Backed Securities
30. Collateralized Mortgage Obligations
31. Modern Portfolio Theory
32. Software
33. Answers to Selected Exercises
Bibliography
Glossary of Useful Notations
Index

Caractéristiques techniques

	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	Yuh-Dauh Lyuu
Parution	10/01/2002
Nb. de pages	628
Format	18,5 x 26
Couverture	Relié
Poids	1273g
Intérieur	Noir et Blanc
EAN13	9780521781718
ISBN13	978-0-521-78171-8