Book description
Praise forThe Mathematics of Derivatives
"The Mathematics of Derivatives provides a concise pedagogical discussion of both fundamental and very recent developments in mathematical finance, and is particularly well suited for readers with a science or engineering background. It is written from the point of view of a physicist focused on providing an understanding of the methodology and the assumptions behind derivative pricing. Navin has a unique and elegant viewpoint, and will help mathematically sophisticated readers rapidly get up to speed in the latest Wall Street financial innovations."
—David Montano, Managing Director JPMorgan Securities
A stylish and practical introduction to the key concepts in financial mathematics, this book tackles key fundamentals in the subject in an intuitive and refreshing manner whilst also providing detailed analytical and numerical schema for solving interesting derivatives pricing problems. If Richard Feynman wrote an introduction to financial mathematics, it might look similar. The problem and solution sets are first rate."
—Barry Ryan, Partner Bhramavira Capital Partners, London
"This is a great book for anyone beginning (or contemplating), a career in financial research or analytic programming. Navin dissects a huge, complex topic into a series of discrete, concise, accessible lectures that combine the required mathematical theory with relevant applications to realworld markets. I wish this book was around when I started in finance. It would have saved me a lot of time and aggravation."
—Larry Magargal
Table of contents
 Cover
 Title
 Copyright
 Dedication
 Contents
 Preface
 Acknowledgments

PART I: The Models
 CHAPTER 1: Introduction to the Techniques of Derivative Modeling
 CHAPTER 2: Preliminary Mathematical Tools
 CHAPTER 3: Stochastic Calculus
 CHAPTER 4: Applications of Stochastic Calculus to Finance
 CHAPTER 5: From Stochastic Processes Formalism to Differential Equation Formalism

CHAPTER 6: Understanding the BlackScholes Equation
 6.1 BlackScholes Equation: a Type of Backward Kolmogorov Equation
 6.2 BlackScholes Equation: RiskNeutral Pricing
 6.3 BlackScholes Equation: Relation to Risk Premium Definition
 6.4 BlackScholes Equation Applies to Currency Options: Hidden Symmetry 1
 6.5 BlackScholes Equation in Martingale Variables: Hidden Symmetry 2
 6.6 BlackScholes Equation With Stock as a “Derivative” of Option Price: Hidden Symmetry 3
 CHAPTER 7: Interest Rate Hedging
 CHAPTER 8: Interest Rate Derivatives: HJM Models
 CHAPTER 9: Differential Equations, Boundary Conditions, and Solutions
 CHAPTER 10: Credit Spreads
 CHAPTER 11: Specific Models

PART II: Exercises and Solutions
 CHAPTER 12: Exercises
 CHAPTER 13: Solutions
 APPENDIX A: Central Limit TheoremPlausibility Argument
 APPENDIX B: Solving for the Green’s Function of the BlackScholes Equation
 APPENDIX C: Expanding the von Neumann Stability Mode for the Discretized BlackScholes Equation
 APPENDIX D: Multiple Bond Survival Probabilities Given Correlated Default Probability Rates
 References
 Index
Product information
 Title: The Mathematics of Derivatives: Tools for Designing Numerical Algorithms
 Author(s):
 Release date: December 2006
 Publisher(s): Wiley
 ISBN: 9780470047255
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