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 real-world 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 Black-Scholes Equation
- 6.1 Black-Scholes Equation: a Type of Backward Kolmogorov Equation
- 6.2 Black-Scholes Equation: Risk-Neutral Pricing
- 6.3 Black-Scholes Equation: Relation to Risk Premium Definition
- 6.4 Black-Scholes Equation Applies to Currency Options: Hidden Symmetry 1
- 6.5 Black-Scholes Equation in Martingale Variables: Hidden Symmetry 2
- 6.6 Black-Scholes 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 Theorem-Plausibility Argument
- APPENDIX B: Solving for the Green’s Function of the Black-Scholes Equation
- APPENDIX C: Expanding the von Neumann Stability Mode for the Discretized Black-Scholes 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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