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The Mathematics of Derivatives: Tools for Designing Numerical Algorithms
book

The Mathematics of Derivatives: Tools for Designing Numerical Algorithms

by Robert L. Navin
December 2006
Intermediate to advanced content levelIntermediate to advanced
205 pages
4h 26m
English
Wiley
Content preview from The Mathematics of Derivatives: Tools for Designing Numerical Algorithms

Acknowledgments

None of the material here is original although most of the formulae have been rederived or written down from memory and are surely stamped with only my own idiosyncrasies. The significant exception is section 8.1.1., which had such a simple and elegant treatment in the original paper by O. Cheyette that there was no simplification that I could supply. There are many excellent textbooks available, including John C. Hull’s Options, Futures and Other Derivatives, 6th ed., Jonathan E. Ingersoll’s Theory of Financial Decision Making, and Darrell Duffie’s Dynamic Asset Pricing Theory. The majority of the material covered here is also covered in those books. Again, the point of coverage of this book is a quick overview for nonquants. For more in-depth and rigorous coverage, I strongly recommend Hull, Ingersoll, Duffie, and many of the other comprehensive derivatives texts.

That said, I acknowledge the great indebtedness that I have to the people from whom I have learned financial derivatives, namely Gunnar Klinkhammer and Barry Ryan at CMS in Los Angeles, who taught me risk-neutral pricing; and Scott Waltz, Albert Sizook, Bill Cherney, Amitabha Sen, and Guillermo Bubliek at Swiss Bank/O’Connor in Chicago from whom Jeff Miller and I learned (and discussed with each other) the elements of finance theory and application, including numerical techniques. The work of Jean-Philippe Bouchaud, which came to me from my discussions with Jeff Miller, also had a significant impact ...

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Publisher Resources

ISBN: 9780470047255Purchase book