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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

Preface

This book is based on a course intended to quickly teach the basics of derivative mathematics to skilled software designers with no knowledge of financial derivatives. I created these notes for my firm—while still a small startup trading-analytics software company—Real Time Risk Systems LLC. We started the business to build a flexible, fast, real-time pricing-and-risk software application for large derivatives trading operations that deal in a variety of products. A significant design feature of the application was to allow complicated models of derivatives to be “plugged-in” without necessarily writing these models into the initial software package.

In the course of developing and using the course from which this book is derived, it became apparent to me that it would be useful to other industry practitioners for a similar purpose: the education and training of programmers (and even trainee quantitative analysts). The professional programmers, of course, have no need of becoming professional “quants.” They do, however, need a basic and broad level of understanding of the mathematical formalism of derivatives as quickly as possible. They also need to cover a broad spectrum of material in enough detail to offer a solid grounding and without a lot of mathematical rigor.

I wanted students who took my course—and those who now read this book—to have the ability to talk sensibly to a quantitative analyst and to understand what quants have to say as well. This book is therefore ...

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Publisher Resources

ISBN: 9780470047255Purchase book