Quantitative finance / Maria Mariani, Ionut Florescu.

By:

Mariani, Maria C [author]

Contributor(s):

Florescu, Ionut [author]

Material type: Text

TextLanguage: English Series: Wiley series in statistics in practicePublication details: Hoboken, NJ : Wiley, 2020.Description: xvii, 470 pages ; 24 cmContent type:

text

Media type:

unmediated

Carrier type:

volume

ISBN:

9781118629956 (hardback)

Subject(s):

LOC classification:

HF5691 M33 2020

Online resources:

Contents:

Part I Stochastic Processes and Finance -- Stochastic Processes -- Basics of Finance -- Part II Quantitative Finance in Practice -- Some Models Used in Quantitative Finance -- Solving Partial Differential Equations -- Wavelets and Fourier Transforms -- Tree Methods -- Approximating PDEs -- Approximating Stochastic Processes -- Stochastic Differential Equations -- Part III Advanced Models for Underlying Assets -- Stochastic Volatility Models -- Jump Diffusion Models -- General Lévy Processes -- Generalized Lévy Processes, Long Range Correlations, and Memory Effects -- Approximating General Derivative Prices -- Solutions to Complex Models Arising in the Pricing of Financial Options -- Factor and Copulas Models -- Part IV Fixed Income Securities and Derivatives -- Models for the Bond Market -- Exchange Traded Funds (ETFs), Credit Default Swap (CDS), and Securitization.

Summary: "Written by accomplished teachers and researchers in the field, this book presents quantitative finance theory through applications to specific practical problems and comes with accompanying coding techniques in R and MATLAB, and some generic pseudo-algorithms to modern finance. It also offers over 300 examples and exercises that are appropriate for the beginning student as well as the practitioner in the field. The Quantitative Finance book is divided into four parts. Part One begins by providing readers with the theoretical backdrop needed from probability and stochastic processes. We also present some useful finance concepts used throughout the book. In part two of the book we present the classical Black-Scholes-Merton model in a uniquely accessible and understandable way. Implied volatility as well as local volatility surfaces are also discussed. Next, solutions to Partial Differential Equations (PDE), wavelets and Fourier transforms are presented. Several methodologies for pricing options namely, tree methods, finite difference method and Monte Carlo simulation methods are also discussed. We conclude this part with a discussion on stochastic differential equations (SDE’s). In the third part of this book, several new and advanced models from current literature such as general Levy processes, nonlinear PDE's for stochastic volatility models in a transaction fee market, PDE's in a jump-diffusion with stochastic volatility models and factor and copulas models are discussed. In part four of the book, we conclude with a solid presentation of the typical topics in fixed income securities and derivatives. Quantitative Finance is an ideal textbook for upper-undergraduate and beginning graduate students in statistics, financial engineering, quantitative finance, and mathematical finance programs. It will also appeal to practitioners in the same fields."--Back cover

Average rating: 0.0 (0 votes)

Holdings ( 1 )
Title notes ( 4 )

Holdings
Item type	Current library	Collection	Call number	Materials specified	URL	Status	Notes	Date due	Barcode
Books	Ladislao N. Diwa Memorial Library Reserve Section	Non-fiction	RUS HF5691 M33 2020 (Browse shelf(Opens below))		Link to resource	Room use only	80377		00082747

Includes bibliographical references and index.

Part I Stochastic Processes and Finance -- Stochastic Processes -- Basics of Finance -- Part II Quantitative Finance in Practice -- Some Models Used in Quantitative Finance -- Solving Partial Differential Equations -- Wavelets and Fourier Transforms -- Tree Methods -- Approximating PDEs -- Approximating Stochastic Processes -- Stochastic Differential Equations --
Part III Advanced Models for Underlying Assets -- Stochastic Volatility Models -- Jump Diffusion Models -- General Lévy Processes -- Generalized Lévy Processes, Long Range Correlations, and Memory Effects -- Approximating General Derivative Prices -- Solutions to Complex Models Arising in the Pricing of Financial Options -- Factor and Copulas Models
-- Part IV Fixed Income Securities and Derivatives -- Models for the Bond Market -- Exchange Traded Funds (ETFs), Credit Default Swap (CDS), and Securitization.

"Written by accomplished teachers and researchers in the field, this book presents quantitative finance theory through applications to specific practical problems and comes with accompanying coding techniques in R and MATLAB, and some generic pseudo-algorithms to modern finance. It also offers over 300 examples and exercises that are appropriate for the beginning student as well as the practitioner in the field.
The Quantitative Finance book is divided into four parts. Part One begins by providing readers with the theoretical backdrop needed from probability and stochastic processes. We also present some useful finance concepts used throughout the book. In part two of the book we present the classical Black-Scholes-Merton model in a uniquely accessible and understandable way. Implied volatility as well as local volatility surfaces are also discussed. Next, solutions to Partial Differential Equations (PDE), wavelets and Fourier transforms are presented. Several methodologies for pricing options namely, tree methods, finite difference method and Monte Carlo simulation methods are also discussed. We conclude this part with a discussion on stochastic differential equations (SDE’s). In the third part of this book, several new and advanced models from current literature such as general Levy processes, nonlinear PDE's for stochastic volatility models in a transaction fee market, PDE's in a jump-diffusion with stochastic volatility models and factor and copulas models are discussed. In part four of the book, we conclude with a solid presentation of the typical topics in fixed income securities and derivatives. Quantitative Finance is an ideal textbook for upper-undergraduate and beginning graduate students in statistics, financial engineering, quantitative finance, and mathematical finance programs. It will also appeal to practitioners in the same fields."--Back cover

Fund 164 Linar International Book Resources, Inc. Purchased 06/06/2022 80377 pnr PHP 8,771.00 2022-05-333 2022-1-0319