Financial engineering and computation : principles, mathematics, algorithms / Yuh-Dauh Lyuu.
Students and professionals intending to work in any area of finance must master not only advanced concepts and mathematical models but also learn how to implement these models computationally. This comprehensive text, first published in 2002, combines the theory and mathematics behind financial engi...
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Full Text (via Cambridge) |
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| Main Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge, UK ; New York, NY :
Cambridge University Press,
2002.
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| Subjects: |
MARC
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| 100 | 1 | |a Lyuu, Yuh-Dauh. | |
| 245 | 1 | 0 | |a Financial engineering and computation : |b principles, mathematics, algorithms / |c Yuh-Dauh Lyuu. |
| 260 | |a Cambridge, UK ; |a New York, NY : |b Cambridge University Press, |c 2002. | ||
| 300 | |a 1 online resource (xix, 627 pages) : |b illustrations | ||
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| 380 | |a Bibliography | ||
| 504 | |a Includes bibliographical references (pages 553-583) and index. | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | 0 | |g 1. |t Introduction -- |g 2. |t Analysis of Algorithms -- |g 3. |t Basic Financial Mathematics -- |g 4. |t Bond Price Volatility -- |g 5. |t Term Structure of Interest Rates -- |g 6. |t Fundamental Statistical Concepts -- |g 7. |t Option Basics -- |g 8. |t Arbitrage in Option Pricing -- |g 9. |t Option Pricing Models -- |g 10. |t Sensitivity Analysis of Options -- |g 11. |t Extensions of Options Theory -- |g 12. |t Forwards, Futures, Futures Options, Swaps -- |g 13. |t Stochastic Processes and Brownian Motion -- |g 14. |t Continuous-Time Financial Mathematics -- |g 15. |t Continuous-Time Derivatives Pricing -- |g 16. |t Hedging -- |g 17. |t Trees -- |g 18. |t Numerical Methods -- |g 19. |t Matrix Computation -- |g 20. |t Time Series Analysis -- |g 21. |t Interest Rate Derivative Securities -- |g 22. |t Term Structure Fitting. |
| 520 | |a Students and professionals intending to work in any area of finance must master not only advanced concepts and mathematical models but also learn how to implement these models computationally. This comprehensive text, first published in 2002, combines the theory and mathematics behind financial engineering with an emphasis on computation, in keeping with the way financial engineering is practised in capital markets. Unlike most books on investments, financial engineering, or derivative securities, the book starts from very basic ideas in finance and gradually builds up the theory. It offers a thorough grounding in the subject for MBAs in finance, students of engineering and sciences who are pursuing a career in finance, researchers in computational finance, system analysts, and financial engineers. Along with the theory, the author presents numerous algorithms for pricing, risk management, and portfolio management. The emphasis is on pricing financial and derivative securities: bonds, options, futures, forwards, interest rate derivatives, mortgage-backed securities, bonds with embedded options, and more. | ||
| 546 | |a English. | ||
| 650 | 0 | |a Financial engineering. | |
| 650 | 0 | |a Investments |x Mathematical models. | |
| 650 | 0 | |a Derivative securities |x Mathematical models. | |
| 650 | 7 | |a Derivative securities |x Mathematical models. |2 fast |0 (OCoLC)fst00891026 | |
| 650 | 7 | |a Financial engineering. |2 fast |0 (OCoLC)fst00924623 | |
| 650 | 7 | |a Investments |x Mathematical models. |2 fast |0 (OCoLC)fst00978277 | |
| 776 | 0 | 8 | |i Print version: |a Lyuu, Yuh-Dauh. |t Financial engineering and computation. |d Cambridge, UK ; New York, NY : Cambridge University Press, 2002 |w (DLC) 2001043916 |
| 856 | 4 | 0 | |u https://colorado.idm.oclc.org/login?url=https://doi.org/10.1017/CBO9780511546839 |z Full Text (via Cambridge) |
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