The Mathematics of Financial Derivatives: A Student Introduction / Edition 1

by Paul Wilmott, Sam Howison, Jeff Dewynne

Overview

Finance is one of the fastest growing areas in the modern banking and corporate world. This, together with the sophistication of modern financial products, provides a rapidly growing impetus for new mathematical models and modern mathematical methods. Indeed, the area is an expanding source for novel and relevant "real-world" mathematics. In this book, the authors describe the modeling of financial derivative products from an applied mathematician's viewpoint, from modeling to analysis to elementary computation. The authors present a unified approach to modeling derivative products as partial differential equations, using numerical solutions where appropriate. The authors assume some mathematical background, but provide clear explanations for material beyond elementary calculus, probability, and algebra. This volume will become the standard introduction for advanced undergraduate students to this exciting new field.

Product Details

ISBN-13:	9780521497893
Publisher:	Cambridge University Press
Publication date:	09/29/1995
Edition description:	New Edition
Pages:	336
Product dimensions:	5.98(w) x 9.02(h) x 0.71(d)

Table of Contents

Part I. Basic Option Theory: 1. An introduction to options and markets; 2. Asset price random walks; 3. The Black-Scholes model; 4. Partial differential equations; 5. The Black–Scholes formulae; 6. Variations on the Black-Scholes model; 7. American options; Part II. Numerical Methods: 8. Finite-difference methods; 9. Methods for American options; 10. Binomial methods; Part III. Further Option Theory: 11. Exotic and path-dependent options; 12. Barrier options; 13. A unifying framework for path-dependent options; 14. Asian options; 15. Lookback options; 16. Options with transaction costs; Part IV. Interest Rate Derivative Products: 17. Interest rate derivatives; 18. Convertible bonds; Hints to selected exercises; Bibliography; Index.

Editorial Reviews

'The layout is good and clear, so is the style of notation … overall this is an excellent tool for both mathematicians interested in the world of finance as well as finance practitioners keen to rebuild the foundations of their knowledge.' Rudi Bogni, The Times Higher Education Supplement

'The book is pleasantly readable and gives a good introduction.' C. Praagman, ITW Nieuws

From the Publisher

A textbook for an advanced undergraduate course, to be used by itself or in conjunction with either a more probability-based or a more practically oriented text. Assumes a knowledge of early calculus, probability, and algebra as taught in undergraduate mathematics, physics, chemistry, or engineering programs. An introductory version of Option Pricing: Mathematical Models and Computation. Paper edition (unseen), $24.95. Annotation c. Book News, Inc., Portland, OR (booknews.com)

Booknews