Financial Engineering and Computation: Principles, Mathematics, Algorithms / Edition 1by Yuh-Dauh Lyuu
A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.See more details below
A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.
- Cambridge University Press
- Publication date:
- Edition description:
- New Edition
- Product dimensions:
- 6.97(w) x 9.96(h) x 1.38(d)
Table of Contents
1. Introduction; 2. Analysis of algorithms; 3. Basic financial mathematics; 4. Bond price volatility; 5. Term structure of interest rates; 6. Fundamental statistical concepts; 7. Option basics; 8. Arbitrage in option pricing; 9. Option pricing models; 10. Sensitivity analysis of options; 11. Extensions of options theory; 12. Forwards, futures, futures options, swaps; 13. Stochastic processes and Brownian motion; 14. Continuous-time financial mathematics; 15. Continuous-time pricing; 16. Hedging; 17. Trees; 18. Numerical methods; 19. Matrix computation; 20. Time series and estimation; 21. Interest rate derivative securities; 22. Term structure fitting; 23. Introduction to term structure modeling; 24. Foundations of term structure modeling; 25. Equilibrium term structure models; 26. No-arbitrage term structure models; 27. Fixed-income securities; 28. Introduction to mortgage-backed securities; 29. Analysis of mortgage-backed securities; 30. Collateralized mortgage obligations; 31. Modern portfolio theory; 32. Software.
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