Financial engineering and computation: principles, mathematics, algorithms
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge [u.a.]
Cambridge Univ. Press
2002
|
| Ausgabe: | 1. publ. |
| Schlagworte: | |
| Online-Zugang: | Table of contents Publisher description Inhaltsverzeichnis Klappentext |
| Beschreibung: | XIX, 627 S. graph. Darst. |
| ISBN: | 052178171X |
Internformat
MARC
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| 250 | |a 1. publ. | ||
| 264 | 1 | |a Cambridge [u.a.] |b Cambridge Univ. Press |c 2002 | |
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| 650 | 4 | |a Investissements - Modèles mathématiques | |
| 650 | 7 | |a Portfolio-analyse |2 gtt | |
| 650 | 7 | |a Wiskundige methoden |2 gtt | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Financial engineering | |
| 650 | 4 | |a Investments -- Mathematical models | |
| 650 | 4 | |a Derivative securities -- Mathematical models | |
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Datensatz im Suchindex
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| adam_text | Contents
Preface page xiii
Useful Abbreviations xvii
1 Introduction l
1.1 Modern Finance: A Brief History 1
1.2 Financial Engineering and Computation 1
1.3 Financial Markets 2
1.4 Computer Technology 4
2 Analysis of Algorithms 7
2.1 Complexity 7
2.2 Analysis of Algorithms 8
2.3 Description of Algorithms 9
2.4 Software Implementation 10
3 Basic Financial Mathematics n
3.1 Time Value of Money 11
3.2 Annuities 14
3.3 Amortization 15
3.4 Yields 17
3.5 Bonds 24
4 Bond Price Volatility 32
4.1 Price Volatility 32
4.2 Duration 34
4.3 Convexity 41
5 Term Structure of Interest Rates 45
5.1 Introduction 45
5.2 Spot Rates 46
5.3 Extracting Spot Rates from Yield Curves 47
5.4 Static Spread 49
5.5 Spot Rate Curve and Yield Curve 50
5.6 Forward Rates 50
5.7 Term Structure Theories 56
5.8 Duration and Immunization Revisited 60
vii
viii Contents
6 Fundamental Statistical Concepts 64
6.1 Basics 64
6.2 Regression 69
6.3 Correlation 71
6.4 Parameter Estimation 72
7 Option Basics 75
7.1 Introduction 75
7.2 Basics 76
7.3 Exchange Traded Options 77
7.4 Basic Option Strategies 78
8 Arbitrage in Option Pricing 84
8.1 The Arbitrage Argument 84
8.2 Relative Option Prices 85
8.3 Put Call Parity and Its Consequences 86
8.4 Early Exercise of American Options 88
8.5 Convexity of Option Prices 89
8.6 The Option Portfolio Property 90
9 Option Pricing Models 92
9.1 Introduction 92
9.2 The Binomial Option Pricing Model 93
9.3 The Black Scholes Formula 104
9.4 Using the Black Scholes Formula 111
9.5 American Puts on a Non Dividend Paying
Stock 113
9.6 Options on a Stock that Pays Dividends 114
9.7 Traversing the Tree Diagonally 118
10 Sensitivity Analysis of Options 123
10.1 Sensitivity Measures ( The Greeks ) 123
10.2 Numerical Techniques 127
11 Extensions of Options Theory 131
11.1 Corporate Securities 131
11.2 Barrier Options 137
11.3 Interest Rate Caps and Floors 140
11.4 Stock Index Options 141
11.5 Foreign Exchange Options 143
11.6 Compound Options 147
11.7 Path Dependent Derivatives 148
12 Forwards, Futures, Futures Options, Swaps 155
12.1 Introduction 155
12.2 Forward Contracts 156
12.3 Futures Contracts 161
12.4 Futures Options and Forward Options 168
12.5 Swaps 173
Contents ix
13 Stochastic Processes and Brownian Motion 177
13.1 Stochastic Processes 177
13.2 Martingales ( Fair dames ) 179
13.3 Brownian Motion I S3
13.4 Brownian Bridge IKS
14 Continuous Time Financial Mathematics 190
14.1 Stochastic Integrals 190
14.2 I to Processes 193
14.3 Applications 197
14.4 Financial Applications 201
15 Continuous Time Derivatives Pricing 206
15.1 Partial Differential Equations 206
15.2 The Black Scholcs Differential liquation 207
15.3 Applications 211
15.4 General Derivatives Pricing 220
15.5 Stochastic Volatility 221
16 Hedging 224
16.1 Introduction 224
16.2 Hedging and Futures 224
16.3 Hedging and Options 22S
17 Trees 234
17.1 Pricing Barrier Options with
Combinatorial Methods 234
17.2 Trinomial Tree Algorithms 242
17.3 Pricing Multivariate Contingent Claims 245
18 Numerical Methods 249
18.1 Finite Difference Methods 249
18.2 Monte Carlo Simulation 255
18.3 Quasi Monte Carlo Methods 262
19 Matrix Computation 268
19.1 Fundamental Definitions and Results 268
19.2 Least Squares Problems 273
19.3 Curve Fitting with Splines 278
20 Time Series Analysis 284
20.1 Introduction 284
20.2 Conditional Variance Models for Price Volatility 291
21 Interest Rate Derivative Securities 295
21.1 Interest Rate Futures and Forwards 295
21.2 Fixed Income Options and Interest Rate Options 306
21.3 Options on Interest Rate Futures 310
21.4 Interest Rate Swaps 312
x Contents
22 Term Structure Fitting 321
22.1 Introduction 321
22.2 Linear Interpolation 322
22.3 Ordinary Least Squares 323
22.4 Splines 325
22.5 The Nelson Siegel Scheme 326
23 Introduction to Term Structure Modeling 328
23.1 Introduction 328
23.2 The Binomial Interest Rate Tree 329
23.3 Applications in Pricing and Hedging 337
23.4 Volatility Term Structures 343
24 Foundations of Term Structure Modeling 345
24.1 Terminology 345
24.2 Basic Relations 346
24.3 Risk Neutral Pricing 348
24.4 The Term Structure Equation 350
24.5 Forward Rate Process 353
24.6 The Binomial Model with Applications 353
24.7 Black Scholes Models 359
25 Equilibrium Term Structure Models 361
25.1 The Vasicek Model 361
25.2 The Cox Ingersoll Ross Model 364
25.3 Miscellaneous Models 370
25.4 Model Calibration 371
25.5 One Factor Short Rate Models 372
26 No Arbitrage Term Structure Models 375
26.1 Introduction 375
26.2 The Ho Lee Model 375
26.3 The Black Derman Toy Model 380
26.4 The Models According to Hull and White 384
26.5 The Heath Jarrow Morton Model 388
26.6 The Ritchken Sankarasubramanian Model 395
27 Fixed Income Securities 399
27.1 Introduction 399
27.2 Treasury, Agency, and Municipal Bonds 399
27.3 Corporate Bonds 401
27.4 Valuation Methodologies 406
27.5 Key Rate Durations 412
28 Introduction to Mortgage Backed Securities 415
28.1 Introduction 415
28.2 Mortgage Banking 416
28.3 Agencies and Securitization 417
28.4 Mortgage Backed Securities 419
Contents xi
28.5 Federal Agency Mortgage Backed
Securities Programs 422
28.6 Prepayments 423
29 Analysis of Mortgage Backed Securities 427
29.1 Cash Flow Analysis 427
29.2 Collateral Prepayment Modeling 440
29.3 Duration and Convexity 444
29.4 Valuation Methodologies 446
30 Collateralized Mortgage Obligations 451
30.1 Introduction 451
30.2 Floating Rate Tranches 452
30.3 PAC Bonds 453
30.4 TAC Bonds 457
30.5 CMC) Strips 457
30.6 Residuals 457
31 Modern Portfolio Theory 45x
31.1 Mean Variance Analysis of Risk and Return 45X
31.2 The Capital Asset Pricing Model 464
31.3 Factor Models 470
31.4 Value at Risk 474
32 Software 4so
32.1 Web Programming 480
32.2 Use of The Capitals Software 4X0
32.3 Further Topics 4X2
33 Answers to Selected Exercises 4X4
Bibliography 553
Glossary of Useful Notations 5X5
Index 5X7
During the past decade many sophisticated mathematical and computational
techniques have been developed for analyzing financial markets. Students
ano
professionals intending to work in any area of finance must not only master
advanced concepts and mathematical models but must also learn how to
implement these models computationally. This comprehensive text combines
a thorough treatment of the theory and mathematics behind financial engi¬
neering with an emphasis on computation, in keeping with the way financial
engineering is practiced in today s capital markets.
Unlike most books on investments, financial engineering, or derivative
securities, the book starts from basic ideas in finance and gradually builds up
the theory. The advanced mathematical concepts needed in modern finance
are explained at accessible levels. Thus it offers a thorough grounding in the
subject for
M
BAs in finance, students of engineering and sciences who are pur¬
suing a career in finance, researchers in computational finance, system ana¬
lysts, and financial engineers.
Building on the theory, the author presents algorithms for computational
techniques in pricing, risk management, and portfolio management, together
with analyses of their efficiency. Pricing
financiai
and derivative securities is a
central theme of the book. A broad range of instruments is treated: bonds,
options, futures, forwards, interest rate derivatives, mortgage-backed securi¬
ties, bonds with embedded options, and more. Each instrument is treated in a
short, self-contained chapter for ready reference use.
Many of these algorithms are coded in Java as programs for the Web, available
from the book s home page: www.csie.ntu.
ed
u.tw/ffily
u u
/Ca pitai
s/capital s.
htm.
These programs can be executed on Windows,
MacOS,
or Unix platforms.
|
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| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 1. publ. |
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| id | DE-604.BV013924112 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:54:30Z |
| institution | BVB |
| isbn | 052178171X |
| language | English |
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| spelling | Lyuu, Yuh-Dauh Verfasser aut Financial engineering and computation principles, mathematics, algorithms Yuh-Dauh Lyuu 1. publ. Cambridge [u.a.] Cambridge Univ. Press 2002 XIX, 627 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Algoritmen gtt Derivativos (modelos matemáticos) larpcal Engenharia financeira larpcal Financieel management gtt Ingénierie financière Instruments dérivés (Finances) - Modèles mathématiques Investimentos (modelos matemáticos) larpcal Investissements - Modèles mathématiques Portfolio-analyse gtt Wiskundige methoden gtt Mathematisches Modell Financial engineering Investments -- Mathematical models Derivative securities -- Mathematical models Financial Engineering (DE-588)4208404-0 gnd rswk-swf Financial Engineering (DE-588)4208404-0 s DE-604 http://www.loc.gov/catdir/toc/cam023/2001043916.html Table of contents http://www.loc.gov/catdir/description/cam022/2001043916.html Publisher description HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009528092&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Passau - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009528092&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Lyuu, Yuh-Dauh Financial engineering and computation principles, mathematics, algorithms Algoritmen gtt Derivativos (modelos matemáticos) larpcal Engenharia financeira larpcal Financieel management gtt Ingénierie financière Instruments dérivés (Finances) - Modèles mathématiques Investimentos (modelos matemáticos) larpcal Investissements - Modèles mathématiques Portfolio-analyse gtt Wiskundige methoden gtt Mathematisches Modell Financial engineering Investments -- Mathematical models Derivative securities -- Mathematical models Financial Engineering (DE-588)4208404-0 gnd |
| subject_GND | (DE-588)4208404-0 |
| title | Financial engineering and computation principles, mathematics, algorithms |
| title_auth | Financial engineering and computation principles, mathematics, algorithms |
| title_exact_search | Financial engineering and computation principles, mathematics, algorithms |
| title_full | Financial engineering and computation principles, mathematics, algorithms Yuh-Dauh Lyuu |
| title_fullStr | Financial engineering and computation principles, mathematics, algorithms Yuh-Dauh Lyuu |
| title_full_unstemmed | Financial engineering and computation principles, mathematics, algorithms Yuh-Dauh Lyuu |
| title_short | Financial engineering and computation |
| title_sort | financial engineering and computation principles mathematics algorithms |
| title_sub | principles, mathematics, algorithms |
| topic | Algoritmen gtt Derivativos (modelos matemáticos) larpcal Engenharia financeira larpcal Financieel management gtt Ingénierie financière Instruments dérivés (Finances) - Modèles mathématiques Investimentos (modelos matemáticos) larpcal Investissements - Modèles mathématiques Portfolio-analyse gtt Wiskundige methoden gtt Mathematisches Modell Financial engineering Investments -- Mathematical models Derivative securities -- Mathematical models Financial Engineering (DE-588)4208404-0 gnd |
| topic_facet | Algoritmen Derivativos (modelos matemáticos) Engenharia financeira Financieel management Ingénierie financière Instruments dérivés (Finances) - Modèles mathématiques Investimentos (modelos matemáticos) Investissements - Modèles mathématiques Portfolio-analyse Wiskundige methoden Mathematisches Modell Financial engineering Investments -- Mathematical models Derivative securities -- Mathematical models Financial Engineering |
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