CRC Press, 2020. — 392 p. — ISBN: 9781138337268. It is well-known that modern stochastic calculus has been exhaustively developed under usual conditions. Despite such a well-developed theory, there is evidence to suggest that these very convenient technical conditions cannot necessarily be fulfilled in real-world applications. Optional Processes: Theory and Applications seeks...
Society for Industrial and Applied Mathematics, 2005, -316 pp. Mathematical finance is an old science but has become a major topic for numerical analysts since Merton [97], Black-Scholes [16] modeled financial derivatives. An excellent book for the mathematical foundation of option pricing is Lamberton and Lapeyre's [85]. Since the Black-Scholes model relies on stochastic...
Palgrave Macmillan, 2017. — 240 p. — ISBN: 9783319544151 EISBN 9783319544168 This book explores the risk-return paradox in portfolio selection by incorporating multi-objective criteria. Empirical research is presented on the development of alternate portfolio models and their relative performance in the risk/return framework to provide solutions to multi-objective optimization....
Springer, 2017. — 150 p. — ISBN 9783319412559. This volume presents classical results of the theory of enlargement of filtration. The focus is on the behavior of martingales with respect to the enlarged filtration and related objects. The study is conducted in various contexts including immersion, progressive enlargement with a random time and initial enlargement with a random...
Springer, 2013. — 190 p. — ISBN: 3034805187, 9783034805186 Swaps, futures, options, structured instruments - a wide range of derivative products is traded in today's financial markets. Analyzing, pricing and managing such products often requires fairly sophisticated quantitative tools and methods. This book serves as an introduction to financial mathematics with special...
Springer, 2015. — 264 p. — (B&SS – Bocconi & Springer Series 06). — ISBN10: 3319052209. This book gives an overview of affine diffusions, from Ornstein-Uhlenbeck processes to Wishart processes and it considers some related diffusions such as Wright-Fisher processes. It focuses on different simulation schemes for these processes, especially second-order schemes for the weak...
Springer, 2015. — 252 p. — (B&SS – Bocconi & Springer Series 06). — ISBN10: 3319052209. This book gives an overview of affine diffusions, from Ornstein-Uhlenbeck processes to Wishart processes and it considers some related diffusions such as Wright-Fisher processes. It focuses on different simulation schemes for these processes, especially second-order schemes for the weak...
Wiley, 2012. — 536 p. — ISBN: 0470641843, 9780470641842. An introduction to the mathematical skills needed to understand finance and make better financial decisions Mathematical Finance enables readers to develop the mathematical skills needed to better understand and solve financial problems that arise in business, from small entrepreneurial operations to large corporations, and...
Chapman and Hall/CRC, 2021. — 350 p. — (Chapman and Hall/CRC Financial Mathematics Series). — ISBN 978-0367893446. Malliavin Calculus in Finance: Theory and Practice aims to introduce the study of stochastic volatility (SV) models via Malliavin Calculus. Malliavin calculus has had a profound impact on stochastic analysis. Originally motivated by the study of the existence of...
2nd Edition. — Chapman and Hall/CRC, 2025. — 368 p. — (Chapman and Hall/CRC Financial Mathematics Series). — ISBN 978-1-032-63635-1. Malliavin Calculus in Finance: Theory and Practice, Second Edition introduces the study of stochastic volatility (SV) models via Malliavin Calculus. Originally motivated by the study of the existence of smooth densities of certain random...
2nd Edition. — Chapman and Hall/CRC, 2025. — 368 p. — (Chapman and Hall/CRC Financial Mathematics Series). — ISBN 978-1-032-63638-2. Malliavin Calculus in Finance: Theory and Practice, Second Edition introduces the study of stochastic volatility (SV) models via Malliavin Calculus. Originally motivated by the study of the existence of smooth densities of certain random...
2nd Edition. — Chapman and Hall/CRC, 2025. — 368 p. — (Chapman and Hall/CRC Financial Mathematics Series). — ISBN 978-1-032-63638-2. Malliavin Calculus in Finance: Theory and Practice, Second Edition introduces the study of stochastic volatility (SV) models via Malliavin Calculus. Originally motivated by the study of the existence of smooth densities of certain random...
2nd Edition. — Chapman and Hall/CRC, 2025. — 368 p. — (Chapman and Hall/CRC Financial Mathematics Series). — ISBN 978-1-032-63638-2. Malliavin Calculus in Finance: Theory and Practice, Second Edition introduces the study of stochastic volatility (SV) models via Malliavin Calculus. Originally motivated by the study of the existence of smooth densities of certain random...
Oxford University Press, 2021. — 934 p. — ISBN 0192844199. Credit Intelligence and Modelling provides an indispensable explanation of the statistical models and methods used when assessing credit risk and automating decisions. Over eight modules, the book covers consumer and business lending in both the developed and developing worlds, providing the frameworks for both theory...
Springer, 2019. — 132 p. — (SpringerBriefs in Quantitative Finance). — ISBN: 978-3-030-10655-3. Focusing on recent advances in option pricing under the SABR model, this book shows how to price options under this model in an arbitrage-free, theoretically consistent manner. It extends SABR to a negative rates environment, and shows how to generalize it to a similar model with...
New York: C++ for Financial Mathematics, 2017. — 411 p. If you know a little bit about financial mathematics but don’t yet know a lot about programming, then C++ for Financial Mathematics is for you. C++ is an essential skill for many jobs in quantitative finance, but learning it can be a daunting prospect. This book gathers together everything you need to know to price...
New York: C++ for Financial Mathematics, 2017. — 411 p. If you know a little bit about financial mathematics but don’t yet know a lot about programming, then C++ for Financial Mathematics is for you. C++ is an essential skill for many jobs in quantitative finance, but learning it can be a daunting prospect. This book gathers together everything you need to know to price...
New York: Palgrave Macmillan, 2014. - 240p.
In modern derivatives trading, Black–Scholes theory is only a starting point. Asset volatilities are not constant, but change with market conditions. Large price moves are associated with periods of market turbulence and this leads to a smile shaped curve of the volatility implied from market prices.
Smile Pricing Explained provides...
Apress, 2015. — 248 p. 159 illus. — ISBN: 9781484208724 The ability to create and understand financial models that assess the valuation of a company, the projects it undertakes, and its future earnings/profit projections is one of the most valued skills in corporate finance. However, while many business professionals are familiar with financial statements and accounting...
Apress, 2013. — 484 p. — ISBN: 1430262052, 9781430262053 The ability to create and understand financial models that assess the valuation of a company, the projects it undertakes, and its future earnings/profit projections is one of the most valued skills in corporate finance. However, while many business professionals are familiar with financial statements and accounting...
Cambridge University Press, 2018. — 716 p. — ISBN: 978-1-108-42315-1. An introduction to how the mathematical tools from quantum field theory can be applied to economics and finance, providing a wide range of quantum mathematical techniques for designing financial instruments. The ideas of Lagrangians, Hamiltonians, state spaces, operators and Feynman path integrals are...
Springer, 2020. — 455 p. — ISBN: 9811566100. Given the rapid pace of development in economics and finance, a concise and up-to-date introduction to mathematical methods has become a prerequisite for all graduate students, even those not specializing in quantitative finance. This book offers an introductory text on mathematical methods for graduate students of economics and...
Cambridge, Cambridge Unuversity Press, 2004. - 334 p.
Работа посвящена переносу методов и принципов квантовой механики в область финансовой математики. Делается попытка связать теорию опционов и модели процентных ставок с квантовой теории поля. Автор предполагает в читателе хорошее владение математических анализом, свободное обращение с линейной алгеброй и умение пользоваться...
Springer, 2004. — 316 p. This volume includes the five lecture courses given at the CIME-EMS School on "Stochastic Methods in Finance" held in Bressanone/Brixen, Italy 2003. It deals with innovative methods, mainly from stochastic analysis, that play a fundamental role in the mathematical modelling of finance and insurance: the theory of stochastic processes, optimal and...
Wiley, 2013. — 350 p. — ISBN: 9781118513453 The book aims to prioritise what needs mastering and presents the content in the most understandable, concise and pedagogical way illustrated by real market examples. Given the variety and the complexity of the materials the book covers, the author sorts through a vast array of topics in a subjective way, relying upon more than twenty...
New York: Leanpub, 2017. — 208 p. The choice of the QuantLib Python bindings and the IPython Notebook was due to their interactivity, which make it easier to demonstrate features, and the fact that the platform provides out of the box excellent modules like matplotlib for graphing and pandas for data analysis. This choice might seem to leave C++ users out in the cold. However,...
Springer, 2013 — 432 p. 38 illus., 27 illus. in color — ISBN: 3319007467, 9783319007465 This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fourier transforms, fundamental solutions or functionals can be obtained in explicit form. The book also provides an introduction to the use of Lie...
Leanpub, 2020. — 364 p. This book is a report on the design and implementation of QuantLib, alike in spirit—but, hopefully, with less frightening results—to the How I did it book prominently featured in Mel Brooks' Young Frankenstein (in this case, of course, it would be "how we did it"). If you are, or want to be, a QuantLib user, you will find here useful information on the...
Paris-Princeton Lectures on Mathematical Finance (Springer, 2004)(ISBN 3540229531)
The Paris-Princeton Lectures in Financial Mathematics, of which this is the first volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is to produce a series of articles that can...
Berlin: Springer, 2010. — 219 p. This is the first volume of a subseries of the Lecture Notes in Mathematics which will appear randomly over the next years. Each volume will describe some important topic in the theory or applications of Lévy processes and pay tribute to the state of the art of this rapidly evolving subject with special emphasis on the non-Brownian world. The...
Springer, 2022. — 182 p. — (Financial Mathematics and Fintech). — ISBN 978-3-030-97318-6. This book introduces the novel artificial intelligence technique of polymodels and applies it to the prediction of stock returns. The idea of polymodels is to describe a system by its sensitivities to an environment, and to monitor it, imitating what a natural brain does spontaneously. In...
Springer, 2022. — 332 p. — (Financial Mathematics and Fintech). — ISBN 978-3-030-97319-3. This book introduces the novel artificial intelligence technique of polymodels and applies it to the prediction of stock returns. The idea of polymodels is to describe a system by its sensitivities to an environment, and to monitor it, imitating what a natural brain does spontaneously. In...
Department of Mathematics University of Connecticut, 2003.
These are lecture notes on mathematical finance. Mathematical finance is not about predicting the price of a stock. What it is about is figuring out the price of options and derivatives. The sections of these notes can be grouped into five categories: elementary probability, the binomial asset pricing model, advanced...
Holy Macro! Books, 2020. — 352 p. — ISBN: 9781615470686. This book is aimed at those who wish to advance their knowledge and expertise in financial modelling by addressing common problems that occur day to day in the world of business/decision analyses, forecasting, and valuations. Building on the sister book, An Introduction to Financial Modelling, this book begins where the...
Holy Macro! Books, 2020. — 352 p. — ISBN: 9781615470686. This book is aimed at those who wish to advance their knowledge and expertise in financial modelling by addressing common problems that occur day to day in the world of business/decision analyses, forecasting, and valuations. Building on the sister book, An Introduction to Financial Modelling, this book begins where the...
Holy Macro! Books, 2020. — 352 p. — ISBN: 9781615470686. Code files only! This book is aimed at those who wish to advance their knowledge and expertise in financial modelling by addressing common problems that occur day to day in the world of business/decision analyses, forecasting, and valuations. Building on the sister book, An Introduction to Financial Modelling, this book...
Spektrum, 2017. — 238 p. — ISBN: 978-3-662-53531-8. Dieses Lehrbuch bietet eine leicht verständliche Einführung in die moderne Finanzmathematik und erläutert grundlegende mathematische Konzepte der Optionsbewertung, der Portfolio-Optimierung und des Risikomanagements. Hierzu gehören die Preisbestimmung durch Arbitrageüberlegungen, die Preisbestimmung von amerikanischen Optionen...
Cambridge: Cambridge University Press, 2012, - 245p.
Here is the first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities. With mathematical precision and in a style tailored for market practioners, the authors describe key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model....
Wiley, 2004. – 318 p. – ISBN: 0471463582, 9780471463580 Stock, bonds, cash the investment mind is often programmed. The reality is that most investors think in terms of single asset classes, and allocate money to them accordingly. The unique contribution of First Principles: An Investor's Guide to Building Bridges Across Financial Products is that, for the first time, a single...
Wiley, 2011. – 616 p. – ISBN: 0470455810, 9780470455814 The Robert W. Kolb Series in Finance is an unparalleled source of information dedicated to the most important issues in modern finance. Each book focuses on a specific topic in the field of finance and contains contributed chapters from both respected academics and experienced financial professionals. As part of the Robert...
New York: Wiley, 2016. — 411 p. — (For Dummies). An accessible, thorough introduction to quantitative finance Does the complex world of quantitative finance make you quiver? You're not alone! It's a tough subject for even high-level financial gurus to grasp, but Quantitative Finance For Dummies offers plain-English guidance on making sense of applying mathematics to investing...
Copyright 2014 Colin Bennett. — 317 p. — ISBN13: 978-1499206074 While there are many different aspects to volatility trading, not all of them are suitable for all investors. In order to allow easy navigation, the sections are combined into seven chapters that are likely to appeal to different parts of the equity derivatives client base. The earlier chapters are most suited to...
5th ed. — The MIT Press, 2021. — 1143 p. — ISBN 0262027283, 9780262027281. The four previous editions of Financial Modeling have established this book as a “must have” for finance academics and professionals. Its straightforward, hands-on approach, mixing explanation and implementation using Excel and R, has fulfilled a need in both academic and practitioner markets for readers...
3rd edition. — The MIT Press, 2008. — 1168 p. Too often, finance courses stop short of making a connection between textbook finance and the problems of real-world business. Financial Modeling bridges this gap between theory and practice by providing a nuts-and-bolts guide to solving common financial models with spreadsheets. Simon Benninga takes the reader step by step through...
New York: Springer, 2004. - 162p.
This is a very basic and accessible introduction to option pricing, invoking a minimum of stochastic analysis and requiring only basic mathematical skills. It covers the theory essential to the statistical modeling of stocks, pricing of derivatives with martingale theory, and computational finance including both finite-difference and Monte...
CRC Press, 2016. — 520 p. — (Chapman & Hall / CRC Financial Mathematics). — EISBN 9781482244076 Packed with insights, Lorenzo Bergomi’s Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including: Which trading issues do we tackle with stochastic volatility? How do we design models and assess...
Springer, 2021. — 219 p. — ISBN 9783030642495. This book on counting statistics presents a novel copula-based approach to counting dependent random events. It combines clustering, combinatorics-based algorithms and dependence structure in order to tackle and simplify complex problems, without disregarding the hierarchy of or interconnections between the relevant variables....
Springer, 2021. — 219 p. — ISBN 9783030642495. This book on counting statistics presents a novel copula-based approach to counting dependent random events. It combines clustering, combinatorics-based algorithms and dependence structure in order to tackle and simplify complex problems, without disregarding the hierarchy of or interconnections between the relevant variables....
N.-Y.: Springer, 2004. - 179p. Markov chains have increasingly become useful way of capturing stochastic nature of many economic and financial variables. Although the hidden Markov processes have been widely employed for some time in many engineering applications e.g. speech recognition, its effectiveness has now been recognized in areas of social science research as well. The...
Springer, 1997. - 316 Pages. Financial Mathematics is an exciting, emerging field of application. The five sets of course notes in this book provide a bird's eye view of the current "state of the art" and directions of research. For graduate students it will therefore serve as an introduction to the field while reseachers will find it a compact source of reference. The reader...
McGraw-Hill/Irwin, 2007. - 690 pages.
The Mathematics of Money: Math for Business and Personal Finance covers all the traditional topics of the business math course, but with a more algebraic focus than many of the texts currently on the market. The text develops a solid understanding of percent and interest early, then applies that foundation to other applications in business...
North-Holland, 2007. — 1027 pages. — (Handbooks in Operations Research and Management Science, Volume 15)
The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to...
Cham: Springer, 2022. — 634 p. This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While there is ample research to document stochastic differential equation models driven by Brownian motion based on discrete observations of the underlying diffusion process, these traditional...
Publisher: Oxford University Press (January 14, 1999), Hardcover: 328 pages, ISBN10: 0198775180 ISBN13: 978-0198775188 Concentrating on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory and Merton's fund separation theory, the book is designed for graduate students and combines necessary mathematical...
3rd edition. — Oxford University Press, 2009. — 560 p.
The third edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal...
Chapman and Hall/CRC, 2006. — 376 p. — ASIN B009AI8R5S. The financial industry is swamped by credit products whose economic performance is linked to the performance of some underlying portfolio of credit-risky instruments, like loans, bonds, swaps, or asset-backed securities. Financial institutions continuously use these products for tailor-made long and short positions in credit...
Oxford University Press, 2014. — 192 p. — ISBN: 019966658X, 9780199666584
The worlds of Wall Street and The City have always held a certain allure, but in recent years have left an indelible mark on the wider public consciousness and there has been a need to become more financially literate. The quantitative nature of complex financial transactions makes them a fascinating...
Springer, 2015. — 559 p. — ISBN: 9783319126661, EISBN: 9783319126678
The book offers a detailed, robust, and consistent framework for the joint consideration of portfolio exposure, risk, and performance across a wide range of underlying fixed-income instruments and risk factors. Through extensive use of practical examples, the author also highlights the necessary technical...
Cambridge University Press, 2014. — 712 p. — ISBN: 0521830486, 9780521830485
Focusing on what actuaries need in practice, this introductory account provides readers with essential tools for handling complex problems and explains how simulation models can be created, used and re-used (with modifications) in related situations. The book begins by outlining the basic tools of...
2nd Edition. — Academic Press, 2015. — 420 p. — ISBN: 978-0128001165 Understanding Credit Derivatives and Related Instruments, Second Edition is an intuitive, rigorous overview that links the practices of valuing and trading credit derivatives with academic theory. Rather than presenting highly technical explorations, the book offers summaries of major subjects and the...
Berlin, Humboldt-Universität, 2005. - 20p.
В работе рассматривается метод расчёта цены опционов, основанному на отличных от общепринятого подхода моделях Мертона, Хестона и Бэйтса, использующий преобразование Фурье. Его применение проиллюстрировано расчётом стоимости опционов на индекс DAX.
Для специалистов по финансовой математике.
Wiley, 2014. — 176 p. — ISBN: 978-1118750964. In Advanced Equity Derivatives: Volatility and Correlation, Sébastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the...
Springer International Publishing, Switzerland, 2016. — 286 p. — (Universitext) — ISBN: 9783319389882 This book is dedicated to master students or young PhD students in applied mathematics who wish to learn mathematical finance. It uses a top-down approach, starting from the fundamentals and going little by little towards applications, while covering a large spectrum of...
Published by the Press Pyndicate of the university of Cambridge. First published 2000. Reprinted 2001 ISBN 0 521 78232 5 This book summarizes recent theoretical developments inspired by statistical physics in the description of the potential moves in financial markets, and its application to derivative pricing and risk control. The possibility of accessing and processing huge...
Wiley, 2019. — 592 p. — ISBN: 9781119137009. A new textbook offering a comprehensive introduction to models and techniques for the emerging field of actuarial Finance. Drs. Boudreault and Renaud answer the need for a clear, application-oriented guide to the growing field of actuarial finance with this volume, which focuses on the mathematical models and techniques used in...
Wiley, 2019. — 592 p. — ISBN: 9781119137009. A new textbook offering a comprehensive introduction to models and techniques for the emerging field of actuarial Finance. Drs. Boudreault and Renaud answer the need for a clear, application-oriented guide to the growing field of actuarial finance with this volume, which focuses on the mathematical models and techniques used in...
Palgrave Macmillan, 2014. — 100 p. — ISBN: 978-1137335531. A succinct book that provides readers with all they need to know about the equity derivatives business. It deals with vanilla equity products, their usage, structuring and their risk management. The author efficiently bridges the gap between theory and practice, constantly linking risk management tools with specific...
Wiley, 2010. — 392 p. — ISBN: 978-0470688038. The recent financial crisis brought to light many of the misunderstandings and misuses of exotic derivatives. With market participants on both the buy and sell-side having been found guilty of not understanding the products they were dealing with, never before has there been a greater need for clarification and explanation. Exotic...
Cambridge University Press, 2005. — 392 p. — ISBN: 9780521843713. Originally published in 2005, Weather Derivative Valuation covers all the meteorological, statistical, financial and mathematical issues that arise in the pricing and risk management of weather derivatives. There are chapters on meteorological data and data cleaning, the modelling and pricing of single weather...
Palgrave Macmillan, 2016. — 304 p. — (Applied Quantitative Finance) — ISBN: 1137349484, 9781137349484
The choice of material is somewhat subjective. For example, a probabilistic approach is preferred to partial differential equations (PDEs) or Green’s functions. Having seen too many quants getting into trouble trying to deliver sound PDE engines to hectic traders with a short...
ISTE Press - Elsevier, 2018. — 194 p. — (Optimization in Insurance and Finance Set). — ISBN: 978-1-78548-083-6 Finance and insurance companies are facing a wide range of parametric statistical problems. Statistical experiments generated by a sample of independent and identically distributed random variables are frequent and well understood, especially those consisting of...
ACTEX Publications, 2010. - 544 pages. 5th Edition ISBN10: 1566987679 This text is a thorough treatment of the theory of interest, and its application to a wide variety of financial instruments. It emphasizes a direct-calculation approach to reaching numerical results, and uses a gentle, thorough pedagogic style. This edition expands on the treatments of forward contracts of...
Springer, 2025. — 278 p. — (Springer Texts in Business and Economics). — ISBN 3031746678. This textbook is designed to facilitate a thorough learning for students of financial mathematics. It includes exercises and theoretical questions across seven chapters: Interest Theory, Financial Flows and Annuities, Profitability and Risk of Financial Operations, Portfolio Analysis,...
World Scientific Publishing Company – 2006, 284 pages
ISBN: 9812566376, 9789812566379
This textbook provides an introduction to financial mathematics and financial engineering for undergraduate students who have completed a three or four semester sequence of calculus courses. It introduces the theory of interest, random variables and probability, stochastic processes,...
Berlin, Springer Verlag, 2002. - 243p. Книга состоит из предисловия, трёх частей и приложений. В предисловии делается постановка задачи оценивания опционов, включая экзотические, в условиях неопределённой волатильности. В первой части рассматриваются математические модели волатильности и методы вычислительных финансов. Во второй - алгоритмы оценивания опционов различных типов....
Unpublished, 2012. — 372 p. The goal of this work is to introduce elementary Stochastic Calculus to senior undergraduate as well as to master students with Mathematics, Economics and Business majors. The author’s goal was to capture as much as possible of the spirit of elementary Calculus, at which the students have been already exposed in the beginning of their majors. This...
Boca Raton: CRC Press, 2014. — 826 p. Financial Mathematics: A Comprehensive Treatment provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of the authors’ teaching experiences, the book encompasses a breadth of topics, from introductory to more advanced ones....
Boca Raton: CRC Press/Chapman & Hall, 2022. — 511 p. The book has been tested and refined through years of classroom teaching experience. With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way. This textbook provides complete coverage of...
Chapman and Hall/CRC, 2021. — 590 p. The book has been tested and refined through years of classroom teaching experience. With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way. This textbook provides complete coverage of discrete-time...
Cambridge University Press, 2012. — 192 p. — (Mastering Mathematical Finance). — ISBN: 9781107002630, 9780521175722. This book explains in simple settings the fundamental ideas of financial market modelling and derivative pricing, using the no-arbitrage principle. Relatively elementary mathematics leads to powerful notions and techniques - such as viability, completeness,...
Cambridge University Press, 2012. — 178 p. — ISBN: 978-0521173001. The Black-Scholes option pricing model is the first and by far the best-known continuous-time mathematical model used in mathematical finance. Here, it provides a sufficiently complex, yet tractable, testbed for exploring the basic methodology of option pricing. The discussion of extended markets, the careful...
Cambridge University Press, 2012. — 186 pages. — (Mastering Mathematical Finance) ISBN: 1107002648 , 0521535301 This book focuses specifically on the key results in stochastic processes that have become essential for finance practitioners to understand. The authors study the Wiener process and Itô integrals in some detail, with a focus on results needed for the Black-Scholes...
Springer, London, 2003, – 316 p. ISBN: 1852333308 This textbook contains the fundamentals for an undergraduate course in mathematical finance aimed primarily at students of mathematics. Assuming only a basic knowledge of probability and calculus, the material is presented in a mathematically rigorous and complete way. The book covers the time value of money, including the time...
Philadelphia: SIAM, 2016. — 363 p. This book grew out of the lecture notes I prepared for a graduate class I taught at Princeton University in 2011–12, and again in 2012–13. My goal was to introduce the students to stochastic analysis tools, which play an increasing role in the probabilistic approach to optimization problems, including stochastic control and stochastic...
ISTE Press - Elsevier, 2017. — 184 p. — ISBN: 1785480847, 9781785480843 Portfolio Optimization with Different Information Flow recalls the stochastic tools and results concerning the stochastic optimization theory and the enlargement filtration theory.The authors apply the theory of the enlargement of filtrations and solve the optimization problem. Two main types of enlargement...
Wiley, 2010. — 320 p. — ISBN: 978-0470754191. The FX options market represents one of the most liquid and strongly competitive markets in the world, and features many technical subtleties that can seriously harm the uninformed and unaware trader. This book is a unique guide to running an FX options book from the market maker perspective. Striking a balance between mathematical...
Princeton University Press, 2009. - 416 pages. Second Edition Originally published in 2003, Mathematical Techniques in Finance has become a standard textbook for master's-level finance courses containing a significant quantitative element while also being suitable for finance PhD students. This fully revised second edition continues to offer a carefully crafted blend of...
Birkhäuser, 2023. — 157 p. — (Compact Textbooks in Mathematics). — ISBN 981198543X. Designed as a self-contained text, this book covers a wide spectrum of topics on portfolio theory. It covers both the classical-mean-variance portfolio theory as well as non-mean-variance portfolio theory . The book covers topics such as optimal portfolio strategies, bond portfolio optimization...
Steven E. Shreve, 1997. - 347 pages. Contens: Introduction to Probability Theory Conditional Expectation Arbitrage Pricing The Markov Property Stopping Times and American Options Properties of American Derivative Securities Jensen’s Inequality Random Walks Pricing in terms of Market Probabilities: The Radon-Nikodym Theorem. Capital Asset Pricing General Random Variables...
N.-Y., Oxford University Press, 2005. - 361p.
Книга посвящена моделированию финансовых рынков коллективом независимо действующих агентов, причём агенты, действующие аналогично большинству, оказываются в проигрыше. Строятся аналогии с физическими моделями (Изинга и другими), производится аналитическое исследование и моделирование, рассматривается вопрос, насколько такая модель...
CRC Press, 2021. — 581 p. — (Textbooks in Mathematics). — ISBN 978-0-367-41039-1. This book’s primary objective is to educate aspiring finance professionals about mathematics and computation in the context of financial derivatives. The authors offer a balance of traditional coverage and technology to fill the void between highly mathematical books and broad finance books. The...
CRC Press, 2021. — 581 p. — (Textbooks in Mathematics). — ISBN 978-0-367-41039-1. This book’s primary objective is to educate aspiring finance professionals about mathematics and computation in the context of financial derivatives. The authors offer a balance of traditional coverage and technology to fill the void between highly mathematical books and broad finance books. The...
Wiley, 2017. — 527 p. — ISBN: 978-1-119-38761-9. Illustrates how R may be used successfully to solve problems in quantitative finance This book provides R recipes for asset allocation and portfolio optimization problems. It begins by introducing all the necessary probabilistic and statistical foundations, before moving on to topics related to asset allocation and portfolio...
Wiley, 2017. — 527 p. — ISBN: 978-1-119-38761-9. ! Solution manual only. Illustrates how R may be used successfully to solve problems in quantitative finance This book provides R recipes for asset allocation and portfolio optimization problems. It begins by introducing all the necessary probabilistic and statistical foundations, before moving on to topics related to asset...
Springer, 2019. — 395 p. — ISBN: 9811336954. This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales or risk managers. As the book seeks...
Springer, 2019. — 395 p. — ISBN: 9811336954. his book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales or risk managers. As the book seeks...
New York: Springer, 2008. — 422 p. This research monograph develops the Hamilton-Jacobi-Bellman (HJB) theory through dynamic programming principle for a class of optimal control problems for stochastic hereditary differential systems. It is driven by a standard Brownian motion and with a bounded memory or an infinite but fading memory. The optimal control problems treated in this...
2nd edition. — John Wiley & Sons, 2010. — 408 p. The credit derivatives industry has come under close scrutiny over the past few years, with the recent financial crisis highlighting the instability of a number of credit structures and throwing the industry into turmoil. What has been made clear by recent events is the necessity for a thorough understanding of credit derivatives by...
Springer, 2016. — 190 p. — (Studies in Fuzziness and Soft Computing 331). — ISBN: 9783319260372, 978331926039
This book offers a comprehensive guide to the modelling of operational risk using possibility theory. It provides a set of methods for measuring operational risks under a certain degree of vagueness and impreciseness, as encountered in real-life data. It shows how...
3rd ed. — Springer, 2017. — 368 p. — (Statistics and computing). — ISBN: 9783662544860, 3662544865, 9783662544853. This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative...
Springer, 2018. — 163 p. — ISBN: 9811074275. This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of...
Springer, 2018. — 163 p. — ISBN: 9811074275. This book mainly addresses the general equilibrium asset pricing method in two aspects: option pricing and variance risk premium. First, volatility smile and smirk is the famous puzzle in option pricing. Different from no arbitrage method, this book applies the general equilibrium approach in explaining the puzzle. In the presence of...
Routledge, 2019. — 381 p. — ISBN 9781138060944. Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control...
Springer, 2010. — 420 p. — ISBN: 3642034780, 9783642034794 The contributors to this volume write a series of articles outlining contemporary advances in a number of key areas of mathematical finance such as, optimal control theory applied to finance, interest rate models, credit risk and credit derivatives, use of alternative stochastic processes, numerical solution of...
N.-Y.: Wiley, 2014. - 400p.
Mathematical finance requires the use of advanced mathematical techniques drawn from the theory of probability, stochastic processes and stochastic differential equations. These areas are generally introduced and developed at an abstract level, making it problematic when applying these techniques to practical issues in finance. Problems and Solutions...
Wiley, 2017. — 855 p. — ISBN: 9781119965824, EISBN: 9781119966104 Detailed guidance on the mathematics behind equity derivatives Problems and Solutions in Mathematical Finance Volume II is an innovative reference for quantitative practitioners and students, providing guidance through a range of mathematical problems encountered in the finance industry. This volume focuses...
Wiley, 2019. - 384p. - ISBN: 1119141044. 2nd.ed. Understand and interpret the global debt capital markets. Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and timely...
2nd ed. — Wiley, 2019. — 384 p. — ISBN: 1119141044. Understand and interpret the global debt capital markets. Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and...
2nd ed. — Elsevier Ltd., 2015. — 252 p. — ISBN: 0080999387, 9780080999388
Each new chapter of the Second Edition covers an aspect of the fixed income market that has become relevant to investors but is not covered at an advanced level in existing textbooks. This is material that is pertinent to the investment decisions but is not freely available to those not originating the...
Springer, 2010. — 402 p. In this edition two new chapters, 9 and 10, on mathematical finance are added. They are written by Dr. Farid AitSahlia, ancien eleve, who has taught such a course and worked on the research staff of several industrial and financial institutions. The new text begins with a meticulous account of the uncommon vocab ulary and syntax of the financial world;...
Physica-Verlag – 2010, 437 pages
ISBN: 3790825921, 9783790825923
This survey contains more than 3,000 formulas and methods from the field of finance and insurance mathematics (as well as related formulas in mathematics, probability theory, statistics, econometrics, index numbers, demography, stochastic processes and time series). The formulas are mostly applicable in financial...
Springer, 2020. — 409 p. — ISBN: 978-3-030-46346-5. This book presents the principles and methods for the practical analysis and prediction of economic and financial time series. It covers decomposition methods, autocorrelation methods for univariate time series, volatility and duration modeling for financial time series, and multivariate time series methods, such as...
Wiley, 2011. — 298 p. — ISBN: 978-0470683682. This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange—not just the theoretical mathematics covered in other books but also comprehensive coverage of...
9th Edition. - Prentice Hall, 2011. - 874 р. ISBN: 0135108179 Business Math (9th Edition) brings together all the math tools students need to successfully handle everyday business transactions, manage their personal finances, and start or operate a small business. Throughout, students learn math in familiar contexts they already care about. Conversational, easy to read, and...
Berlin: Springer, 2012. — 200 p. This is the second volume in a subseries of the Lecture Notes in Mathematics called Lévy Matters, which is published at irregular intervals over the years. Each volume examines a number of key topics in the theory or applications of Lévy processes and pays tribute to the state of the art of this rapidly evolving subject with special emphasis on...
Chichester, John Wiley & Sons Ltd, 2006. - 288p.
Книга посвящена основным принципам и математическим методам измерения и контроля финансовых рисков. Предназначена для риск-менеджеров, а также для студентов и аспирантов соответствующих специальностей.
Hoboken, John Wiley & Sons, 2009. - 320p.
Сборник статей, содержащий новые (на 2009 год) результаты. В первой части рассматриваются вопросы опционного ценообразования (волатильность, "улыбка волатильности", цена опционов при возможности "прыжков цены"), во второй - кредитного риска. Для научных работников и математиков финансовых компаний.
Boca Raton: CRC Press LLC, 2004. — 527 p. Including a new chapter on credit risk modelling and new developments in econometrics, the new edition of this bestselling resource provides an accessible overview of financials models based on jump processes used in risk management and option pricing. After presenting the necessary mathematics, the text presents theoretical, numerical,...
Springer -2010, 359 pages ISBN: 3642146597 The Paris-Princeton Lectures on Mathematical Finance, of which this is the fourth volume, publish cutting-edge research in self-contained, expository articles from outstanding specialists - established or on the rise! The aim is to produce a series of articles that can serve as an introductory reference source for research in the...
15th ed. — Timothy Crack, 2014. — 278 p. — ISBN: 978-0994103864. THIS IS A MUST READ! It is the first and the original book of quantitative questions from finance job interviews. Painstakingly revised over 19 years and 15 editions, Heard on The Street has been shaped by feedback from many hundreds of readers. With over 50,000 copies in print, its readership is unmatched by any...
Springer, 2013. — 462 p. — ISBN: 3642371124, 9783642371134 Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. Although BSDEs are well...
Palgrave Macmillan, 2016. — 239 p. — (Applied Quantitative Finance). — ISBN: 1137378638, 9781137378637
Interest rate traders have been using the SABR model to price vanilla products for more than a decade. However this model suffers however from a severe limitation: its inability to value exotic products. A term structure model à la LIBOR Market Model (LMM) is often employed to...
Springer, 2012. — 212 p. — ISBN: 1461434327, 9781461434337 Presenting state-of-the-art methods in the area, the book begins with a presentation of weak discrete time approximations of jump-diffusion stochastic differential equations for derivatives pricing and risk measurement. Using a moving least squares reconstruction, a numerical approach is then developed that allows for...
Springer, 2013. – 340 p. – ISBN: 1447144074, 9781447144083 Derivatives are financial entities whose value is derived from the value of other more concrete assets such as stocks and commodities. They are an important ingredient of modern financial markets. This book provides an introduction to the mathematical modelling of real world financial markets and the rational pricing of...
Palgrave Macmillan, 2014. — 221 p. Barrier options are a class of highly path-dependent exotic options which present particular challenges to practitioners in all areas of the financial industry. They are traded heavily as stand-alone contracts in the Foreign Exchange (FX) options market, their trading volume being second only to that of vanilla options. The FX options industry...
Hoboken: Wiley, 2016. — 295 p.
This book serves as a complete course in hedge fund modeling and provides a primer on C# and Object Oritented Programming (OOP) that will allow you to manage risk easily and make the most of key statistics. Covering both basic and risk-adjusted performance measures, Hedge Fund Analysis and Modeling Using C# moves from simple to sophisticated...
Singapore, World Scientific Publishing Co. Pte. Ltd., 2007. - 167p.
Книга посвящена моделированию динамики рынка на примере индекса NASDAQ на основе моделирования коллективом автономно действующих агентов (agent-based model), обсуждаются показанное такой моделью поведение рынка и его сопоставление с реальным рынком, рассматриваются возможности развития модели.
Для научных...
Singapore, World Scientific Publishing Co., 2004. - 804p.
Книга рассматривает весь спектр вопросов финансовой математики с позиций математической физики. Включает в себя такие разделы, как количественные меры риска, риск для деривативов, экзотические опционы, методы риск-менеджмента, использование фейнмановских интегралов по путям в задачах финансовой математики и моделирование...
2nd ed. — World Scientific Publishing Co, 2016. — 1000 p. — ISBN: 9814571237. Written by a physicist with extensive experience as a risk/finance quant, this book treats a wide variety of topics. Presenting the theory and practice of quantitative finance and risk, it delves into the "how to" and "what it's like" aspects not covered in textbooks or papers. A "Technical Index"...
Oxford University Press, 2014. — 464 p. Mortgage-backed securities (MBS) are among the most complex of all financial instruments. Analysis of MBS requires blending empirical analysis of borrower behavior with the mathematical modeling of interest rates and home prices. Over the past 25 years, Andrew Davidson and Alexander Levin have been at the leading edge of MBS valuation and...
Oxford University Press, 2019. — 300 p. — ISBN: 9780198787945, 0198787944. Offers an overview of mathematical finance today Discusses developments to mathematical finance in the wake of the 2008 financial crash Introduces arbitrage theory, and how it is key to pricing financial contracts, to credit trading, fund management, and the setting of interest rates Accessible to...
Wiley, 2011. — 400 p. — ISBN: 978-0470689684. This is a complete guide to the pricing and risk management of convertible bond portfolios. Convertible bonds can be complex because they have both equity and debt like features and new market entrants will usually find that they have either a knowledge of fixed income mathematics or of equity derivatives and therefore have no idea...
Wiley, 2014. — 408 p. — ISBN: 978-1118449998. Introducing a revolutionary new quantitative approach to hybrid securities valuation and risk management To an equity trader they are shares. For the trader at the fixed income desk, they are bonds (after all, they pay coupons, so what's the problem?). They are hybrid securities. Neither equity nor debt, they possess characteristics...
New York: Wiley, 2008. — 204 p. "Weert's book is an advanced foray into the use and pricing of exotic options. Where these are broadly defined to be those options whose payoffs can't be duplicated by normal options. The main dependencies of option pricing are studied. Above all, the interest rate. Though for those knowing calculus, the text says that this is merely the partial...
Degaard Bernt Arne - Financial Numerical Recipes in C++. Загрузка вместе с примерами и программными кодами , 2007 В книге дано полное программное обеспечение на языке C++ фактически всех разделов финансовой математики: от вычисления сложных процентов до расчетов экзотических опционов, моделей расчета кредитных рисков и сложных приемов моделирования временной структуры дисконта....
Springer, 2010. — 280 p. — ISBN: 9783642026089 Problems of stochastic optimization and various mathematical aspects of risk are the main themes of this contributed volume. The readers learn about the recent results and techniques of optimal investment, risk measures and derivative pricing. There are also papers touching upon credit risk, martingale theory and limit theorems....
Independently published, 2024. — 301 р. — ASIN: B0CP2PQHK3. This book provides readers with a thorough road map for understanding critical ideas by covering various financial computations. The book is divided into nine sections covering essential subjects such as portfolio optimization, risk management, and time value of money. In these parts, readers will find a carefully...
Independently published, 2024. — 301 р. — ASIN: B0CP2PQHK3. This book provides readers with a thorough road map for understanding critical ideas by covering various financial computations. The book is divided into nine sections covering essential subjects such as portfolio optimization, risk management, and time value of money. In these parts, readers will find a carefully...
Independently published, 2024. — 301 р. — ASIN: B0CP2PQHK3. This book provides readers with a thorough road map for understanding critical ideas by covering various financial computations. The book is divided into nine sections covering essential subjects such as portfolio optimization, risk management, and time value of money. In these parts, readers will find a carefully...
Chapman and Hall/CRC, 2018. — 634 p. — ISBN: 978-1482299663. High-Performance Computing (HPC) delivers higher computational performance to solve problems in science, engineering and finance. There are various HPC resources available for different needs, ranging from cloud computing– that can be used without much expertise and expense – to more tailored hardware, such as...
Cambridge, Cambridge University Press, 2002. - 290p.
Сборник статей, посвящённых методам анализа риска и управления им, использующим показатель VaR и другие меры риска, а также теории экстремальных значений, стохастического программирования и методов анализа статистических зависимостей.
Для научных работников и аспирантов в области риск-менеджмента и финансовой математики.
CRC Press, 2015. — 703 p. — (Financial Mathematics). — 9781498712330, 1498712339
Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development.
This book covers the fundamental theory of and derivatives pricing for major...
CRC Press, 2022. — 864 p. — (Financial Mathematics). — ISBN: 9781003265399 2nd.ed. Since a major source of income for many countries comes from exporting commodities, price discovery and information transmission between commodity futures markets are key issues for continued economic development. Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing,...
Wiley, 2020. — 416 p. — ISBN: 9781119601791. The first and only book to systematically address methodologies and processes of leveraging non-traditional information sources in the context of investing and risk management Harnessing non-traditional data sources to generate alpha, analyze markets, and forecast risk is a subject of intense interest for financial professionals. A...
Wiley, 2020. — 416 p. — ISBN: 9781119601791. Conv. The first and only book to systematically address methodologies and processes of leveraging non-traditional information sources in the context of investing and risk management Harnessing non-traditional data sources to generate alpha, analyze markets, and forecast risk is a subject of intense interest for financial...
Hoboken, John Wiley & Sons, Inc., 2004. - 305p.
Книга известного специалиста по применению математических методов в финансовой практике описывает его жизненный и профессиональный путь, а также проблемы, которые он, в качестве такого специалиста, решал.
Для студентов и аспирантов, планирующих такую карьеру.
Hoboken: Wiley, 2016. — 528 p.
The Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in all of finance. Despite this success, the model is fundamentally at odds with the observed behavior of option markets: a graph of implied volatilities against strike will typically display a curve or skew, which...
Springer, 2009. — 418 p. — ISBN: 978-3540785712, e-ISBN: 978-3540785729. While the original works on Malliavin calculus aimed to study the smoothness of densities of solutions to stochastic differential equations, this book has another goal. It portrays the most important and innovative applications in stochastic control and finance, such as hedging in complete and incomplete...
American Mathematical Society – 2005, 294 pages ISBN: 0821839519, 9780821839515 The use of the Black-Scholes model and formula is pervasive in financial markets. There are very few undergraduate textbooks available on the subject and, until now, almost none written by mathematicians. Based on a course given by the author, the goal of this book is to introduce advanced...
Springer, 2016. — 207 p. — ISBN: 9783658135270, 9783658135287
Robert Dochow mathematically derives a simplified classification structure of selected types of the portfolio selection problem. He proposes two new competitive online algorithms with risk management, which he evaluates analytically. The author empirically evaluates online algorithms by a comprehensive statistical...
N.-Y., Routledge, 2007. - 192p.
Учебное пособие по курсу "Математические финансы" для студентов соответствующих специальностей. Включает обзор теории вероятностей и стохастических процессов, непрерывные и дискретные модели рынка, основания стохастического анализа, теорию опционов и волатильности, методы статистического оценивания, в том числе проверки моделей цены активов....
CRC Press, Taylor & Francis Group, LLC, 2019. — 237 p. — ISBN13: 978-1-1385-9164-6. Pathwise estimation and inference for diffusion market models discusses contemporary techniques for inferring, from options and bond prices, the market participants' aggregate view on important financial parameters such as implied volatility, discount rate, future interest rate, and their...
Routledge, 2014. — 211 p. — ISBN: 9001818625, 9789001818623. Mastering the basic concepts of mathematics is the key to understanding other subjects such as Economics, Finance, Statistics, and Accounting. Mathematics for Finance, Business and Economics is written informally for easy comprehension. Unlike traditional textbooks it provides a combination of explanations,...
Wiley, 2011. — 380 p. — ISBN: 978-0470746011. A whole is worth the sum of its parts. Even the most complex structured bond, credit arbitrage strategy or hedge trade can be broken down into its component parts, and if we understand the elemental components, we can then value the whole as the sum of its parts. We can quantify the risk that is hedged and the risk that is left as...
Paris: Ecole Nationale des Ponts et Chaussées, 2010. - 46p.
Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend to be smoother than true...
Wiley, 2006. — 442 p. — ISBN: 0470858826, 9780470858820
The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic...
Hoboken: Wiley, 2022. — 545 p. This book is a detailed and step-by-step introduction to the mathematical foundations of ordinary and partial differential equations, their approximation by the finite difference method and applications to computational finance. The book is structured so that it can be read by beginners, novices and expert users. Part A Mathematical Foundation for...
The MIT Press, 2017. — 640 p. — ISBN: 978-0262036542. An introduction to economic applications of the theory of continuous-time finance that strikes a balance between mathematical rigor and economic interpretation of financial market regularities. This book introduces the economic applications of the theory of continuous-time finance, with the goal of enabling the construction...
John Wiley & Sons Ltd, 2003. — 432 p. Applied Quantitative Methods for Trading and Investment is intended as a quantitative finance textbook very much geared towards applied quantitative financial analysis, with detailed empirical examples, software applications, screen dumps, etc. Examples on the accompanying CD-Rom detail the data, software and techniques used, so that...
Palgrave Macmillan UK, 2016. — 349 p. — (New Developments in Quantitative Trading and Investment). — ISBN: 9781137488794, 9781137488800 Dunis Ch.L., Middleton P.W., Karathanasopolous A., Theofilatos K. (eds.) As technology advancement has increased, so to have computational applications for forecasting, modelling and trading financial markets and information, and practitioners...
N.Y.: Chapman & Hall/CRC, 2012. — 332 p. Copulas: Basic Definitions and Properties. Notations. Preliminaries on random variables and distribution functions. Definition and first examples. Characterization in terms of properties of d.f.s. Continuity and absolutely continuity. The derivatives of a copula. The space of copulas. Graphical representations. Copulas and Stochastic...
Wiley – 2009, 242 pages.
ISBN: 0470497807, 978-0470497807.
A user-friendly presentation of the essential concepts and tools for calculating real costs and profits in personal finance
Understanding the Mathematics of Personal Finance explains how mathematics, a simple calculator, and basic computer spreadsheets can be used to break down and understand even the most complex...
Princeton University Press, 2020. — 999 p. — ISBN: 069120277X, 9780691202778. Dynkin L., Gould A., Hyman J., Konstantinovsky V., Phelps B. The practice of institutional bond portfolio management has changed markedly since the late 1980s in response to new financial instruments, investment methodologies, and improved analytics. Investors are looking for a more disciplined,...
Springer, 2019. — 774 p. — (Springer Finance). — ISBN: 978-3-030-26105-4. Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation...
Springer, 2011. — 320 p. — ISBN: 9783642221545 e-ISBN: 9783642221552 This book gives a comprehensive introduction to the modeling of financial derivatives, covering all major asset classes (equities, commodities, interest rates and foreign exchange) and stretching from Black and Scholes' lognormal modeling to current-day research on skew and smile models. The intended reader...
Springer, 1998. – 305 p. – ISBN: 0387985530, 9780387985534
This book presents the mathematics that underpins pricing models for derivative securities, such as options, futures and swaps, in modern financial markets. The idealized continuous-time models built upon the famous Black-Scholes theory require sophisticated mathematical tools drawn from modern stochastic calculus....
Second edition. — Springer, 2004. — 354 p. — ISBN: 0387212922 This book presents the mathematics that underpins pricing models for derivative securities in modern financial markets, such as options, futures and swaps. This new edition adds substantial material from current areas of active research, such as coherent risk measures with applications to hedging, the arbitrage...
Palgrave Macmillan, 2017. — 456 p. — ISBN: 978-3319609720. This book provides an advanced guide to correlation modelling for credit portfolios, providing both theoretical underpinnings and practical implementation guidance. The book picks up where pre-crisis credit books left off, offering guidance for quants on the latest tools and techniques for credit portfolio modelling in...
Wiley – 2009, 399 pages ISBN: 0470431997, 9780470431993 A rigorous, yet accessible, introduction to essential topics in mathematical finance Presented as a course on the topic, Quantitative Finance traces the evolution of financial theory and provides an overview of core topics associated with financial investments. With its thorough explanations and use of real-world examples,...
New York, "Cambridge University Press", 2002, -206p.
This text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus. The Black-Scholes pricing...
Springer, 2015. — 216 p. — ISBN: 9783319165707
This textbook is an elementary introduction to the key topics in mathematical finance and financial economics - two realms of ideas that substantially overlap but are often treated separately from each other. Our goal is to present the highlights in the field, with the emphasis on the financial and economic content of the models,...
Florida State University, 2019. — 290 p. Introduction to Financial Mathematics: Concepts and Computational Methods serves as a primer in financial mathematics with a focus on conceptual understanding of models and problem solving . It includes the mathematical background needed for risk management, such as probability theory, optimization, and the like . The goal of the book is...
Basic Books, 1976. — 395 p. This book introduces the theory of finance and the empirical tests of the theory. It focuses on the part of finance which is concerned with portfolio decisions by investors and the pricing of securities in the capital markets.
CRC, 2019. — 145 p. — ISBN: 1138739103. Financial Modelling in Commodity Markets provides a basic and self-contained introduction to the ideas underpinning financial modelling of products in commodity markets. The book offers a concise and operational vision of the main models used to represent, assess and simulate real assets and financial positions related to the commodity...
Singapore: World Scientific Publishing Company, 2025. — 249 p. — (World Scientific Lecture Notes in Finance, 10). — ISBN 9789819811595. These lecture notes are thought for Master courses in Finance, Fintech and Quantitative Finance programmes. We fully subscribe to the philosophy that post-graduate students should be offered courses that are really at the cutting edge of the...
Berlin, Springer, 2005. - 231p.
Книга посвящена проблеме оценивания подразумеваемой волатильности и объяснению эффекта "улыбки волатильности". Рассматриваются различные модели волатильности, методы её оценивания и даются рекомендации по использованию.
Для научных работников и аспирантов по специальности "Финансовая математика".
Springer, 2017. — 440 p. — ISBN: 978-3319509853. This book, dedicated to Winfried Stute on the occasion of his 70th birthday, presents a unique collection of contributions by leading experts in statistics, stochastic processes, mathematical finance and insurance. The individual chapters cover a wide variety of topics ranging from nonparametric estimation, regression modelling...
Springer-Verlag Berlin Heidelberg, 2009. — 256 p. — ISBN10: 3540097260, ISBN13: 978-3540097266. Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure...
L.: Palgrave Macmillan, 2010. - 295p.
Within the financial services industry today, most decisions on how to deal with consumers are made automatically by computerized decision making systems. At the heart of these systems lie mathematically derived forecasting models. These use information about people and their past behavior, to predict how people are likely to behave in the...
Berlin: Springer, 2014. - 72p. Among the symmetrical distributions with an infinite domain, the most popular alternative to the normal variant is the logistic distribution as well as the Laplace or the double exponential distribution, which was first introduced in 1774. Occasionally, the Cauchy distribution is also used. Surprisingly, the hyperbolic secant distribution has led...
Wiley, 2016. — 455 p. — ISBN: 9781118593400
Edited by Florescu I., Mariani M.C., Stanley H.E., Viens F.G.
This Handbook is a collection of chapters that describe a range of current empirical and analytical work on financial industry data sampled at high frequency (HF).
Our contemporary Age of Information is a world dominated by everincreasing quantitative elements that...
Wiley, 2004, 800 pp. The Mathematics of Financial Modeling & Investment Management covers a wide range of technical topics in mathematics and finance-enabling the investment management practitioner, researcher, or student to fully understand the process of financial decision-making and its economic. Using a wealth of real-world examples, Focardi and Fabozzi simultaneously show...
2nd ed. — Walter de Gruyter, 2004. — 471 p. — ISBN: 3110183463, 9783110183467. This book is an introduction to financial mathematics for mathematicians. It is intended both for graduate students with a certain background in probability theory as well as for professional mathematicians in industry and academia. In contrast to many textbooks on mathematical finance, only...
De Gruyter, 2011. — 544 p. — 3rd ed. — ISBN: 3110218046, 9783110218046
This is the third, revised and extended edition of the classical introduction to the mathematics of finance, based on stochastic models in discrete time. In the first part of the book simple one-period models are studied, in the second part the idea of dynamic hedging of contingent claims is developed in a...
4th edition. — Berlin: de Gruyter, 2016. — 609 p. This book is an introduction to financial mathematics. It is intended for graduate students in mathematics and for researchers working in academia and industry. The focus on stochastic models in discrete time has two immediate benefits. First, the probabilistic machinery is simpler, and one can discuss right away some of the key...
Cambridge University Press, 2011. — 456 p. Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and analyze multiscale stochastic volatility models and asymptotic...
Wiley, 2007. — 544 p. — ISBN: 0470047224, 9780470047224
A balanced introduction to the theoretical foundations and real-world applications of mathematical finance
The ever-growing use of derivative products makes it essential for financial industry practitioners to have a solid understanding of derivative pricing. To cope with the growing complexity, narrowing margins, and...
2007. - 441 pages. Preliminary, uncorrected and incomplete version (public beta) The ever-growing use of derivative products makes it essential for financial industry practitioners to have a solid understanding of derivative pricing. To cope with the growing complexity, narrowing margins, and shortening life-cycle of the individual derivative product, an efficient, yet modular,...
N.-Y.: Springer, 2015. - 590p. Topics covered in this volume (large deviations, differential geometry, asymptotic expansions, central limit theorems) give a full picture of the current advances in the application of asymptotic methods in mathematical finance, and thereby provide rigorous solutions to important mathematical and financial issues, such as implied volatility...
Birkhäuser, 2007. — 345 p. — ISBN: 0817645446, 9780817645441 This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the fields of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the Festschrift is dedicated to Dilip B. Madan on the...
Berlin Heidelberg, Springer-Verlag, 2008. - 618 p.
Книга посвящена применению математических методов, включая оптимизацию и статистическое моделирование, для решения финансовых задач. В первой части излагаются математические методы, включая Монте-Карло, динамическое программирование, методы конечных разностей, решение систем линейных уравнений, численного интегрирования,...
Wiley, 2014. — 740 p. — ISBN: 9781118831960 Providing both a theoretical and practical approach to the underlying mathematical theory behind financial models, Measure, Probability, and Mathematical Finance: A Problem-Oriented Approach presents important concepts and results in measure theory, probability theory, stochastic processes, and stochastic calculus. Measure theory is...
Elsevier, 2013. — 470 p. — 2nd ed. — ISBN: 0080982409, 9780080982403 An Introduction to the Mathematics of Finance: A Deterministic Approach, 2e, offers a highly illustrated introduction to mathematical finance, with a special emphasis on interest rates. This revision of the McCutcheon-Scott classic follows the core subjects covered by the first professional exam required of UK...
Wiley Finance, 2006. — 208 p. Understanding the volatility surface is a key objective for both practitioners and academics in the field of finance. Implied volatilities evolve randomly and so models of the volatility surface—which is formed from implied volatilities of all strikes and expirations—need to explicitly reflect this randomness in order to accurately price, trade,...
Wiley, 2005. — 416 p. — ISBN: 978-0470012185. The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset for investors that includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and derivative...
CRC Press, 2020. — 666 p. — (Texts in Statistical Science). — ISBN: 9781138599499, 9780429485602. Statistical Analysis of Financial Data covers the use of statistical analysis and the methods of data science to model and analyze financial data. The first chapter is an overview of financial markets, describing the market operations and using exploratory data analysis to...
CRC Press, 2020. — 666 p. — ISBN: 9781138599499. Statistical Analysis of Financial Data covers the use of statistical analysis and the methods of data science to model and analyze financial data. The first chapter is an overview of financial markets, describing the market operations and using exploratory data analysis to illustrate the nature of financial data. The software...
Cengage Learning, 2010. - 577 pages. By combining algebraic and graphical approaches with practical business and personal finance applications, South-Western's "Financial Algebra", motivates high school students to explore algebraic thinking patterns and functions in a financial context. FINANCIAL ALGEBRA will help your students achieve success by offering an applications based...
2nd. ed. - Springer, 2023. - 309 p. - (UNITEXT, 149). - ISBN 3031283775. The book is conceived as a guide to solve exercises in Mathematical Finance and a complement to theoretical lectures. The potential audience consists of students in Applied Mathematics, Engineering and Economics , attending courses in Mathematical Finance. The most important subjects covered by this...
Springer, 2013. — 285 p. — ISBN: 3319013564, 9783319013572
The book collects over 120 exercises on different subjects of Mathematical Finance, including Option Pricing, Risk Theory, and Interest Rate Models. Many of the exercises are solved, while others are only proposed. Every chapter contains an introductory section illustrating the main theoretical results necessary to...
EGEA Spa - Bocconi University Press, 2009. — 221 p. — ISBN 8831322338ю By addressing the financial markets from a new perspective, this book sets out to take the reader on a journey, explaining the role of financial markets as places where exchanges take place to meet the needs of people, businesses and institutions. The volume is structured in four parts. The first part...
2nd Edition. — World Scientific Publishing, 2023. — 512 p. — (World Scientific Series in Finance 19). — ISBN 9789811250644. Приключения в науке о финансовых данных: эмпирические свойства финансовых и экономических данных This book provides insights into the true nature of financial and economic data, and is a practical guide on how to analyze a variety of data sources. The...
Giller Investments, 2020. — 429 p. — ISBN ASIN: B08G12KQNJ. Graham Giller is one of Wall Street's original data scientists. Starting his career at Morgan Stanley in the UK, he was an early member of Peter Muller's famous PDT group and went on to run his own investment firm. He was Bloomberg LP's original data science hire and set up the data science team in the Global Data...
2nd edition. — New York: Academic Press, 2019. — 640 p. Computationally-intensive tools play an increasingly important role in financial decisions. Many financial problems-ranging from asset allocation to risk management and from option pricing to model calibration-can be efficiently handled using modern computational techniques.Numerical Methods and Optimization in Finance...
Edward Elgar Publishing, 2010. — 208 p. This book provides an exposition of contemporary investment theory and financial markets focusing upon the workings of the fiduciary finance industry. Through its various institutional forms (including pension funds, mutual funds, hedge funds and sovereign funds), this industry aggregates investment capital from individuals, corporations...
American Mathematical Society, 2001. — 262 p. — (Pure and Applied Undergraduate Texts). — ISBN 978-0-8218-4793-0. This book is ideally suited for an introductory undergraduate course on financial engineering. It explains the basic concepts of financial derivatives, including put and call options, as well as more complex derivatives such as barrier options and options on futures...
Wiley, 2015. — 312 p.
How to Implement Market Models Using VBA makes solving complex valuation issues accessible to any financial professional with a taste for mathematics. With a focus on the clarity of code, this practical introductory guide includes chapters on VBA fundamentals and essential mathematical techniques, helping readers master the numerical methods to build an...
Cambridge University Press, 2012. — 410 p. — (International Series on Actuarial Science). — ISBN: 0521863945, 9780521863940
Knowledge of risk models and the assessment of risk is a fundamental part of the training of actuaries and all who are involved in financial, pensions and insurance mathematics. This book provides students and others with a firm foundation in a wide range...
Springer, 2015. — 140 p. — ISBN: 9783319253855. Filling a gap in the literature caused by the recent financial crisis, this book provides a treatment of the techniques needed to model and evaluate interest rate derivatives according to the new paradigm for fixed income markets. Concerning this new development, there presently exist only research articles and two books, one of...
Passionate Pathways, 2022-12-29. — 103 p. — ISBN 978-1-7351545-5-8. Financial Literacy at its simplest form is about your personal MATH. This is an acronym for the equations that make your life work for you. The sooner we commit to our personal algebra, the faster we realize our dreams. Reconsider the meaning of MATH in your life. Share your MATH story with others.
Passionate Pathways, 2022-12-29. — 103 p. — ISBN 978-1-7351545-5-8. Financial Literacy at its simplest form is about your personal MATH. This is an acronym for the equations that make your life work for you. The sooner we commit to our personal algebra, the faster we realize our dreams. Reconsider the meaning of MATH in your life. Share your MATH story with others.
Passionate Pathways, 2022-12-29. — 103 p. — ISBN 978-1-7351545-5-8. Financial Literacy at its simplest form is about your personal MATH. This is an acronym for the equations that make your life work for you. The sooner we commit to our personal algebra, the faster we realize our dreams. Reconsider the meaning of MATH in your life. Share your MATH story with others.
Passionate Pathways, 2022-12-29. — 103 p. — ISBN 978-1-7351545-5-8. Financial Literacy at its simplest form is about your personal MATH. This is an acronym for the equations that make your life work for you. The sooner we commit to our personal algebra, the faster we realize our dreams. Reconsider the meaning of MATH in your life. Share your MATH story with others.
McGraw-Hill, 2019. — 656 p. — ISBN 1260453715. From the leading authorities in their field―the newest, most effective tools for avoiding common pitfalls while maximizing profits through active portfolio management Whether you’re a portfolio manager, financial adviser, or investing novice, this important follow-up to the classic guide to active portfolio management delivers...
McGraw-Hill, 2019. — 656 p. — ISBN: 1260453715. From the leading authorities in their field―the newest, most effective tools for avoiding common pitfalls while maximizing profits through active portfolio management Whether you’re a portfolio manager, financial adviser, or investing novice, this important follow-up to the classic guide to active portfolio management delivers...
CRC Press, 2016. — 302 p. — (Chapman and Hall/CRC Financial Mathematics Series). — ISBN: 978-1-4987-2548-4. This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling...
Independently Published, 2022. — 198 p. — ISBN 9798848998597. The investment possibilities in the financial markets have increased dramatically in recent years. Markets that until recently were completely inaccessible to small investors are now completely open to the participation of anyone through mobile applications.However, knowledge about the mathematical laws that govern...
Wiley-Scrivener, 2025. — 330 p. — ISBN 978-1-394-23322-9. The book serves as an essential guide and a deep dive into the intersection of Artificial Intelligence (AI) and finance, providing readers with a thorough understanding of the current state, challenges, and future possibilities of autonomous financial systems. In the rapidly evolving domain of autonomous finance, the...
Springer, 2010. — 367 p. — ISBN: 0387878610, 9780387878621 This book is a collection of exercises covering all the main topics in the modern theory of stochastic processes and its applications, including finance, actuarial mathematics, queuing theory, and risk theory. The aim of this book is to provide the reader with the theoretical and practical material necessary for deeper...
ISTE Press, 2015. — 201 p. — (Optimization in insurance and finance set). — ISBN: 9781785480348, 1785480340 In 1994 and 1998 F. Delbaen and W. Schachermayer published two breakthrough papers where they proved continuous-time versions of the Fundamental Theorem of Asset Pricing. This is one of the most remarkable achievements in modern Mathematical Finance which led to intensive...
N.-Y.: Chapman and Hall/CRC, 2013. - 484p. New Tools to Solve Your Option Pricing Problems For nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dimensionality issues. Written by two leaders in quantitative research—including Risk magazine’s 2013 Quant of the Year—Nonlinear Option Pricing compares various numerical methods...
Wiley-ISTE, 2013. — 173 p. — ISBN: 1848214642, 9781848214644. With the impact of the recent financial crises, more attention must be given to new models in finance rejecting Black-Scholes-Samuelson assumptions leading to what is called non-Gaussian finance. With the growing importance of Solvency II, Basel II and III regulatory rules for insurance companies and banks, value at...
B.: Springer, 2004. - 229p. This book presents a factor-based model of the stochastic evolution of the implied volatility surface. The model allows for the integrated and consistent pricing and hedging, risk management, and trading of equity index derivatives as well as volatility derivatives. In the first part, the book develops a unifying theory for the analysis of contingent...
Cham: Springer, 2022. — 359 p. This book explores recent topics in quantitative finance with an emphasis on applications and calibration to time-series. This last aspect is often neglected in the existing mathematical finance literature while it is crucial for risk management. The first part of this book focuses on switching regime processes that allow to model economic cycles...
Berlin: Physica-Verlag HD, 2002. - 207p.
This book surveys new advances in Markov-switching models with applications to business cycle research and finance. The extensive editors' introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U.S. and European business cycles, with particular focus on the role of monetary...
Routledge, 2018. — 180 p. — ISBN 1138244724. This book provides a comprehensive overview for various segments of the global credit default swap (CDS) markets, touching upon how they were affected by the recent financial turmoil. The book uses empirical analysis on credit default swap markets, applying advanced econometric methodologies to the time series data. It covers not...
Course Technology PTR, 2011. - 304 page. "Master Math: Business and Personal Finance Math" is a comprehensive reference guide that explains and clarifies the principles of business and personal finance math in a simple, easy-to-follow style and format. Beginning with the most fundamental topics and progressing through to the more advanced, this book helps clarify the...
3rd ed. — Springer, 2017. — 372 p. — ISBN: 978-3662544853. This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current...
3rd ed. — Springer, 2017. — 372 p. — ISBN: 978-3662544853. This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current...
Berlin, Springer, 2009 . - 448p.
Книга посвящена современным математическим методам финансовой науки. Рассматриваются вопросы расчёта показателя риска VaR, включая использование негауссовских распределений в методе Монте-Карло при помощи "связок" (copula), исторического моделирования и условных корреляций, методы анализа кредитного риска, включая использование кросс- и...
ACTEX Publications, 2009. - 556 pages. ISBN10: 156698680X This manual is comprehensive and written in an easy-to-understand style. In many cases, it goes beyond an outline and thoroughly explains the more difficult topics. Concepts are introduced in a clear way so that students can quickly understand new topics. Among the many features of this manual are detailed review...
2nd ed. — CRC Press, 2024. — 413 p. — (Advances in Applied Mathematics). — ISBN 1032262362. The second edition of this successful and widely recognized textbook again focuses on discrete topics . The author recognizes two distinct paths of study and careers of actuarial science and financial engineering. This text can be very useful as a common core for both . Therefore, there...
2nd ed. — CRC Press, 2024. — 413 p. — (Advances in Applied Mathematics). — ISBN 1032262362. The second edition of this successful and widely recognized textbook again focuses on discrete topics. The author recognizes two distinct paths of study and careers of actuarial science and financial engineering. This text can be very useful as a common core for both. Therefore, there is...
CRC Press, 2023. — 430 p. — (Chapman and Hall/CRC Financial Mathematics Series). — ISBN 978-1-498-78040-7. Financial Mathematics: From Discrete to Continuous Time is a study of the mathematical ideas and techniques that are important to the two main arms of the area of financial mathematics: portfolio optimization and derivative valuation. The text is authored for courses taken...
Wiley, 2007. — 384 p. — ISBN: 978-0470013229. Derivatives Models on Models takes a theoretical and practical look at some of the latest and most important ideas behind derivatives pricing models. In each chapter the author highlights the latest thinking and trends in the area. A wide range of topics are covered, including valuation methods on stocks paying discrete dividend,...
N.-Y., McGrow Hill, 1998. - 572p.
Справочник по расчёту цен опционов и производных показателей ("греков"), включая опционы американского стиля, экзотические опционы на один или два актива, альтернативные формуле Блэка-Шоулса методы расчёта, методы на основе уравнений с частными производными и Монте-Карло, учёт дивидендных выплат, опционы на товары, энергию и ставку процента....
2nd ed. — McGraw-Hill Education, 2006. — 492 p. — ISBN: 978-0071389976. Long-established as a definitive resource by Wall Street professionals, The Complete Guide to Option Pricing Formulas has been revised and updated to reflect the realities of today's options markets. The Second Edition contains a complete listing of virtually every pricing formula_ all presented in an...
Palgrave Macmillan UK, 2016. - 316p. - ISBN: 978-1-137-49448-1 The 2008 financial crisis was a watershed moment which clearly influenced the public's perception of the role of 'finance' in society. Since 2008, a plethora of books and newspaper articles have been produced accusing the academic community of being unable to produce valid models which can accommodate those extreme...
Palgrave Macmillan, 2016. — 334 p.
Following the 2008 financial crisis many questioned the academic community’s role in predicting the events that had unfolded, impacting heavily on the public's perception of the role of finance in society. Prior to the crisis, very little research existed to model events as extreme as those which occurred during the crisis. There is now...
Springer, 2013. — 200 p. — (Lecture Notes in Mathematics, Vol. 2081). — ISBN: 3319004123, 9783319004136
The Paris-Princeton Lecture Notes on Mathematical Finance, of which this is the fifth volume, publish cutting-edge research in self-contained, expository articles from renowned specialists. The aim is to produce a series of articles that can serve as an introductory reference...
London: Palgrave MacMillan, 2017. — 109 p. The book’s title originally proposed to the editor was “Forty-nine shades of Algorithmic Differentiation”; a title that he duly refused as not fitting the series guideline very well and potentially distracting the target audience. The proposed title was not only a marketing exercise; there may not be as many as forty-nine variations of...
Chapman & Hall/CRC, 2008. - 391 pages.
Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing is the first book that applies advanced analytical and geometrical methods used in physics and mathematics to the financial field. It even obtains new results when only approximate and partial solutions were previously available.
Through the problem of option...
Cambridge University Press, 2004. — 296 p. This is a lively textbook providing a solid introduction to financial option valuation for undergraduate students armed with a working knowledge of a first year calculus. Written in a series of short chapters, its self-contained treatment gives equal weight to applied mathematics, stochastics and computational algorithms. No prior...
Springer, 2013. – 300 p. – ISBN: 3642354009, 9783642354014 Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-Carlo computational...
Wiley, 2016. — 368 p. — ISBN: 978-1119167914. Code files only! Leverage Python for expert-level volatility and variance derivative trading Listed Volatility and Variance Derivatives is a comprehensive treatment of all aspects of these increasingly popular derivatives products, and has the distinction of being both the first to cover European volatility and variance products...
Wiley, 2016. — 368 p. — ISBN: 978-1119167914. Leverage Python for expert-level volatility and variance derivative trading Listed Volatility and Variance Derivatives is a comprehensive treatment of all aspects of these increasingly popular derivatives products, and has the distinction of being both the first to cover European volatility and variance products provided by Eurex...
Boca Raton: CRC Press, 2012. — 444 p. As today’s financial products have become more complex, quantitative analysts, financial engineers, and others in the financial industry now require robust techniques for numerical analysis. Covering advanced quantitative techniques, Computational Methods in Finance explains how to solve complex functional equations through numerical...
Academic Press, 2013. — 480 p. — 3rd ed. — ISBN: 012384682X, 9780123846822 This is an Introduction to the Mathematics of Financial Derivatives is a popular, intuitive text that eases the transition between basic summaries of financial engineering to more advanced treatments using stochastic calculus. Requiring only a basic knowledge of calculus and probability, it takes readers...
Waveland Pr Inc, 1986. — 203 p. — ISBN10: 0881332674; ISBN13: 978-0881332674. This three-volume series grew out of a three-quarter course in probability, statistics, and stochastic processes taught for a number of years at UCLA. We felt a need for a series of books that would treat these subjects in a way that is well coordinated, but which would also give adequate emphasis to...
Cambridge: Cambridge Scholars Publishing, 2009. — 50 p. This paper is the first that completely studies dynamical and cross-sectional structures of bonds, typically used as risk-free assets in mathematical finance, on the independence of the common factors with the empirical copula. During the last decade, financial models based empirically on common factors have acquired...
Bloomberg Press, 2013. — 382 p. — ISBN: 978-1118477199. As western governments issue increasing amounts of debt, the fixed income markets have never been more important. Yet the methods for analyzing these markets have failed to keep pace with recent developments, including the deterioration in the credit quality of many sovereign issuers. In Fixed Income Relative Value...
John Wiley & Sons, 2000. — 432 Pages. — ISBN: 0471967173
This book brings together in one volume both a complete, rigorous and yet readable account of the mathematics underlying derivative pricing and a guide to applying these ideas to solve real pricing problems. It is aimed at practitioners and researchers who wish to understand the latest finance literature and develop their...
Springer, 2016. — 139 p. — ISBN 978331933930-6. This volume presents a unified mathematical framework for the transmission channels for damaging shocks that can lead to instability in financial systems. As the title suggests, financial contagion is analogous to the spread of disease, and damaging financial crises may be better understood by bringing to bear ideas from studying...
Palgrave Macmillan, 2017. — 128 p. — ISBN: 978-1137435682 This book provides a first, basic introduction into the valuation of financial options via the numerical solution of partial differential equations (PDEs). It provides readers with an easily accessible text explaining main concepts, models, methods and results that arise in this approach. In keeping with the series...
Wharton Finance Club, 2007-2008. — 108 p. Iтекщвгсешщт. “I have no idea what I’m doing”. Investment Banking In A Nutshell . What is Investment Banking? Major Players. Internship Structures. Common Associate Tasks and Roles. Recruiting Components . Time Table. High Touch / Low Touch. Employer Information Sessions (EIS). Closed List Events. Days On The Job. Informational Interviews....
Wiley, 2018. — 208 p. — ISBN: 978-1-119-50167-1. Gain a deep, intuitive and technical understanding of practical options theory The main challenges in successful options trading are conceptual, not mathematical.Volatility: Practical Options Theoryprovides financial professionals, academics, students and others with an intuitive as well as technical understanding of both the...
Wiley, 2018. — 208 p. — ISBN: 111950161X Gain a deep, intuitive and technical understanding of practical options theory The main challenges in successful options trading are conceptual, not mathematical. Volatility: Practical Options Theory provides financial professionals, academics, students and others with an intuitive as well as technical understanding of both the basic and...
Wiley, 2018. — 208 p. — ISBN: 978-1-119-50167-1. Gain a deep, intuitive and technical understanding of practical options theory The main challenges in successful options trading are conceptual, not mathematical.Volatility: Practical Options Theoryprovides financial professionals, academics, students and others with an intuitive as well as technical understanding of both the...
Berlin: Physica-Verlag HD, 2005. - 207p. The emphasis of this book is on understanding special characteristics of the financial systems of emerging markets, where the existence of market imperfections such as asymmetric information, adverse selection and moral hazard can cause financial market failures. Considering the Thai stock market as an example, this book provides an...
World Scientific, 2020. — 206 p. — ISBN 9789811212765. The concept of local volatility as well as the local volatility model are one of the classical topics of mathematical finance. Although the existing literature is wide, there still exist various problems that have not drawn sufficient attention so far, for example: a) construction of analytical solutions of the Dupire...
Springer Science+Business Media LLC, 2017. — 318 p. — (Pseudo-Differential Operators Theory and Applications 12) — ISBN: 9781493967902 The modern theory of derivatives pricing was jump-started by a doctoral student named Louis Bachelier in 1900. By assuming that the price of the asset underlying an option followed Brownian motion, Bachelier irrevocably linked option pricing to...
Palgrave Macmillan, 2002. — 155 p. In the 1990s shareholder value was applied to all aspects of corporate strategy and management decisions as a result of intense competition, globalization, advances in technology, deregulation and the financial markets. As we enter the twentyfirst century the business environment is one of increasing creative destruction, where competitive...
2nd ed. — McGraw-Hill, 2016. — 896 p. — ISBN: 1259835243. The classic guide to quantitative investing―expanded and updated for today’s increasingly complex markets. From Bruce Jacobs and Ken Levy―two pioneers of quantitative equity management― the go-to guide to stock selection has been substantially updated to help you build portfolios in today’s transformed investing...
Springer, 2011. — 596 p. — (Stochastic Modelling and Applied Probability, Vol. 67). — ISBN: 3642241263, 9783642241277 In applications, and especially in mathematical finance, random time-dependent events are often modeled as stochastic processes. Assumptions are made about the structure of such processes, and serious researchers will want to justify those assumptions through...
Hoboken: John Wiley & Sons, 2008. — 275 p. There s a buzzword that has quickly captured the imagination of product providers and investors alike: "hedge fund replication". In the broadest sense, replicating hedge fund strategies means replicating their return sources and corresponding risk exposures. However, there still lacks a coherent picture on what hedge fund replication...
Wiley, 2015. — 291 p. — ASIN B012WA7FMQ. A new, more accurate take on the classical approach to volatility evaluation. Inside Volatility Filtering presents a new approach to volatility estimation, using financial econometrics based on a more accurate estimation of the hidden state. Based on the idea of "filtering", this book lays out a two-step framework involving a...
Bristol, IOP Publishing Ltd, 2017. — 17 p. — ISBN: 978-0-7503-1368-1 Quantitative finance is a field that has risen to prominence over the last few decades. It encompasses the complex models and calculations that value financial contracts, particularly those which reference events in the future, and apply probabilities to these events. While adding greatly to the flexibility of...
Wiley, 2015. — 264 p. — ISBN: 978-1118793282. Get the little known – yet crucial – facts about FX options Daily turnover in FX options is an estimated U.S. $ 207 billion, but many fundamental facts about this huge and liquid market are generally unknown. FX Option Performance provides the information practitioners need to be more effective in the market, with detailed, specific...
Wiley-ISTE – 2009, 875 pages
ISBN: 1848210817, 9781848210813
This book, written as a treatise on mathematical finance, has two parts: deterministic and stochastic models.
The first part of the book, managed by Ernesto Volpe di Prignano, aims to give a complete presentation of the concepts and models of classical and modern mathematical finance in a mainly deterministic...
Springer, 2013. — 299 p. 38 illus., 24 illus. in color — ISBN: 3642354068, 9783642354069 Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 1950s, copulas have gained considerable popularity in several fields of...
Bloomberg, 2017. — 784 p. — ISBN: 978-1118202692. A practical, informative guide to derivatives in the real world Derivatives is an exposition on investments, guiding you from the basic concepts, strategies, and fundamentals to a more detailed understanding of the advanced strategies and models. As part of Bloomberg Financial's three part series on securities, Derivatives...
London, Springer-Verlag London Limited, 2007. - 546p.
Монография посвящена вопросу повышения достоверности анализа и моделирования финансовых рядов (цен активов, доходностей и т.п.)путём отказа от постулирования нормального распределения. В первой части рассматриваются статистические свойства финансовых временных рядов и модели ценообразования. Во второй части исследуются...
Pilot Whale Press, 2011. — 502 p. — ISBN: 0987122800, 9780987122803 The long-awaited sequel to the "Concepts and Practice of Mathematical Finance" has now arrived. Taking up where the first volume left off, a range of topics is covered in depth. Extensive sections include portfolio credit derivatives, quasi-Monte Carlo, the calibration and implementation of the LIBOR market...
M.S. Joshi, 2008. - 538 pages.
An ideal introduction for those starting out as practitioners of mathematical finance, this book provides a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice. Strengths and weaknesses of different models, e.g. Black-Scholes, stochastic volatility,...
Cambridge University Press, 2008. - 560 p. ISBN: 0521823552 (9780521514088) Second edition. An ideal introduction for those starting out as practitioners of mathematical finance, this book provides a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice. Strengths and weaknesses of different...
2nd Edition. — CRC Press, Taylor & Francis Group, 2019. — 318 p. — (Chapman & HALL/CRC Financial Mathematics Series). — ISBN13: 978-0-367-20882-0. Introduction to Financial Mathematics: Option Valuation, Second Edition is a well-rounded primer to the mathematics and models used in the valuation of financial derivatives. The book consists of ?fteen chapters, the ?rst ten of...
N.Y.: CRC Press, 2011. — 264 p. Code files only! Option Valuation: A First Course in Financial Mathematics provides a straightforward introduction to the mathematics and models used in the valuation of financial derivatives. It examines the principles of option pricing in detail via standard binomial and stochastic calculus models. Developing the requisite mathematical background...
N.-Y.: CRC Press, 2011. — 264 p.
Option Valuation: A First Course in Financial Mathematics provides a straightforward introduction to the mathematics and models used in the valuation of financial derivatives. It examines the principles of option pricing in detail via standard binomial and stochastic calculus models. Developing the requisite mathematical background as needed,...
Springer, 2014. — 553 p. 33 illus., 14 illus. in color — ISBN: 3319020684, 9783319020686 The present volume is dedicated to Marek Musiela, an eminent scholar and practitioner who is perhaps best-known for his important contributions to problems of derivative pricing, theory of term structure of interest rates, theory of defaultable securities and other topics in modern...
Springer, 2016. — 522 p. — (Proceedings in Mathematics & Statistics). — ISBN: 3319458736. This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s...
New York: Springer. - 1998. - 407 p. This book is intended for readers who are quite familiar with probability and stochastic processes but know little or nothing about finance. It is written in the definition/theorem/proof style of modern mathematics and attempts to explain as much of the finance motivation and terminology as possible. A mathematical monograph on finance can...
McGraw-Hill Professional, 2005. — 448 p. Advanced Option Pricing Models details specific conditions under which current option pricing models fail to provide accurate price estimates and then shows option traders how to construct improved models for better pricing in a wider range of market conditions. Model-building steps cover options pricing under conditional or marginal...
ICP, 2013. — 440 p. — ISBN: 1848167725. The Value of Uncertainty begins by tracing the growth in the equity derivative markets prior to the events of September 2008, and demonstrates how exotic derivatives formed a significant component of that growth. It goes on to show that, with this growth, the mere decision of whether to use one model versus another became a significant...
CRC, 2022. — 698 p. — ISBN 1032014431. Quantitative Finance with Python: A Practical Guide to Investment Management, Trading and Financial Engineering bridges the gap between the theory of mathematical finance and the practical applications of these concepts for derivative pricing and portfolio management. The book provides students with a very hands-on, rigorous introduction...
3rd Edition. — McGraw-Hill, 2008. — 659 p. — ISBN: 978-007-127627. The third edition of The Theory of Interest is significantly revised and expanded from previous editions. The text covers the basic mathematical theory of interest as traditionally developed. The book is a thorough treatment of the mathematical theory and practical applications of compound interest, or...
Richard D. Irwin, 1991. — 460 c. — 2nd ed. — ISBN: 0256091501, 9780256091502
The book is a thorough treatment of the mathematical theory and practical applications of compound interest, or mathematics of finance.
Springer, 2024. — 335 p. — (Springer Undergraduate Texts in Mathematics and Technology). — ISBN 978-3-031-60574-1. Вычисления и моделирование в сфере финансов: введение в Python This book offers an up-to-date introductory treatment of computational techniques applied to problems in finance, placing issues such as numerical stability, convergence and error analysis in both...
Springer, 2024. — 335 p. — (Springer Undergraduate Texts in Mathematics and Technology). — ISBN 978-3-031-60574-1. Вычисления и моделирование в сфере финансов: введение в Python This book offers an up-to-date introductory treatment of computational techniques applied to problems in finance, placing issues such as numerical stability, convergence and error analysis in both...
N.-Y.: Chapman and Hall/CRC, 2014. — 24 p.
Filling the void between surveys of the field with relatively light mathematical content and books with a rigorous, formal approach to stochastic integration and probabilistic ideas, Stochastic Financial Models provides a sound introduction to mathematical finance. The author takes a classical applied mathematical approach, focusing on...
Springer, 2020. — 67 p. — (SpringerBriefs in Finance). — ISBN: 978-3-030-57496-3. This book provides a hands-on guide to how financial models are actually implemented and used in practice, on a daily basis, for pricing and risk-management purposes. It shows how to put these models into use in production while minimizing the cost of implementation and maximizing robustness and...
Palgrave Macmillan UK, 2017. — 248 p. — (Financial Engineering Explained). This book on Interest Rate Derivatives has three parts. The first part is on financial products and extends the range of products considered in Interest Rate Derivatives Explained I. In particular we consider callable products such as Bermudan swaptions or exotic derivatives. The second part is on...
Palgrave Macmillan, 2015. — 208 p. The interest rate derivatives markets underwent significant change in the wake of the global financial crisis, change that included the adoption of multi-curve modelling frameworks and market data. Furthermore, even for simple financial instruments significant effort for pricing and risk management can be necessary due to collateral agreements...
Boca Raton: CRC Press, 2013. — 335 p. Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical...
World Scientific, 2010. — 284 p. — ASIN B00I9GZZTS. This book consists of 11 papers based on research presented at the Kier-Tmu International Workshop on Financial Engineering, held in Tokyo in 2009. The Workshop, organised by Kyoto University's Institute of Economic Research (Kier) and Tokyo Metropolitan University (Tmu), is the successor to the Daiwa International Workshop on...
World Scientific, 2016. — 226 p. — ISBN: 978-9814730761. Since 2004, the Tokyo Metropolitan University (TMU) has been conducting workshops that serve as a forum for academic researchers and practitioners to exchange ideas and developments in different fields of finance. This book is based on papers presented at the 2014 workshop held in Tokyo, on 6–7 November, 2014. The...
6th edition. — Wiley, 2011. — 888 p. : ill. — ISBN-10: 047053477X. ISBN-13: 978-0470534779.
This successful book continues to provide accountants with an understanding of the fundamental concepts necessary to use accounting effectively. The sixth edition offers new discussions on IFRS, including new codification numbers, examples of IFRS financial statements, and additional...
MDPI, 2021. — 166 p. — ISBN 978-3-0365-0537-4. Printed Edition of the Special Issue Published in Risks The purpose of the Special Issue "Quantitative Methods in Economics and Finance" of the journal Risks was to provide a collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of financial markets, and...
Burlington, Elsevier Ltd., 2007. - 428p.
Сборник статей, посвящённых проблеме прогнозирования волатильности и её приложениям в построении портфеля активов, опционном ценообразовании и трейдинге, а также математическим методам решения этой задачи.
Для научных работников и аспирантов в области финансовой математики.
Oxford, Butterworth-Heinemann, 2001. — 328 p. The purpose of this book is to bring together research on the question of how to model the probability of financial asset returns. There is now a consensus that conventional models that assume normality need to be broaden to deal with such issues as tail probabilities, pricing derivatives and outliers.
Springer, 2020. — 448 p. — ISBN: 978-3-030-39722-7. Arbitrage Theory provides the foundation for the pricing of financial derivatives and has become indispensable in both financial theory and financial practice. This textbook offers a rigorous and comprehensive introduction to the mathematics of arbitrage pricing in a discrete-time, finite-state economy in which a finite number...
Wiley, 2003. — 336 p. Financial Derivatives introduces the broad range of markets for financial derivatives. A financial derivative is a financial instrument based on another more elementary financial instrument. The value of the financial derivative depends on, or derives from, the more basic instrument. Usually, the base instrument is a cash market financial instrument, such...
Cambridge University Press, 2013. — 196 p. — ISBN: 0521175577, 9780521175579 Students and instructors alike will benefit from this rigorous, unfussy text, which keeps a clear focus on the basic probabilistic concepts required for an understanding of financial market models, including independence and conditioning. Assuming only some calculus and linear algebra, the text...
New York: American Mathematical Society, 2001. — 272 p. Understanding and working with the current models of financial markets requires a sound knowledge of the mathematical tools and ideas from which they are built. Banks and financial houses all over the world recognize this and are avidly recruiting mathematicians, physicists, and other scientists with these skills. The...
CRC Press, 2010. — 410 p. — (Financial Mathematics Series). — ISBN: 1420076183, 9781420076189
Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms,...
Springer, 2021. — 300 p. — ISBN 978-3-658-34676-8. This book follows a conversational approach in five dozen stories that provide an insight into the colorful world of financial mathematics and financial markets in a relaxed, accessible and entertaining form. The authors present various topics such as returns, real interest rates, present values, arbitrage, replication,...
Springer, 2021. — 300 p. — ISBN 978-3-658-34677-5 (eBook). This book follows a conversational approach in five dozen stories that provide an insight into the colorful world of financial mathematics and financial markets in a relaxed, accessible and entertaining form. The authors present various topics such as returns, real interest rates, present values, arbitrage, replication,...
Springer, 2021. — 300 p. — ISBN 978-3-658-34677-5 (eBook). This book follows a conversational approach in five dozen stories that provide an insight into the colorful world of financial mathematics and financial markets in a relaxed, accessible and entertaining form. The authors present various topics such as returns, real interest rates, present values, arbitrage, replication,...
Springer, 2021. — 300 p. — ISBN 978-3-658-34677-5 (eBook). This book follows a conversational approach in five dozen stories that provide an insight into the colorful world of financial mathematics and financial markets in a relaxed, accessible and entertaining form. The authors present various topics such as returns, real interest rates, present values, arbitrage, replication,...
Academic Press, 2015. — 893 p. — 3rd ed. — ISBN: 9780123869685 Three new chapters, numerous additions to existing chapters, and an expanded collection of questions and exercises make this third edition of Principles of Financial Engineering essential reading. Between defining swaps on its first page and presenting a case study on its last, Robert Kosowski and Salih Neftci's...
Cambridge University Press, 2019. — 218 p. — (Econometric Society Monographs, 63). — ISBN: 978-1-108-48636-1. This book examines whether continuous-time models in frictionless financial economies can be well approximated by discrete-time models. It specifically looks to answer the question: in what sense and to what extent does the famous Black-Scholes-Merton (BSM)...
Palgrave Macmillan, 2015. — 436 p. — (Applied Quantitative Finance). — ISBN: N\A Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting. A New Framework...
Springer, 2018. — 289 p. — ISBN: 9811312079. This book includes selected papers submitted to the ICADABAI-2017 conference, offering an overview of the new methodologies and presenting innovative applications that are of interest to both academicians and practitioners working in the area of analytics. It discusses predictive analytics applications, machine learning applications,...
Springer, 2018. — 289 p. — ISBN: 9811312079. This book includes selected papers submitted to the ICADABAI-2017 conference, offering an overview of the new methodologies and presenting innovative applications that are of interest to both academicians and practitioners working in the area of analytics. It discusses predictive analytics applications, machine learning applications,...
N.-Y., Springer Science+Business Media, LLC, 2008. - 362p.
Курс методов математической статистики, находящих применение в финансовой математике. В первой части рассмотрены регрессионный анализ, методы многомерного анализа данных, статистические методы управления портфелем, байесовский анализ, анализ временных рядов, включая авторегрессию и GARCH. Вторая часть посвящена...
2nd ed. — CRC Press, 2011. — 252 p. — ISBN: 1584886269, 9781584886266, 9781420009941. Since the publication of the first edition of this book, the area of mathematical finance has grown rapidly, with financial analysts using more sophisticated mathematical concepts, such as stochastic integration, to describe the behavior of markets and to derive computing methods. Maintaining...
Routledge, 2022. — 767 p. — (Routledge Advanced Texts in Economics and Finance 37). — ISBN 978-1-032-07018-6. Financial Economics and Econometrics provides an overview of the core topics in theoretical and empirical finance, with an emphasis on applications and interpreting results. Structured in five parts, the book covers financial data and univariate models; asset returns;...
Springer, 2023. — 380 p. The textbook discusses risk management in capital markets and presents various techniques of portfolio optimization. Special attention is given to risk measurement and credit risk management. Furthermore, the author discusses optimal investment problems and presents various examples. In the last section, the book includes numerous case studies based on...
Springer, 2023. — 638 p. — (Springer Texts in Business and Economics). — ISBN 978-3-031-23867-3. The textbook discusses risk management in capital markets and presents various techniques of portfolio optimization. Special attention is given to risk measurement and credit risk management. Furthermore, the author discusses optimal investment problems and presents various...
Springer, 2023. — 532 p. This textbook offers an easily understandable introduction to the fundamental concepts of financial mathematics and financial engineering. The author presents and discusses the basic concepts of financial engineering and illustrates how to trade and to analyze financial products with numerous examples. Special attention is given to the valuation of...
Springer, 2020. — 412 p. — ISBN: 9813297956. With the exponential growth of program trading in the global financial industry, quantum finance and its underlying technologies have become one of the hottest topics in the fintech community. Numerous financial institutions and fund houses around the world require computer professionals with a basic understanding of quantum finance...
New York: Palgrave Macmillan, 2014. — 152 p. Most books on financial derivatives focus on either the investment side of the business or on the mathematical models to price them. However, there is a gap between how quantitative researchers, analysts, structurers, risk managers and traders look and communicate on derivatives problems. In particular there often is a strong emphasis...
University of Minnesota, 2000. I Equilibrium and Arbitrage 1 Equilibrium in Security Markets 2 Linear Pricing 3 Arbitrage and Positive Pricing 4 Portfolio Restrictions II Valuation 5 Valuation 6 State Prices and Risk-Neutral Probabilities 7 Valuation under Portfolio Restrictions III Risk 8 Expected Utility 9 Risk Aversion 10 Risk IV Optimal Portfolios V Equilibrium Prices and...
Newport Beach, Finance Press, 2000. - 350 p.
Книга посвящена развитию теории вычисления цены опционов в предположении изменчивости их волатильности и наличия "улыбки волатильности". Предназначена для научных работников в области опционной теории и специалистов-математиков в финансовых компаниях.
WSPC, 2016. — 472 p. — ASIN B01CG710H6. Since 2005, China has been accused of causing the trade deficit and manipulating the exchange rate. At the same time, there have been arguments against the RMB appreciation. The reason for this conflict is the lack of quantitative research or elaboration on many extremely important indicators. To correctly describe the industrial chain and...
Palgrave Macmillan, 2015. — 466 p. — ISBN: 978-1137494832. This book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives and analyze the credit exposure of a financial instrument in...
Impact Interview, 2015. — 162 p. Interview Math, 1st Edition provides 50+ practice problems and answers to help job seekers master quantitative interview questions including: Market Sizing Revenue Estimates Profitability Breakeven Pricing Customer Lifetime Value If you're targeting one of the highly coveted after positions below, you'll need to master interview math questions:...
McGraw-Hill Professional, 2003. — 288 p. A common denominator among most new traders is that, within six months of launching their new pursuit, they are out of money and out of trading. High-Probability Trading softens the impact of this "trader's tuition," detailing a comprehensive program for weathering those perilous first months and becoming a profitable trader. This...
World Scientific, 2001. – 700 pages. ISBN: 9810246153 This comprehensive book presents a systematic and practically oriented approach to mathematical modeling in finance, particularly in the foreign exchange context. It describes all the relevant aspects of financial engineering, including derivative pricing, in detail. The book is self-contained, with the necessary...
Hoboken: Wiley, 2016. — 583 p.
A guide to the growing importance of extreme value risk theory, methods, and applications in the financial sector
Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and Its Applications features a combination of the theory, methods, and applications of extreme value theory (EVT) in finance and...
FT Press, 2013. — 336 p. — ISBN: 978-0132929196. This book makes quantitative finance (almost) easy! Its new visual approach makes quantitative finance accessible to a broad audience, including those without strong backgrounds in math or finance. Michael Lovelady introduces a simplified but powerful technique for calculating profit probabilities and graphically representing the...
Springer, 2021. — 54 p. — (Springer essentials). — ISBN 978-3-658-32037-9. This essential teaches basic formulas, methods and ideas of classical financial mathematics. Since classical financial mathematics makes do with elementary mathematical tools, any interested reader with average mathematical school knowledge can easily follow this text. The core of the text is the...
Springer, 2021. — 54 p. — (Springer essentials). — ISBN 978-3-658-32037-9. This essential teaches basic formulas, methods and ideas of classical financial mathematics. Since classical financial mathematics makes do with elementary mathematical tools, any interested reader with average mathematical school knowledge can easily follow this text. The core of the text is the...
Springer, 2025. — 144 p. Preface Objective and Audience Guide to the Chapters Acknowledgments Symbols and Notation Gaussian Process Preliminaries Introduction Fundamentals Gaussian Process Regression GP Likelihood and Hyperparameters Estimation and Likelihood Examples and Discussion Hyperparameter Sensitivity in GPR Universal Kriging and Varying Prior Means GPs as Kernel...
Unlike most books on investments, financial engineering, or derivative securities, the book starts from basic ideas in finance and gradually builds up the theory. Modern Finance:A Brief History Financial Engineering and Computation Financial Markets Computer Technology Analysis of Algorithms Complexity Analysis of Algorithms Description of Algorithms Software Implementation...
New York: ISTE Press - Elsevier, 2016. — 132 p. This book presents a short introduction to continuous-time financial models. An overview of the basics of stochastic analysis precedes a focus on the Black–Scholes and interest rate models. Other topics covered include self-financing strategies, option pricing, exotic options and risk-neutral probabilities. Vasicek,...
Trans-Atlantic Publications, 2015. — 232 p. — ISBN: 978-1292017563. Financial institutions, private and public companies and governments can lose vast amounts of money from even minor changes in interest rates. Because of this, complex financial instruments have been developed to mitigate these exposures. But what happens when organisations hedge themselves to ill-advised and...
Cambridge: Cambridge University Press, 2022. — 283 p. What happens to risk as the economic horizon goes to zero and risk is seen as an exposure to a change in state that may occur instantaneously at any time? All activities that have been undertaken statically at a fixed finite horizon can now be reconsidered dynamically at a zero time horizon, with arrival rates at the core of...
Palgrave Macmillan UK, 2016. — 474 p. — (Applied Quantitative Finance). — ISBN: 9781349566884, EISBN: 9781137560155 Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or...
N.-Y.: Palgrave Macmillan, 2014. - 168p. The modeling of dependence structures (or copulas) is undoubtedly one of the key challenges for modern financial engineering. First applied to credit-risk modeling, copulas are now widely used across a range of derivatives transactions, asset pricing techniques, and risk models, and are a core part of the financial engineer's toolkit....
Gaussian Stochastic Calculus of Variations. Finite-Dimensional Gaussian Spaces. Hermite Expansion. Wiener Space as Limit of its Dyadic Filtration. Stroock–Sobolev Spaces. of Functionals on Wiener Space. Divergence of Vector Fields, Integration by Parts. Itˆo’s Theory of Stochastic Integrals. Differential and Integral Calculus. in Chaos Expansion. Monte-Carlo Computation of...
Springer, 2014. — 261 p. — (International Series in Operations Research & Management Science 209). — ISBN: 1489974415, 9781489974426. Since the groundbreaking research of Harry Markowitz into the application of operations research to the optimization of investment portfolios, finance has been one of the most important areas of application of operations research. The use of...
New York: Springer, 2010. — 208p. A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to specialized financial problems: option pricing, credit risk modeling, volatility estimation and more. The book provides tools for sorting through...
Springer, 2017. — 138 p. — ISBN: 9783319509693. This volume is a user-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation, allowing the readers to experience the potential of the approach and its application in various financial settings. Readers are given examples and instruments to implement this methodology in various...
(Springer, 1997)(ISBN 0387983635)(T)(S)(558s)
This is the first book in the Selecta, the collected works of Benoit Mandelbrot. This volume incorporates his original contributions to finance and is a major contribution to the understanding of how speculative prices vary in time. The chapters consist of much new material prepared for this volume, as well as reprints of his...
Springer, 1997 Reprint-2010. - 566 pages. This is a most useful collection of Mandelbrot's work economics, it provides an excellent starting point for anybody interested in the origin of many current topics in empirical finance or the distribution of income. Mandelbrot writes with economy and felicity, and he intersperses the more mathematical sections with frank historical...
New York: John Wiley & Sons, 2011. — 299 p. A multi-disciplinary framework through which to spot financial bubbles before they burst.Based on a popular undergraduate seminar, entitled Financial Booms & Busts, taught by the author at Yale University, Boombustology presents a multi-disciplinary framework for identifying unsustainable booms and forthcoming busts.The magnitude of our...
Wiley, 2019. - 384p. - ISBN: 1119575605 2nd.ed The new, fully-updated edition of the respected guide to understanding financial extremes, evaluating investment opportunities, and identifying future bubbles Now in its second edition, Boombustology is an authoritative, up-to-date guide on the history of booms, busts, and financial cycles. Engaging and accessible, this popular book...
Wiley, 2019. - 384p. - ISBN: 1119575605 2nd.ed The new, fully-updated edition of the respected guide to understanding financial extremes, evaluating investment opportunities, and identifying future bubbles Now in its second edition, Boombustology is an authoritative, up-to-date guide on the history of booms, busts, and financial cycles. Engaging and accessible, this popular book...
2nd.edition. — Wiley, 2019. — 384 p. — ISBN: 978-1-1195755597. The new, fully-updated edition of the respected guide to understanding financial extremes, evaluating investment opportunities, and identifying future bubbles Now in its second edition, Boombustology is an authoritative, up-to-date guide on the history of booms, busts, and financial cycles. Engaging and accessible,...
2nd.edition. — Wiley, 2019. — 384 p. — ISBN: 978-1-1195755597. The new, fully-updated edition of the respected guide to understanding financial extremes, evaluating investment opportunities, and identifying future bubbles Now in its second edition, Boombustology is an authoritative, up-to-date guide on the history of booms, busts, and financial cycles. Engaging and accessible,...
Springer, 2015. — 119 p.
This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also...
Cambridge University Press, Elements in Quantitative Finance series, 09.11.2023, 86 pages. Virtually all journal articles in the factor investing literature make associational claims, in denial of the causal content of factor models. Authors do not identify the causal graph consistent with the observed phenomenon, they justify their chosen model specification in terms of...
Wiley, 2020. — 476 p. — ISBN: 978-1-118-62995-6. Presents a multitude of topics relevant to the quantitative finance community by combining the best of the theory with the usefulness of applications Written by accomplished teachers and researchers in the field, this book presents quantitative finance theory through applications to specific practical problems and comes with...
Wiley, 2020. — 491 p. — (Wiley Series in Statistics in Practice). — ISBN: 1118629957, 9781118629963. The book is complete with different coding techniques in R and MatLAB and generic pseudo-algorithms to modern finance. Starting with the theoretical backdrop needed from probability and stochastic processes and the description of financial instruments priced throughout the book,...
Springer, 2017. — 208 p. — ISBN: 978-3319485409. This book analyses and discusses bonds and bond portfolios. Different yields and duration measures are investigated. The transition from a single bond to a bond portfolio leads to the equation for the internal rate of return. Its solution is analyzed and compared to different approaches proposed in the financial industry. The...
Springer International Publishing, 2017. — 206 p. As Artificial Intelligence seizes all aspects of human life, there is a fundamental shift in the way in which humans are thinking of and doing things. Ordinarily, humans have relied on economics and finance theories to make sense of, and predict concepts such as comparative advantage, long run economic growth, lack or distortion...
This book presents the mathematics that underpins pricing models for derivative securities in modern financial markets, such as options, futures and swaps. This new edition adds substantial material from current areas of active research, such as coherent risk measures with applications to hedging, the arbitrage interval for incomplete discrete-time markets, and risk and return and...
Cambridge University Press, 2018. — 598 p. — ISBN: 1108419577. This new and exciting book offers a fresh approach to quantitative finance and utilises novel features, including stereoscopic images which permit 3D visualisation of complex subjects without the need for additional tools. Offering an integrated approach to the subject, A First Course in Quantitative Finance...
Cambridge University Press, 2018. — 598 p. — ISBN: 1108419577. This new and exciting book offers a fresh approach to quantitative finance and utilises novel features, including stereoscopic images which permit 3D visualisation of complex subjects without the need for additional tools. Offering an integrated approach to the subject, A First Course in Quantitative Finance...
Cambridge University Press, 2018. — 598 p. — ISBN: 1108419577. This new and exciting book offers a fresh approach to quantitative finance and utilises novel features, including stereoscopic images which permit 3D visualisation of complex subjects without the need for additional tools. Offering an integrated approach to the subject, A First Course in Quantitative Finance...
Cambridge University Press, 2015. — 170 p. — ISBN: 1107002575, 9781107002579
This volume in the Mastering Mathematical Finance series strikes just the right balance between mathematical rigour and practical application. Existing books on the challenging subject of stochastic interest rate models are often too advanced for Master's students or fail to include practical examples....
Wiley, 2011. — 296 p. — ASIN B004PYDTDM. This book presents a major innovation in the interest rate space. It explains a financially motivated extension of the LIBOR Market model which accurately reproduces the prices for plain vanilla hedging instruments (swaptions and caplets) of all strikes and maturities produced by the SABR model. The authors show how to accurately recover...
Basel: Birkhäuser, 2003. - 325p. The objective of this book is to give a self-contained presentation to the theory underlying the valuation of derivative financial instruments, which is becoming a standard part of the toolbox of professionals in the financial industry. Although a complete derivation of the Black-Scholes option pricing formula is given, the focus is on...
Springer, 2019. — 230 p. — ISBN: 3030154998. This book is dedicated to the study of the term structures of the yields of zero-coupon bonds. The methods it describes differ from those usually found in the literature in that the time variable is not the term to maturity but the interest rate duration, or another convenient non-linear transformation of terms. This makes it...
Springer, 2015. — 250 p. — ASIN B01AJPSP8O. Fixed income volatility and equity volatility evolve heterogeneously over time, co-moving disproportionately during periods of global imbalances and each reacting to events of different nature. While the methodology for options-based "model-free" pricing of equity volatility has been known for some time, little is known about analogous...
N.-Y.: Chapman & Hall/CRC, 2011. - 328p.
Risk Analysis in Finance and Insurance, Second Edition presents an accessible yet comprehensive introduction to the main concepts and methods that transform risk management into a quantitative science. Taking into account the interdisciplinary nature of risk analysis, the author discusses many important ideas from mathematics, finance,...
Chapman and Hall/CRC, 2017. — 212 p. — ISBN: 978-1482240269. This book focuses on the application of the partial hedging approach from modern math finance to equity-linked life insurance contracts. It provides an accessible, up-to-date introduction to quantifying financial and insurance risks. The book also explains how to price innovative financial and insurance products from...
American Mathematical Society, 2002. — 209 p. Contemporary finance and actuarial calculations have become so mathematically complex that a rigorous exposition is required for an accurate and complete presentation. This volume delivers just that. It gives a comprehensive and up-to-date methodology for financial pricing and modelling. Also included are special cases useful for...
Springer, 2021. — 473 p. — ISBN 9783030541071. This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book...
Springer, 2021. — 473 p. — ISBN 9783030541071. This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book...
Wiley-Blackwell, 1990. — 551 p. Introduction to Finance and the Mathematics of Continuous-Time Models . Modern Finance. Introduction to Portfolio Selection and Capital Market Theory: Static Analysis. On the Mathematics and Economics Assumptions of Continuous-Time Models. Optimum Consumption and Portfolio Selection in Continuous-Time Models . Lifetime Portfolio Selection Under...
World Scientific Pub Co Inc., 1999. — 212 p. — ISBN: 9810235437, 9789810235437 Modelling with the Itô integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory. This book is suitable for the reader without a deep...
Elsevier, 1982. — 317 p. Theory and application of a variety of mathematical techniques in economics are presented in this volume. Topics discussed include: martingale methods, stochastic processes, optimal stopping, the modeling of uncertainty using a Wiener process, Itô's Lemma as a tool of stochastic calculus, and basic facts about stochastic differential equations. The...
Springer, 2008. — 411 p. — ISBN: 978-3-540-75872-3, e-ISBN: 978-3-540-75873-0. Series: Lecture Notes in Mathematics (Book 1929). The theory of fractional Brownian motion and other long-memory processes are addressed in this volume. Interesting topics for PhD students and specialists in probability theory, stochastic analysis and financial mathematics demonstrate the modern...
ISTE Press, 2016. — 184 p. This textbook is devoted to those parts of financial theory that give the mathematical description of randomness in the financial market. This part of financial theory is known as “stochastic finance”. This book describes the models of financial markets with discrete and continuous time, although the mechanism of the functioning of markets with discrete time...
CRC Press/ Chapman & Hall, 2023. — 478 p. — (CRC Press/OptiRisk Series in Finance). — ISBN 978-1-032-27648-9. Handbook of Alternative Data in Finance, Volume I motivates and challenges the reader to explore and apply Alternative Data in finance. The book provides a robust and in-depth overview of Alternative Data, including its definition, characteristics, difference from...
World Scientific Publishing Company, 2017. — 1116 p. — ISBN: 9813142774. Volume 1 of "The Strategic Analysis of Financial Markets," — Framework, is premised on the belief that markets can be understood only by dropping the assumptions of rationality and efficient markets in their extreme forms, and showing that markets still have an inherent order and inherent logic. But that...
World Scientific Publishing Company, 2017. — 1116 p. — ISBN: 9813142774. Volume 1 of "The Strategic Analysis of Financial Markets," — Framework, is premised on the belief that markets can be understood only by dropping the assumptions of rationality and efficient markets in their extreme forms, and showing that markets still have an inherent order and inherent logic. But that...
World Scientific Publishing Company, 2017. — 1116 p. — ISBN: 9813142774. Volume 1 of "The Strategic Analysis of Financial Markets," — Framework, is premised on the belief that markets can be understood only by dropping the assumptions of rationality and efficient markets in their extreme forms, and showing that markets still have an inherent order and inherent logic. But that...
Springer, 2020. — 135 p. — ISBN: 978-3-030-42961-4. As Artificial Intelligence (AI) seizes all aspects of human life, there is a fundamental shift in the way in which humans are thinking of and doing things. Ordinarily, humans have relied on economics and finance theories to make sense of, and predict concepts such as comparative advantage, long run economic growth, lack or...
Springer, 2020. — 135 p. — ISBN: 978-3-030-42962-1 (eBook). As Artificial Intelligence (AI) seizes all aspects of human life, there is a fundamental shift in the way in which humans are thinking of and doing things. Ordinarily, humans have relied on economics and finance theories to make sense of, and predict concepts such as comparative advantage, long run economic growth,...
Springer, 2020. — 135 p. — ISBN: 978-3-030-42962-1 (eBook). As Artificial Intelligence (AI) seizes all aspects of human life, there is a fundamental shift in the way in which humans are thinking of and doing things. Ordinarily, humans have relied on economics and finance theories to make sense of, and predict concepts such as comparative advantage, long run economic growth,...
Springer, 2020. — 135 p. — ISBN: 978-3-030-42962-1 (eBook). As Artificial Intelligence (AI) seizes all aspects of human life, there is a fundamental shift in the way in which humans are thinking of and doing things. Ordinarily, humans have relied on economics and finance theories to make sense of, and predict concepts such as comparative advantage, long run economic growth,...
2nd ed. — Wiley, 2019. — 384 p. — ISBN: 1119141044. Understand and interpret the global debt capital markets. Now in a completely updated and expanded edition, this is a technical guide to the yield curve, a key indicator of the global capital markets and the understanding and accurate prediction of which is critical to all market participants. Being able to accurately and...
Princeton University Press, 2018. — 176 p. — ASIN B076CDV16Y. Continuous-Time Models in Corporate Finance synthesizes four decades of research to show how stochastic calculus can be used in corporate finance. Combining mathematical rigor with economic intuition, Santiago Moreno-Bromberg and Jean-Charles Rochet analyze corporate decisions such as dividend distribution, the issuance...
Third edition - 2007. - 464 p.
The Single Name Instruments & Strategies book, now in its third printing, contains select previously published research reports on credit investment strategies, credit derivatives instruments and valuation techniques from our Credit Derivatives Insights publications. It also contains primers on credit derivatives concepts and a glossary with brief...
Wiley, 2012. — 262 p. No book on options can guarantee success, but if a trader understands and utilizes option math effectively, good things are going to happen. The idea behind Options Math for Traders + Website is to help retail option traders understand some of the basic tenants and enduring relationships of options, and option math, that professional and institutional traders...
N.-Y.: Wiley. 2006. - 208p. Пособие по методам расчёта стоимости производных финансовых инструментов. Приводятся основные сведения о теории вероятностей, стохастическом исчислении, дифференциальных уравнениях в частных производных применительно к расчёту деривативов, начиная от опционов по Блэку-Шоулсу, затем к хеджированию процентных ставок, кредитным спрэдам и другим моделям....
2nd edition. — Academic Press, 2000. — 552 p. An Introduction to the Mathematics of Financial Derivatives is a popular, intuitive text that eases the transition between basic summaries of financial engineering to more advanced treatments using stochastic calculus. Requiring only a basic knowledge of calculus and probability, it takes readers on a tour of advanced financial...
World Scientific, 2003. – 312 p. – ISBN: 9810244282, 9789810244286 At the beginning of the new millennium, two unstoppable processes are taking place in the world: (1) globalization of the economy; (2) information revolution. As a consequence, there is greater participation of the world population in capital market investment, such as bonds and stocks and their derivatives....
N.-Y.: Spnger, 2014. - 491p.
Stochastic instantaneous volatility models such as Heston, SABR or SV-LMM have mostly been developed to control the shape and joint dynamics of the implied volatility surface. In principle, they are well suited for pricing and hedging vanilla and exotic options, for relative value strategies or for risk management. In practice however, most SV...
Springer, 2014. — 502 p. 34 illus., 26 illus. in color. — ISBN: 1447165055, 9781447165064
Stochastic instantaneous volatility models such as Heston, SABR or SV-LMM have mostly been developed to control the shape and joint dynamics of the implied volatility surface. In principle, they are well suited for pricing and hedging vanilla and exotic options, for relative value...
Wiley, 2025. — 384 p. — ISBN 1394281315. Expert guidance on implementing quantitative portfolio optimization techniques. In Quantitative Portfolio Optimization: Theory and Practice, renowned financial practitioner Miquel Noguer, alongside physicists Alberto Bueno Guerrero and Julian Antolin Camarena, who possess excellent knowledge in finance, delve into advanced mathematical...
Wiley, 2025. — 208 p. — ISBN 1394281315. Expert guidance on implementing quantitative portfolio optimization techniques. In Quantitative Portfolio Optimization: Theory and Practice, renowned financial practitioner Miquel Noguer, alongside physicists Alberto Bueno Guerrero and Julian Antolin Camarena, who possess excellent knowledge in finance, delve into advanced mathematical...
CRC Press, 2012. — 399 p. — (Monographs on Statistics and Applied Probability). — ISBN: 1439835748, 9781439835753 Extreme value theory (EVT) deals with extreme (rare) events, which are sometimes reported as outliers. Certain textbooks encourage readers to remove outliers-in other words, to correct reality if it does not fit the model. Recognizing that any model is only an...
Cambridge, 2021. — 143 p. — ISBN 9781108975537. This Element is intended for students and practitioners as a gentle and intuitive introduction to the field of discrete-time yield curve modelling. I strive to be as comprehensive as possible, while still adhering to the overall premise of putting a strong focus on practical applications. In addition to a thorough description of...
CRC Press, Taylor & Francis Group, LLC, 2018. — 259 p. — ISBN: 1498766099. This book provides an introduction to R programming and a summary of financial mathematics. The importance of having basic knowledge of computational methods continues to increase for those working in the financial services industry. Computational finance theory has developed along with advancements in...
CRC Press, Taylor & Francis Group, LLC, 2018. — 259 p. — ISBN: 1498766099. В этой книге представлено введение в программирование на языке R и краткое изложение финансовой математики. Важность получения базовых знаний о вычислительных методах продолжает возрастать для тех, кто работает в отрасли финансовых услуг. Теория вычислительного финансирования развилась вместе с...
John Wiley & Sons, 2008. — 493 p. Modelling Single-name and Multi-name Credit Derivatives presents an up-to-date, comprehensive, accessible and practical guide to the pricing and risk-management of credit derivatives. It is both a detailed introduction to credit derivative modelling and a reference for those who are already practitioners. This book is up-to-date as it covers many...
Springer, 2011. – 478 p. – 180 illus. – ISBN: 364216028X, 9783642160295 The book aims at presenting technical and financial features of life insurance, non-life insurance, pension plans. The book has been planned assuming non-actuarial readers as its natural target, namely - advanced undergraduate and graduate students in Economics, Business and Finance; - professionals and...
World Scientific Publ., 2022. — 434 p. — (Topics in Systems Engineering 02). — ISBN-13 9789811252358. The book offers an overview of credit risk modeling and management. A three-step approach is adopted with the contents, after introducing the essential concepts of both mathematics and finance.Initially the focus is on the modeling of credit risk parameters mainly at the level...
Panda Ohana Publishing, 2022. — 250 p. "If you are looking to learn more about quantum theory applied to finance, we highly recommend reading David Orrell's book: Quantum Economics and Finance: An Applied Mathematics Introduction." Quantum News The word "quantum" is from the Latin for "how much" and in this book mathematician David Orrell shows how it applies to the world of...
Cham: Springer Nature, 2018. — 591 p. This textbook provides a self-contained introduction to numerical methods in probability with a focus on applications to finance. Topics covered include the Monte Carlo simulation (including simulation of random variables, variance reduction, quasi-Monte Carlo simulation, and more recent developments such as the multilevel paradigm),...
Springer, 2012. – 298 p. – ISBN: 8847025370, 9788847025387
With the Bologna Accords a bachelor-master-doctor curriculum has been introduced in various countries with the intention that students may enter the job market already at the bachelor level. Since financial Institutions provide non negligible job opportunities also for mathematicians, and scientists in general, it...
CRC Press, 2022. — 501 p. — ISBN 9781032019314. The Sharpe Ratio: Statistics and Applications is the most widely used metric for comparing the performance of financial assets. The Markowitz portfolio is the portfolio with the highest Sharpe ratio. The Sharpe Ratio: Statistics and Applications examines the statistical properties of the Sharpe ratio and Markowitz portfolio, both...
Springer, 2019. — 277 p. — ISBN: 978303011590-6. This book illustrates the application of the economic concept of stochastic dominance to option markets and presents an alternative option pricing paradigm to the prevailing no arbitrage simultaneous equilibrium in the frictionless underlying and option markets. This new methodology was developed primarily by the author, working...
Springer, 2016. — 483 p. — (Springer Undergraduate Texts in Mathematics and Technology). — ISBN: 1493937812, 9781493937813, 9781493937837.
This textbook aims to fill the gap between those that offer a theoretical treatment without many applications and those that present and apply formulas without appropriately deriving them. The balance achieved will give readers a fundamental...
New York: Springer, 2016. — 499 p. Provides a good balance between mathematical derivation and accessibility to the reader and instructor Self-contained with respect to required finance background, providing financial minutia along the way as needed Useful for students preparing for high level study in mathematical finance or a career in actuarial science This textbook aims to...
Springer, 2016. — 483 p. — ISBN: 978-1493937813. Provides a good balance between mathematical derivation and accessibility to the reader and instructor. Self-contained with respect to required finance background, providing financial minutia along the way as needed. Useful for students preparing for high level study in mathematical finance or a career in actuarial science. This...
Wiley, 2017. — 128 p. — ISBN: 978-1119381839. Apply practical derivatives knowledge to truly test your understanding Derivatives Workbook offers practical instruction for students and professionals seeking additional guidance on working with derivatives instruments. Created by CFA Institute as a companion to the comprehensive Derivatives text, this book helps you practice using...
Blackwell Publishing Limited, 1997. - 262 pages. Pliska's book lays out the fundamentals of discrete time models in a clear and concise manner. The book is mostly self contained and well supported with examples that enhance understanding. I read it as a part of my introductory Phd finance course along with Theory of Financial Decision Making by Ingersoll and Foundations for...
2nd Edition. – CRC Press, 2023. – 663 p. Introduction to Stochastic Finance with Market Examples, Second Edition presents an introduction to pricing and hedging in discrete and continuous-time financial models, emphasizing both analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of...
N.-Y.: Chapman and Hall/CRC, 2013. — 438 p. This text is an introduction to pricing and hedging in discrete and continuous time nancial models without friction (i.e., without transaction costs), with an emphasis on the complementarity between analytical and probabilistic methods. Its contents are mostly mathematical, and aim at making the reader aware of both the power and...
Hoboken, New Jersey: John Wiley & Sons, Inc., 2010. — 688 p. This book divided into four comprehensive parts, Probability and Statistics for Finance: Discusses descriptive statistics: the different methods for gathering data and presenting them in the most succinct way Covers the basics of probability theory as well as the different types of probability distributions,...
Basel: Birkhäuser, 2004. — 438 p. The subject of numerical methods in finance has recently emerged as a new discipline at the intersection of probability theory, finance, and numerical analysis. The methods employed bridge the gap between financial theory and computational practice, and provide solutions for complex problems that are difficult to solve by traditional analytical...
Wiley, 2010. — 674 p. — ISBN: 0470400935, 9780470400937
In order to remain competitive in the intensely quantitative field of finance, you need a firm understanding of the foundations of finance: probability and statistics. Expert authors Svetlozar (Zari) Rachev, Markus Höchstötter, Frank Fabozzi, and Sergio Focardi have written Probability and Statistics for Finance for that...
Wiley, 2005. — 369 p. — ISBN: 0-471-71886-6, 978-0-471-71886-4. While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return...
Wiley, 2014. — 352 p. — ISBN: 1118004612
Learn how quantitative models can help fight client problems head–on Before financial problems can be solved, they need to be fully understood. Since in–depth quantitative modeling techniques are a powerful tool to understanding the drivers associated with financial problems, one would need a solid grasp of these techniques before being...
Wiley, 2014. — 352 p.
Learn how quantitative models can help fight client problems head-on
Before financial problems can be solved, they need to be fully understood. Since in-depth quantitative modeling techniques are a powerful tool to understanding the drivers associated with financial problems, one would need a solid grasp of these techniques before being able to unlock...
N.-Y.: Wiley, 1998. - 281p.
"The modelling of exotic interest-rate options is such an important and fast-moving area, that the updating of the extremely successful first edition has been eagerly awaited. This edition re-focuses the assessment of various models presented in the first edition, in light of the new developments of modelling imperfect correlation between financial...
Prinston University Press, 2002. — 472 p. The Structure of the LIBOR Market Model . Putting the Modern Pricing Approach in Perspective. The Mathematical and Financial Set-up. Describing the Dynamics of Forward Rates. Characterizing and Valuing Complex LIBOR Products. Determining the No-Arbitrage Drifts of Forward Rates. The Inputs to the General Framework . Instantaneous...
2nd ed. — New York: John Wiley & Sons Ltd, 2004. — 867 p. — ISBN 0470091401, 9780470091401 In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox , Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation –...
N.-Y., John Wiley & Sons Ltd, 1999. - 362 p.
Книга посвящена углублению опционной теории с учётом изменчивости волатильности во времени, коррелированности цен активов и волатильностей, "улыбки волатильности" и её использования в торговле. Рассмотрены вопросы торговли опционами на акции, валюту и процентную ставку (свапционами), а также экзотическими опционами, хеджирования....
Wiley, 2008. – 295 p. – ISBN: 0470997443, 9780470997444 Financial Modelling in Practice: A Concise Guide for Intermediate and Advanced Level is a practical, comprehensive and in-depth guide to financial modelling designed to cover the modelling issues that are relevant to facilitate the construction of robust and readily understandable models. Based on the authors extensive...
New York: Chapman & Hall, 2019. — 249 p. Reproducible Finance with R: Code Flows and Shiny Apps for Portfolio Analysis is a unique introduction to data science for investment management that explores the three major R/finance coding paradigms, emphasizes data visualization, and explains how to build a cohesive suite of functioning Shiny applications. The full source code, asset...
CRC Press, 2010. — 490 p. — ISBN: 9781439856949 While many financial engineering books are available, the statistical aspects behind the implementation of stochastic models used in the field are often overlooked or restricted to a few well-known cases. Statistical Methods for Financial Engineering guides current and future practitioners on implementing the most useful...
N.-Y.: Chapman and Hall/CRC, 2013. - 496p. While many financial engineering books are available, the statistical aspects behind the implementation of stochastic models used in the field are often overlooked or restricted to a few well-known cases. Statistical Methods for Financial Engineering guides current and future practitioners on implementing the most useful stochastic...
Berlin, Springer-Verlag, 2008. - 141p.
Монография посвящена проблеме расчёта цены опционов на облигации (бонды). В качестве основы принимается модель Heath, Jarrow и Morton (HJM), а в качестве математического аппарата - теория случайных полей (а также аппроксимация Эджворта для негауссовских распределений). Для научных работников и аспирантов в области финансовой математики.
McGraw-Hill, 2003. — 206 Pages. — ISBN: 0071413162 Numbers, ratios, and formulas are the lifeblood of the financial markets. Mathematics of the Securities Industry uses straightforward math and examples to explain every key number used on Wall Street, from the calculation of each number to why it is important and how best to use it. Completely up-to-date to include three-day...
CRC Press, 2020. — 322 p. — ISBN: 9780815372547. Introductory Mathematical Analysis for Quantitative Finance is a textbook designed to enable students with little knowledge of mathematical analysis to fully engage with modern quantitative finance. A basic understanding of dimensional Calculus and Linear Algebra is assumed. The exposition of the topics is as concise as possible,...
Society for Industrial and Applied Mathematics, 2009. — 140 p. — ISBN 978-0-898716-67-2. This book introduces the fascinating area of financial mathematics and its calculus in an accessible manner for undergraduate students. Using little high-level mathematics, the author presents the basic methods for evaluating financial options and building financial simulations. List of...
BookBoon, 2010. - 115 pages. Lecture Notes from the Srasbourg Business School. This book is intented to be a technical support for students in finance. It is the reason why it is entitled "Probability for finance". Our purpose is to provide the essentials tools of probability theory useful to understand financial models. Consequently, almost all the examples illustrating...
John Wiley & Sons Inc., 2010. – 104 p. – ISBN: 9788776816667 This book is an extension of Probability for Finance to multi-period financial models, either in the discrete or continuous-time framework. It describes the most important stochastic processes used in finance in a pedagogical way, especially Markov chains, Brownian motion and martingales. It also shows how...
Springer, 2012. - 303 Pages. 2nd edition
The Mathematics of Finance has been a hot topic ever since the discovery of the Black-Scholes option pricing formulas in 1973. Unfortunately, there are very few undergraduate textbooks in this area. This book is specifically written for advanced undergraduate or beginning graduate students in mathematics, finance or economics. This book...
Second Edition, Springer, 2012. - 294 p. ISBN10: 1461435811
The Mathematics of Finance has been a hot topic ever since the discovery of the Black-Scholes option pricing formulas in 1973. Unfortunately, there are very few undergraduate textbooks in this area. This book is specifically written for advanced undergraduate or beginning graduate students in mathematics, finance or...
CRC Press, 2013. — 440 p. — ISBN: 148220715X, 9781482207156 Although portfolio management didn’t change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of...
Cambridge University Press, 2011. - 328 pages. This textbook on the basics of option pricing is accessible to readers with limited mathematical training. It is for both professional traders and undergraduates studying the basics of finance. Assuming no prior knowledge of probability, Sheldon M. Ross offers clear, simple explanations of arbitrage, the Black-Scholes option...
Springer, 2009. — 146 p. Mandelbrot and van Ness (1968) suggested fractional Brownian motion as a parsimonious model for the dynamics of financial price data, which allows for dependence between returns over time. Starting with Rogers(1997) there is an ongoing dispute on the proper usage of fractional Brownian motion in option pricing theory. Problems arise because fractional...
N.-Y.: Cornell University, 2001. - 405p.
Курс лекций для магистратуры по математическим методам в финансах (на английском языке). Включает разделы: "Обзорные сведения о теории вероятностей и статистике", "Доходности", "Моделирование временных рядов", "Формирование портфеля", "Регрессия", "Модель CAPM", "Ценообразование опционов", "Модель GARCH", "Активы с постоянной...
Springer, 2015. — 736 p. The new edition of this influential textbook, geared towards graduate or advanced undergraduate students, teaches the statistics necessary for financial engineering. In doing so, it illustrates concepts using financial markets and economic data, R Labs with real-data exercises, and graphical and analytic methods for modeling and diagnosing modeling errors....
Springer, 2023. — 310 p. The book provides an introduction to advanced topics in stochastic processes and related stochastic analysis, and combines them with a sound presentation of the fundamentals of financial mathematics. It is wide-ranging in content, while at the same time placing much emphasis on good readability, motivation, and explanation of the issues covered....
Springer, 2023. — 310 p. — (Mathematics Study Resources 01). — ISBN 978-3-662-64710-3. The book provides an introduction to advanced topics in stochastic processes and related stochastic analysis, and combines them with a sound presentation of the fundamentals of financial mathematics. It is wide-ranging in content, while at the same time placing much emphasis on good...
John Wiley & Sons Ltd., 2013. — 351 p. — ISBN 1118513452, 9781118513453. The book aims to prioritise what needs mastering and presents the content in the most understandable, concise and pedagogical way illustrated by real market examples. Given the variety and the complexity of the materials the book covers, the author sorts through a vast array of topics in a subjective way,...
1th edition. — Wiley, 2013. —350 pages — ISBN10: 1118513452 The book aims to prioritise what needs mastering and presents the content in the most understandable, concise and pedagogical way illustrated by real market examples. Given the variety and the complexity of the materials the book covers, the author sorts through a vast array of topics in a subjective way, relying upon...
Springer, 2019. — 154 p. — (Undergraduate Texts in Mathematics). — ISBN: 3030254429. This textbook invites the reader to develop a holistic grounding in mathematical finance, where concepts and intuition play as important a role as powerful mathematical tools. Financial interactions are characterized by a vast amount of data and uncertainty; navigating the inherent dangers and...
Wiley, 2022. — 267 p. — ISBN 9781119838425. Математические методы в финансах: введение Explore the foundations of modern finance with this intuitive mathematical guide In Mathematical Techniques in Finance: An Introduction, distinguished finance professional Amir Sadr delivers an essential and practical guide to the mathematical foundations of various areas of finance,...
Wiley, 2022. — 267 p. — ISBN 9781119838425. Математические методы в финансах: введение Explore the foundations of modern finance with this intuitive mathematical guide In Mathematical Techniques in Finance: An Introduction, distinguished finance professional Amir Sadr delivers an essential and practical guide to the mathematical foundations of various areas of finance,...
N.-Y.: Springer, 2014. — 233 p. This book approaches macroprudential oversight from the viewpoint of three tasks. The focus concerns a tight integration of means for risk communication into analytical tools for risk identification and risk assessment. Generally, this book explores approaches for representing complex data concerning financial entities on low-dimensional displays....
Springer, 2008. — 420 p. — ISBN: 3540695311, 9783540695325 This book highlights recent developments in mathematical control theory and its applications to finance. It presents a collection of original contributions by distinguished scholars, addressing a large spectrum of problems and techniques. Control theory provides a large set of theoretical and computational tools with...
Wiley, 2021. — 228 p. — ISBN 111954078X. Scripting of derivatives transactions has been a central piece of financial software since the 1990s. Most derivatives valuation and risk systems, either in-house or from external vendors, feature scripting technology. Yet, the expertise in this field remains unwritten to date, without any dedicated article or publication. This volume...
Wiley, 2021. — 228 p. — ISBN 111954078X. Scripting of derivatives transactions has been a central piece of financial software since the 1990s. Most derivatives valuation and risk systems, either in-house or from external vendors, feature scripting technology. Yet, the expertise in this field remains unwritten to date, without any dedicated article or publication. This volume...
New York: John Wiley & Sons, 2019. — 593 p. Arguably the strongest addition to numerical finance of the past decade, Algorithmic Adjoint Differentiation (AAD) is the technology implemented in modern financial software to produce thousands of accurate risk sensitivities, within seconds, on light hardware. AAD recently became a centerpiece of modern financial systems and a key skill...
Hoboken,John Wiley & Sons, Inc., 2008. - 313p.
Книга посвящена исследованию и математическому моделированию динамики цен на товары и сырьё. Рассмотрены их свойства во времени (цикличность, "долгая память" и пр.), связи меж собой и с инфляцией, методы прогноза и оптимального управления.
Для научных работников и аспирантов в области финансовой математики.
2nd Edition. — John Wiley & Sons, Inc., 2024. — 432 р. — ISBN 978-1394189106. An invaluable guide for fixed income practitioners, fully updated to incorporate the shift from LIBOR to SOFR Since its first edition in 2013, Fixed Income Relative Value Analysis: A Practitioner’s Guide to the Theory, Tools, and Trades has become the gold standard for guides linking financial...
2nd Edition. — John Wiley & Sons, Inc., 2024. — 432 р. — ISBN 978-1394189106. An invaluable guide for fixed income practitioners, fully updated to incorporate the shift from LIBOR to SOFR Since its first edition in 2013, Fixed Income Relative Value Analysis: A Practitioner’s Guide to the Theory, Tools, and Trades has become the gold standard for guides linking financial...
2nd Edition. — John Wiley & Sons, Inc., 2024. — 432 р. — ISBN 978-1394189106. An invaluable guide for fixed income practitioners, fully updated to incorporate the shift from LIBOR to SOFR Since its first edition in 2013, Fixed Income Relative Value Analysis: A Practitioner’s Guide to the Theory, Tools, and Trades has become the gold standard for guides linking financial...
CRC Press/Chapman & Hall, 2023. — 268 p. — (Chapman & Hall/CRC The R Series). — ISBN 978-1-032-38933-2. This textbook shows how to bring theoretical concepts from finance and econometrics to the data. Focusing on coding and data analysis with R, we show how to conduct research in empirical finance from scratch. We start by introducing the concepts of tidy data and coding...
Burlington, Elsevier Academic Press, 2005. - 179p.
Краткий курс финансов "для физиков, желающих играть на Уолл-стрит". Включает в себя общее описание финансовых рынков, краткое повторение сведений из теории вероятностей, случайных процессов и анализа временных рядов, рассказ о фракталах, динамических системах и скейлинге применительно к рынкам, сведения об опционном...
Palgrave Macmillan, 2017. — 487 p. — ISBN: 978-0230391062. This book provides thorough coverage of the institutional applications of equity derivatives. It starts with an introduction on stock markets' fundamentals before opening the gate on the world of structured products. Delta-one products and options are covered in detail, providing readers with deep understanding of the...
Wiley, 2003. — 396 p. — ISBN: 978-0-470-84291-1. The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely...
John Wiley & Sons, 2009. — 200 p. — ISBN: 978-0470743065. This book is an introductory guide to using Lévy processes for credit risk modelling. It covers all types of credit derivatives: from the single name vanillas such as Credit Default Swaps (CDSs) right through to structured credit risk products such as Collateralized Debt Obligations (CDOs), Constant Proportion Portfolio...
World Scientific Publishing Company, 2019. - 632p. - ASIN: B07R8CL879 This book offers a framework and analysis for the current technological landscape between the United States and China across the financial and insurance sectors as well as emerging technologies such as AI, Blockchain, Cloud and Data Analytics and Quantum Computing (ABCDQ). Based on original lecture slides...
World Scientific Publishing Company, 2019. — 691 p. — ISBN 9789811203893. This book offers a framework and analysis for the current technological landscape between the United States and China across the financial and insurance sectors as well as emerging technologies such as AI, Blockchain, Cloud and Data Analytics and Quantum Computing (ABCDQ). Based on original lecture slides...
World Scientific, 2007. — 304 p. This important book presents nineteen chapters of econometric time series analysis of crude oil, natural gas, and electricity markets. The economic structure of the energy markets is rapidly evolving, with the electric markets in many countries being deregulated. In Canada the prices and quantity supplied of electricity in the provinces of Ontario...
Chapman and Hall/CRC, 2017. — 386 p. — ISBN: 978-1138198371. This book provides an introduction to the use of statistical concepts and methods to model and analyze financial data. The ten chapters of the book fall naturally into three sections. Chapters 1 to 3 cover some basic concepts of finance, focusing on the properties of returns on an asset. Chapters 4 through 6 cover...
N.-Y.: John Wiley & Sons. Inc, 2001. — 417 p.
В работе делается попытка построить теорию вероятностей, опираясь не на теорию меры, а на теорию игр. Затем, опираясь на теорию игр, предпринимается попытка построить аппарат финансовой математики.
Для специалистов по теории вероятностей, особенно по её основаниям, и по финансовой математике.
BG Consulting, 2015. — 192 p. A comprehensive but succinct step-by-step guide to building a financial forecast model in Excel. All the steps are fully explained with screenshots from a case model which can be downloaded online and used to practice as you work through the manual. The manual contains additional chapters focussing on circularity in models and how to troubleshoot...
World Scientific, 2014. — 208 p. — ISBN: 978-981-4571-64-7. Recent Advances in Financial Engineering 2012 is the Proceedings of the International Workshop on Finance 2012, which was held at the University of Tokyo on October 30 and 31, 2012. This workshop was organized by the Center for Advanced Research in Finance (Carf), Graduate School of Economics, the University of Tokyo,...
World Scientific Pub Co Inc., 1999. — 852 p. — ISBN: 9810236050. This text provides information for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty. It introduces the reader to the main concepts, notions and results of stochastic financial mathematics, and develops applications of these results to various kinds...
World Scientific Pub Co Inc – 1999, 852 pages
ISBN: 9810236050, 9789810236052
This text provides information for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty. It introduces the reader to the main concepts, notions and results of stochastic financial mathematics, and develops applications of these results to...
Springer, 2006. — 371 p. Stochastic financial mathematics is now one of the most rapidly developing fields of mathematics and applied mathematics. It has very close ties with economics and is oriented to the solution of problems appearing every day in real financial markets. The aims formulated in this text were the leading ideas for our conference. Indeed, all talks had, first...
Springer – 2004, 571 pages.
ISBN: 0387401016, 9780387401010.
Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance. The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both...
Springer, 2004. — 570 p. — ISBN 0387401016, 9780387401010. A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. In summary, this is a well-written text that treats the key classical models of finance through an applied probability approach... It should serve as an excellent introduction for anyone studying...
N.-Y.: Wiley, 2005. - 208p.
Praise for Credit Risk Scorecards"Scorecard development is important to retail financial services in terms of credit risk management, Basel II compliance, and marketing of credit products. Credit Risk Scorecards provides insight into professional practices in different stages of credit scorecard development, such as model building, validation, and...
N.-Y.: Wiley, 2015. - 368p. A highly-detailed, practical analysis of fixed income management The Advanced Fixed Income and Derivatives Management Guide provides a completely novel framework for analysis of fixed income securities and portfolio management, with over 700 useful equations. The most detailed analysis of inflation linked and corporate securities and bond options...
Business Expert Press, 2018. - 150p. - ISBN: 978-1948976947 The book will help readers dive deep into the vocabulary and the syntax, the art and science of financial modeling and valuation. To use a cliché, we live in a volatile uncertain complex and ambiguous (VUCA) world. Organizations simply cannot afford to try out new strategies in reality and correct mistakes, once they’ve...
Business Expert Press, 2018. - 150p. - ISBN: 978-1948976947 The book will help readers dive deep into the vocabulary and the syntax, the art and science of financial modeling and valuation. To use a cliché, we live in a volatile uncertain complex and ambiguous (VUCA) world. Organizations simply cannot afford to try out new strategies in reality and correct mistakes, once they’ve...
World Scientific, 2017. — 228 p. CVA, DVA, and FVA, which are the acronyms for credit, debit, and funding valuation adjustments, have become widely used by major banks since the financial crisis. This book aims to bridge the gap between the highly complex and mathematical models used by these banks to adjust the value of debt securities and interest rate derivatives, and the end...
Wydanie V poprawione. — Warszawa: Placet, 2006. — 358 s. — ISBN: 83-85428-13-5. — (in Polish). Zapoczątkowane na przełomie lat osiemdziesiątych i dziewięćdziesiątych przeobrażenia w gospodarce polskiej wywołały duże zapotrzebowanie na wiedzę niezbędną przy podejmowaniu optymalnych decyzji w warunkach skomplikowanego mechanizmu rynkowego. Na rozwiniętych rynkach o szansach...
Springer, 2006. — 138 p. The notes are based on courses offered regularly to graduate students in economics and mathematics at the University of Bonn choosing financial economics as special topic. To students interested in finance the course opens a quick (but by no means dirty) road to the tools required for advanced finance. One can start the course with what they know about...
World Scientific, 2017. - 224p. - ISBN: 9813202475 This book provides simple introduction to quantitative finance for students and junior quants who want to approach the typical industry problems with practical but rigorous ambition. It shows a simple link between theoretical technicalities and practical solutions. Mathematical aspects are discussed from a practitioner...
World Scientific, 2017. — 223 p. — ISBN: 9789813202474. This book provides simple introduction to quantitative finance for students and junior quants who want to approach the typical industry problems with practical but rigorous ambition. It shows a simple link between theoretical technicalities and practical solutions. Mathematical aspects are discussed from a practitioner...
Palgrave Macmillan, 2012. — 253 p. — ASIN B008ZP2K9Q. Providing the most up-to-date tools and techniques for pricing interest rate and credit products for the new financial world, this book discusses pricing and hedging, funding and regulation, and interpretation, as an essential resource for quantitatively minded practitioners and researchers in finance.
Springer, 2001. — 302 p. This book is designed for students who want to develop professional skill in stochastic calculus and its application to problems in finance. The Wharton School course that forms the basis for this book is designed for energetic students who have had some experience with probability and statistics but have not had ad vanced courses in stochastic...
FE press, 2013. — 220 p. The second edition of the book contains over 170 questions and includes new questions that became popular since the first edition of the book was published. Topics: Mathematics, calculus, differential equations Covariance and correlation matrices. Linear algebra Financial instruments: options, bonds, swaps, forwards, futures C++, algorithms, data...
Wiltshire: Pearson Education, 1999. — 417 p. — ISBN: 0-273-62587-X. ACI Education (formerly The ACI Institute) is the educational division of ACI – the Financial Markets Association, the primary international professional body for the international financial markets, founded in 1955 and now represented in 59 countries internationally with over 24,000 members. The task of ACI...
Wiley, 2012. — 432 p. — ISBN: 0470710586, 9780470710586
Mathematical finance has grown into a huge area of research which requires a lot of care and a large number of sophisticated mathematical tools. Mathematically rigorous and yet accessible to advanced level practitioners and mathematicians alike, it considers various aspects of the application of statistical methods in...
Wiley, 2008. – 410 p. – ISBN: 0470233311, 9780470233313 Now, it is easier than ever before to understand complex mathematical concepts and formulas and how they relate to real-world business situations. All you have to do it apply the handy information you will find in Business Math For Dummies. Featuring practical practice problems to help you expand your skills, this book...
First published 2005. Probability. Conditional probability and independence. Random variables. Random vectors. Transformations of random variables. Expectation and moments. Conditioning. Generating functions. Multivariate normal. Introduction to stochastic processes. Preamble. Essential examples; random walks. The long run. Martingales. Poisson processes. Renewals. Branching...
Springer, 2012. — 263 p. — ISBN: 978-0387714172. This book is written for quantitative finance professionals, students, educators, and mathematically inclined individual investors. It is about some of the latest developments in pricing, hedging, and investing in incomplete markets. With regard to pricing, two frameworks are fully elaborated: neutral and indifference pricing....
Springer, 2019. — 106 p. — ISBN: 3658256907. Josef Anton Strini analyzes a special stochastic optimal control problem. The problem under study arose from a dynamic cash management model in finance, where decisions about the dividend and financing policies of a firm have to be made. Additionally, using the dynamic programming approach, he extends the present discourse by the...
Booz Allen Hamilton, 2017. — 304 p. — ISBN: 1610397886. The most powerful weapon in business today is the alliance between the mathematical smarts of machines and the imaginative human intellect of great leaders. Together they make the mathematical corporation, the business model of the future. We are at a once-in-a-decade breaking point similar to the quality revolution of the...
2nd ed. – Elsevier, 2008. – 311 p.
ISBN–13: 978-0-7506-8647-1.
Рассматривается версия MS Excel 2007.
The overall structure of this book reflects the modelling process: we begin by considering how model purpose can dictate model structure, followed by an exploration of various layouts which are designed in consultation with the users or model sponsors. This then leads into...
Boca Raton: CRC Press/Chapman & Hall, 2022. — 305 p. Stochastic Modelling of Big Data in Finance provides a rigorous overview and exploration of stochastic modelling of big data in finance (BDF). The book describes various stochastic models, including multivariate models, to deal with big data in finance. This includes data in high-frequency and algorithmic trading,...
CRC Press/Chapman & Hall, 2022-11-08. — 280 p. — ISBN-13: 978-1-003-26598-6. Stochastic Modelling of Big Data in Finance provides a rigorous overview and exploration of stochastic modelling of big data in finance (BDF). The book describes various stochastic models, including multivariate models, to deal with big data in finance. This includes data in high-frequency and...
CRC Press/Chapman & Hall, 2022-11-08. — 280 p. — ISBN-13: 978-1-003-26598-6. Stochastic Modelling of Big Data in Finance provides a rigorous overview and exploration of stochastic modelling of big data in finance (BDF). The book describes various stochastic models, including multivariate models, to deal with big data in finance. This includes data in high-frequency and...
CRC Press/Chapman & Hall, 2022-11-08. — 280 p. — ISBN-13: 978-1-003-26598-6. Stochastic Modelling of Big Data in Finance provides a rigorous overview and exploration of stochastic modelling of big data in finance (BDF). The book describes various stochastic models, including multivariate models, to deal with big data in finance. This includes data in high-frequency and...
New York: John Wiley & Sons, 1997. — 515 p. Dynamic Hedging is the definitive source on derivatives risk. It provides a real-world methodology for managing portfolios containing any nonlinear security. It presents risks from the vantage point of the option market maker and arbitrage operator. The only book about derivatives risk written by an experienced trader with theoretical...
N.Y.: John Wiley & Sons, 1996. — 515 p. This book is about hedging the risks of standard and exotic options, as part of the larger framework of risk management. No road map was available since little has been written on this subject (in contrast to the extensive literature for valuation). ‘‘Dynamic hedging’’ is more like medicine than biology. It is learned by gaining practical...
New York: STEM Academic Press, 2020. — 443 p. The book investigates the misapplication of conventional statistical techniques to fat tailed distributions and looks for remedies, when possible. Switching from thin tailed to fat tailed distributions requires more than “changing the color of the dress.” Traditional asymptotics deal mainly with either n=1 or n=∞, and the real world...
WSPC, 2007. — 520 p. — ISBN: 978-9813203228. This book addresses selected practical applications and recent developments in the areas of quantitative financial modeling in derivatives instruments, some of which are from the authors' own research and practice. It is written from the viewpoint of financial engineers or practitioners, and, as such, it puts more emphasis on the...
Chapman and Hall/CRC, 2007. — 384 p. — ISBN: 1584885912, 9781584885917 Until now, few systematic studies of optimal statistical inference for stochastic processes had existed in the financial engineering literature, even though this idea is fundamental to the field. Balancing statistical theory with data analysis, Optimal Statistical Inference in Financial Engineering examines...
Springer, 2014. — 125 p. — ISBN: 3319034960, 9783319034966
This monograph provides the fundamentals of statistical inference for financial engineering and covers some selected methods suitable for analyzing financial time series data. In order to describe the actual financial data, various stochastic processes, e.g. non-Gaussian linear processes, non-linear processes,...
Chapman and Hall/CRC, 2017. — 388 p. — ISBN: 978-1466505605. The composition of portfolios is one of the most fundamental and important methods in financial engineering, used to control the risk of investments. This book provides a comprehensive overview of statistical inference for portfolios and their various applications. A variety of asset processes are introduced,...
N.-Y.: Springer, 1998.- 341p. Applied Stochastic Models and Control for Finance and Insurance presents at an introductory level some essential stochastic models applied in economics, finance and insurance. Markov chains, random walks, stochastic differential equations and other stochastic processes are used throughout the book and systematically applied to economic and...
Hoboken: Wiley, 2000. — 309 p. As financial modelling becomes more complicated and deeply dependent upon mathematics, computational finance has become an increasingly popular discipline. This book covers both theoretical and practical aspects, presenting a quantitative approach to risk management. It encompasses the algorithmic and numerical procedures that form the backbone of...
John Wiley & Sons, Inc., 2002. – 304 pages.
This book is designed as a graduate textbook in financial engineering. It was motivated by the need to present the main techniques used in quantitative pricing in a single source adequate for Master level students. Students are expected to have some background in algebra, elementary statistics, calculus, and elementary techniques of...
Profile Books, 2003. - 260 pages. The Numbers Guide, now in its fifth edition, is aimed at managers who have budgetary, planning or forecasting responsibilities and is invaluable for everyone who wants to be competent, and able to communicate effectively, with numbers. There are chapters on Key Concepts * Finance and investment * Measures for interpretation and analysis...
6 edition. — The Economist, 2014 — 220 p. — ISBN10: 1610393953, ISBN13: 978-1610393959. The Economist: Numbers Guide is invaluable for everyone who has to work with numbers, which in today's commercially focused world means most managers. In addition to general advice on basic numeracy, the guide points out common errors and explains the recognized techniques for solving...
Philadelphia: SIAM, 2002. - 263p. Tremendous growth in the credit industry has spurred the need for Credit Scoring and Its Applications, the only book that details the mathematical models that help creditors make intelligent credit risk decisions. Creditors of all types make risk decisions every day, often haphazardly. This book addresses the two basic types of decisions and...
Academic Press, 2018. — 596 p. — ISBN: 978-0-12-801580-3. This book lays a foundation of intuitive analysis of financial concepts early in the course, followed by a more detailed and nuanced treatment in later chapters. It introduces major financial concepts through real situations, integrates active learning, student focused explorations and examples with Excel spreadsheets...
McGraw-Hill Professional, 2004. — 353 p. Financial modeling is essential for determining a company's current value and projecting its future performance, yet few books explain how to build models for accurately interpreting financial statements. Building Financial Models is the first book to correct this oversight, unveiling a step-by-step process for creating a core model and...
3rd edition. — McGraw-Hill Education, 2021. — 432 p. — ISBN 978-1-26-010883-5. The go-to-guide for building projection models for financial analysis and valuation—updated with new content and materials Building Financial Models is considered the best guide to designing and building financial models for use in a wide variety of finance roles. This third edition of the popular...
John Wiley & Sons, 1999. — 668 p. This book is designed for a beginning or an intermediate graduate course in stochastic modelling. It is intended for a serious student in probability theory, statistics, actuarial sciences or financial mathematics. The overall objective is to make the basic concepts of stochastic modelling and insurance accessible to students and research...
Chichester, John Wiley & Sons Ltd, 2005. - 379p. Книга посвящена расчёту стоимости сложных (включающих в себя несколько активов, опционы разных типов, включая экзотические и т.п.) финансовых инструментов, используя метод конечных элементов. Предназначена для математиков финансовых компаний, связанных с разработкой новых финансовых инструментов ("финансовых инженеров"), а также...
Imperial College Press, 2013. — 200 p. — ISBN: 978-1-9089-7738-0. This book is an elementary introduction to the basic concepts of financial mathematics with a central focus on discrete models and an aim to demonstrate simple but widely used financial derivatives for managing market risks. Only a basic knowledge of probability, real analysis, ordinary differential equations,...
Wiley, 2021. — 256 p. — ISBN 1119609615. Stress-test financial models and price credit instruments with confidence and efficiency using the perturbation approach taught in this expert volume Perturbation Methods in Credit Derivatives: Strategies for Efficient Risk Management offers an incisive examination of a new approach to pricing credit-contingent financial instruments....
Cambridge University Press, 2023. — 252 p. — ISBN 978-1-009-04894-1. Stochastic Finance provides an introduction to mathematical finance that is unparalleled in its accessibility. Through classroom testing, the authors have identified common pain points for students, and their approach takes great care to help the reader to overcome these difficulties and to foster...
London: Imperial College Press, 2008. — 314 p. Although there are several publications on similar subjects, this book mainly focuses on pricing of options and bridges the gap between Mathematical Finance and Numerical Methodologies. The author collects the key contributions of several monographs and selected literature, values and displays their importance, and composes them...
N.Y.: Wiley, 2015. — 224 p. A unique, in-depth guide to options pricing and valuing their greeks, along with a four dimensional approach towards the impact of changing market circumstances on options How to Calculate Options Prices and Their Greeks is the only book of its kind, showing you how to value options and the greeks according to the Black Scholes model but also how to...
Wiley, 2008. — 494 p. — (Mathematical Association of America Textbooks). — ISBN: 0883857545 Mathematical Interest Theory gives an introduction of how investments grow over time. This is done in a mathematically precise manner. The emphasis is on practical applications that give the reader a concrete understanding of why the various relationships should be true. Among the modern...
3rd Edition. — Reactive Publishing, 2023-12-04. — 181 р. — ASIN: B0CPHYXXDZ. As the world of finance grows ever more complex, accurate forecasting has become paramount for any professional hoping to succeed in the field. "Financial Modelling with Calculus: Predictive Models in Economics" opens the door to the future of economic prediction, offering an unparalleled glance at the...
3rd Edition. — Reactive Publishing, 2023-12-04. — 181 р. — ASIN: B0CPHYXXDZ. As the world of finance grows ever more complex, accurate forecasting has become paramount for any professional hoping to succeed in the field. "Financial Modelling with Calculus: Predictive Models in Economics" opens the door to the future of economic prediction, offering an unparalleled glance at the...
3rd Edition. — Reactive Publishing, 2023-12-04. — 181 р. — ASIN: B0CPHYXXDZ. As the world of finance grows ever more complex, accurate forecasting has become paramount for any professional hoping to succeed in the field. "Financial Modelling with Calculus: Predictive Models in Economics" opens the door to the future of economic prediction, offering an unparalleled glance at the...
Reactive Publishing, 2023. — 234 p. Quantum Finance: Merging Quantum Computing with Financial Strategies by Reactive Publishing Unlock the Future of Finance with Quantum Prowess Discover the revolutionary interface of technology and finance in 'Quantum Finance: Merging Quantum Computing with Financial Strategies' – your essential guide to the next big leap in financial analysis...
Unpublished, 2010. — 140 p. Measure Theory Discrete Time Martingales Discrete Time Option Pricing Continuous Time Martingales Stochastic Integrals Stochastic Calculus Stochastic Differential Equations Option Pricing in Continuous Time
Springer, 1993. — 480 p. — ISBN: 9781475722833, 9781475722819 Mathematica is a computer program (software) for doing symbolic, numeric and graphical analysis of mathematical problems. In the hands of economists, financial analysts and other professionals in econometrics and the quantitative sector of economic and financial modeling, it can be an invaluable tool for modeling and...
N.-Y.: CRC Press, 2011. — 339 p.
This book is based on lecture notes from stochastic finance courses I have been teaching at Columbia University for almost a decade. The students of these courses – graduate students, Wall Street professionals, and aspiring quants – has had a significant impact on this text and on my teaching since they have firsthand feedback from the dynamic...
Springer, 2023. — 331 p. — (Understanding Complex Systems). — ISBN 978-3-031-15293-1. This book presents frontier research on the use of computational methods to model complex interactions in economics and finance. Artificial Intelligence, Machine Learning and simulations offer effective means of analyzing and learning from large as well as new types of data. These...
Springer, 2023. — 331 p. — (Understanding Complex Systems). — ISBN 978-3-031-15293-1. This book presents frontier research on the use of computational methods to model complex interactions in economics and finance. Artificial Intelligence, Machine Learning and simulations offer effective means of analyzing and learning from large as well as new types of data. These...
Hoboken, John Wiley & Sons, Inc., 2005. - 316p.
Монография посвящена теме риска падения стоимости портфеля активов и методам прогнозирования этого риска. Даётся обзор моделей поведения рынка и теорий риск-менеджмента, а также мер по хеджированию портфеля опционами и фьючерсами с учётом возможных резких движений цены, рассматриваются условия, при которых эти подходы не работают,...
Berlin, Springer-Verlag, 2005. - 385p.
Книга посвящена анализу финансовых процессов и инструментов, используя аппарат статистической физики. В первой главе объясняется необходимость такого употребления физики, во второй излагаются необходимые сведения из финансовой теории, третья посвящена описанию случайного блуждания и его появления в физике и финансах, четвёртая сообщает...
Springer, 2020. — 102 p. — ISBN: 9811595577. This book contains mostly the author’s up-to-date research results in the area. Option pricing has attracted much attention in the past decade from applied mathematicians, statisticians, practitioners and educators. Many partial differential equation-based theoretical models have been developed for valuing various options. These...
Academic Press, 2012. — 625 p. — ISBN: 0124158757, 9780124158757
It is widely acknowledged that many financial modelling techniques failed during the financial crisis, and in our post-crisis environment many techniques are being reconsidered. This single volume provides a guide to lessons learned for practitioners and a reference for academics. Including reviews of traditional...
New York: Chapman and Hall/CRC, 2022. — 305 p. Introducing Financial Mathematics: Theory, Binomial Models, and Applications seeks to replace existing books with a rigorous stand-alone text that covers fewer examples in greater detail with more proofs. The book uses the fundamental theorem of asset pricing as an introduction to linear algebra and convex analysis. It also...
CRC Press, 2020. - 394p. - ISBN: 0367253089. Financial Mathematics for Actuarial Science: The Theory of Interest is concerned with the measurement of interest and the various ways interest affects what is often called the time value of money (TVM). Interest is most simply defined as the compensation that a borrower pays to a lender for the use of capital. The goal of this book...
Springer, 2006. — 150 p. — ISBN: 0821839039
The modern subject of mathematical finance has undergone considerable development, both in theory and practice, since the seminal work of Black and Scholes appeared a third of a century ago. This book is intended as an introduction to some elements of the theory that will enable students and researchers to go on to read more advanced...
Wiley, 2009. – 624 p. – 2nd ed. – ISBN: 0470748753, 9780470748756 Getting agreement between finance theory and finance practice is important like never before. In the last decade the derivatives business has grown to a staggering size, such that the outstanding notional of all contracts is now many multiples of the underlying world economy. No longer are derivatives for helping...
Cambridge, Press Syndicate of the University of Cambrodge, 1995. - 338p.
Книга посвящена методам оценки стоимости деривативов и другим связанным с деривативами вопросам, и включает в себя теорию обыкновенных ("ванильных") опционов европейского и американского стиля, численные методы расчёта их стоимости, теорию экзотических опционов и методы расчёта, деривативы на процентную...
Cambridge University Press, 1995. — 329 p. — ISBN: 0521497892, 9780521497893.
OCR.
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...
John Wiley & Sons, 2017. — 264 p. The Money Formula takes you inside the engine room of the global economy to explore the little-understood world of quantitative finance, and show how the future of our economy rests on the backs of this all-but-impenetrable industry. Written not from a post-crisis perspective – but from a preventative point of view – this book traces the...
2nd edition. — John Wiley & Sons Ltd, 2006. — 1401 p. Paul Wilmott on Quantitative Finance, Second Edition provides a thoroughly updated look at derivatives and financial engineering, published in three volumes. Volume 1: Mathematical and Financial Foundations; Basic Theory of Derivatives; Risk and Return. The reader is introduced to the fundamental mathematical tools and...
N.-Y., John Wiley&sons, 2000. — 234 p.
Книга посвящена прогнозированию временных рядов на основе метода ядерной регрессии, оцениванию таких моделей с высокой вычислительной производительностью, а также построению систем торговли ценными бумагами на основе этого прогноза.
Для изучающих математические методы трейдинга и экономического прогнозирования.
2nd ed. — Springer, 2015. — 204 p. — (Springer Texts in Business and Economics). — ISBN: 9783319198118, 9783319198125. This textbook first introduces the reader to return measurement and then goes on to compare the time-weighted rate of return (TWR) with the money-weighted rate of return (MWR). To emphasize the importance of risk in conjunction with return, different tracking...
2nd ed. — CRC Press, 2019. — 518 p. — ISBN: 0815378912. Containing many results that are new, or which exist only in recent research articles, Interest Rate Modeling: Theory and Practice, 2nd Edition portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. It introduces all models with financial-economical...
N.Y.: Chapman and Hall/CRC, 2009. — 353 p. Containing many results that are new or exist only in recent research articles, Interest Rate Modeling: Theory and Practice portrays the theory of interest rate modeling as a three-dimensional object of finance, mathematics, and computation. It introduces all models with financial-economical justifications, develops options along the...
3rd Edition. — CRC Press, 2024. — 436 p. — (Chapman and Hall/CRC Financial Mathematics Series). — ISBN: 978-1-032-48444-0. Containing many results that are new, or which exist only in recent research articles, this thoroughly revised third edition of Interest Rate Modeling: Theory and Practice, Third Edition portrays the theory of interest rate modeling as a three-dimensional...
2nd edition. — John Wiley & Sons, 2017. — 472 p. — (The Wiley Finance Series). — ISBN10: 1118471067; ISBN13: 978-1118471067. An academic, yet practical approach to the latest FX market developments FX Options and Structured Products provides new insights into the FX Options market post-crisis, straddling the realms of both academics and practitioners. Products are explained in...
Springer, 2018. — 406 p. — ISBN: 9811316562. This book gives a systematic introduction to the basic theory of financial mathematics, with an emphasis on applications of martingale methods in pricing and hedging of contingent claims, interest rate term structure models, and expected utility maximization problems. The general theory of static risk measures, basic concepts and...
Springer, 2018. — 406 p. — ISBN: 9811316562. This book gives a systematic introduction to the basic theory of financial mathematics, with an emphasis on applications of martingale methods in pricing and hedging of contingent claims, interest rate term structure models, and expected utility maximization problems. The general theory of static risk measures, basic concepts and...
World Scientific Pub Co Inc – 2002, 286 pages ISBN: 9810247974, 978-810247973 An exploration of developments in mathematical finance. It constitutes the proceedings of the International Conference on Mathematical Finance held in Shanghai in May 2001. The papers deal with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive...
Springer, 2008. - 80 pages.
Considering the stupendous gain in importance, in the banking and insurance industries since the early 1990s, of mathematical methodology, especially probabilistic methodology, it was a very natural idea for the French "Académie des Sciences" to propose a series of public lectures, accessible to an educated audience, to promote a wider understanding...
Springer, 2001 (the book was reprinted in 2013). — 217 p. — ISBN: 978-3-540-65943-3. Series: Springer Finance / Springer Finance Lecture Notes. This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 and 1998. Throughout the volume, connections with more recent studies involving...
Springer, 2018. — 134 p. — (Quantitative Methods in the Humanities and Social Sciences). —ISBN: 9783319741000, EISBN 9783319741017. This book summarizes recent advances in applying saddlepoint approximation methods to financial engineering. It addresses pricing exotic financial derivatives and calculating risk contributions to Value-at-Risk and Expected Shortfall in credit...
Springer, 2013. — 300 p. — ISBN: 978-1461460701. Weather derivatives are financial instruments that can be used by organizations or individuals as part of a risk management strategy to minimize risk associated with adverse or unexpected weather conditions. Just as traditional contingent claims, a weather derivative has an underlying measure, such as: rainfall, wind, snow or...
Cambridge University Press, 2015. — 169 p. — ISBN: 978-0521175692. This volume in the Mastering Mathematical Finance series strikes just the right balance between mathematical rigour and practical application. Existing books on the challenging subject of stochastic interest rate models are often too advanced for Master's students or fail to include practical examples....
Springer, 2023. — 237 p. — (Financial Mathematics and FinTech). — ISBN 9789819923663. This book is the documentary of the Second International Forum on Financial Mathematics and Financial Technology, with focus on selected aspects of the current and upcoming trends in FinTech. In detail, the included scientific papers cover financial mathematics and FinTech, presenting the...
Springer, 2021. — 246 p. — ISBN 9789811583728. This book contains high-quality papers presented at the First International Forum on Financial Mathematics and Financial Technology. With the rapid development of FinTech, the in-depth integration between mathematics, finance and advanced technology is the general trend. This book focuses on selected aspects of the current and...
Springer, 2000. — 174 p. This book provides a comprehensive, up-to-date treatment of the application of Fourier analyses to pricing standard and exotic options, and discusses three different factors: stochastic volatility, stochastic interest rate and random jump. The modeling of volatility and interest rate falls into four different alternatives: constant, mean-reverting...
Springer, 2021. — 296 p. — ISBN 9783030636425. This book introduces physics students to concepts and methods of finance. Despite being perceived as quite distant from physics, finance shares a number of common methods and ideas, usually related to noise and uncertainties. Juxtaposing the key methods to applications in both physics and finance articulates both differences and...
Springer, 2021. — 226 p. — ISBN 1786306697. This book is entirely devoted to discrete time and provides a detailed introduction to the construction of the rigorous mathematical tools required for the evaluation of options in financial markets. Both theoretical and practical aspects are explored through multiple examples and exercises, for which complete solutions are provided....
Springer, 2008. — 497 p. — (Springer Optimization and Its Applications, Vol. 18). — ISBN: 0387766812, 9780387766829 Over the past decade the financial and business environments have undergone significant changes. During the same period several advances have been made within the field of financial engineering, involving both the methodological tools as well as the application...
Chapman and Hall/CRC, 2024. — 184 р. — (Chapman and Hall/CRC Financial Mathematics Series). — ISBN: 978‑1‑032‑68723‑0. A Technical Guide to Mathematical Finance covers those foundational mathematical topics most important to an aspiring or professional quant. The text goes beyond a simple recitation of methods and aims to impart a genuine understanding of the fundamental...
Алматы: Экономика, 2013. — 208 б. Оқу құралы қаржы есеп-айырысу операцияларына толық түсінік ұсына отырып, олардың тиімді тəсілдерін көрсетіп жəне қаржылық шешімдерді жүзеге асыру жолдары жайлы жанжақты мағлұмат береді. Сонымен қатар инвестициялық жобалардың тиімділігін арттырудың тəсілдерін анықтау, төлем жүйелерінің міндеттемелерін қорыту, пайыздарды есептеудің түрлі əдістері...
Основные понятия финансовой математики Однопериодические модели Моделирование полных рынков. Неполные рынки. Триномиальная модель Многопериодические модели Биномиальная модель. Опционы американского типа. Экзотические опционы. Модели с привлечением капитала извне. Акции с дивидендами. Подбор параметров биномиальной модели.
Москва, 2005. Серия брошюр "Математика для нематематиков" составлена на основе известного учебного пособия М. К. Потапова, В. В. Александрова и П. И. Пасиченко "Алгебра, тригонометрия и элементарные функции" и предназначена для желающих поступить в ВУЗ на нематематические специальности. Начинается серия с брошюры "Натуральные, целые, рациональные числа и их применение в...
Пособие для поступающих на экономический факультет МГУ - 3-е изд., испр., перераб., М.: МАКС Пресс, 2006, 80 с
Содержание по главам:
Основные принципы решения экономико-математических задач на проценты и доли
Средние величины в экономике
Банковские проценты
Номинальные и реальные величины
Ответы к задачам и тестам для самостоятельного решения
Учебное пособие. — Екатеринбург: Уральский федеральный университет им. первого Президента России Б.Н. Ельцина (УрФУ), 2019. — 108 с. — ISBN: 978-5-7996-2637-2. Пособие подготовлено на основании опыта чтения лекций и ведения практических занятий по моделям финансовой математики. Используется подход, основанный на понятиях теории вероятности. Приводятся примеры и упражнения для...
Математика мамандықтарының студенттеріне арналған оқу құралы. — Павлодар: Кереку, 2011 . — 124 б. Инвестицияларды талдау негіздерінде математиканың келесі тараулары: арифметикалық және геометриялық прогрессиялар, жай және күрделі пайыздар, туындылар мен интегралдар, матрицалар мен ықтималдықтар теориясы және математикалық статистика қолданылатыны көрсетіледі.Оқу құралында қаржы...
Алматы: Бастау, 2010. — 256 б. — ISBN: 978-601-7275-01-3. Қаржы-экономикалық есептеулердің жалпы жағдайын оқып үйренуге арналған, қазақ тілінде алғаш рет Республика деңгейінде “Қаржылық математика MS Excel-де” атпен жазылған оқу құралы. Түсінікті тілде, рет-ретімен, қарапайым пайыздық есептеулерден бастап, маңызды қаржы-экономикалық есептеулер ж<ргізуге арналған модельдердің...
Под ред. Бабешко Л. О, М: Финакадемия, 2008 - 192.
Учебно-методическое пособие по курсу финансового моделирования, рассматриваемые вопросы:
- методы и модели финансовой математики.
- анализ потоков платежей.
- модели оценки инструментов финансового рынка.
- модели формирования оптимального портфеля ценных бумаг.
- равновесие на конкурентном финансовом рынке.
В пособие также...
Хабаровск : РИЦ ХГАЭП, 2009. — 92 с. В настоящее время при переходе к рыночной экономике всё возрастающую роль в экономической жизни государства играет страховое дело. В странах с развитой экономикой западного типа страхование давно переросло рамки обычного дела, бизнеса и к настоящему времени представляет собой основу инфраструктуры, главный стабилизирующий фактор экономики....
Учебное пособие / Уфа: Уфимск. гос. акад. экон. и сервиса, 2009.
Содержание.
Простые проценты.
Основные понятия кредитной операции.
Формула по простым процентным ставкам.
Практика расчета процентов для краткосрочных ссуд.
Переменные ставки простых процентов.
Реинвестирование по простым ставкам.
Математическое дисконтирование по простым процентным ставкам.
Проценты...
В данном пособии собраны сведения из финансовой математики, связанные со стохастическими моделями формирования и изменения цен. Они составили основу краткого курса из 7-8 лекций для студентов экономического факультета СПбГУ по специальности "Финансы и кредит".
Практически все сведения взяты из монографии А. Н. Ширяева "Основы стохастической финансовой математики" (том 1, "Факты и...
М.: Инфра-М, 1997. -160 с. Финансовая математика — важный раздел финансового анализа. На основе только школьного курса математики в части 1 вводятся основные понятия теории процентов и дисконтирования, а в части 2 — модели финансовой ренты, потока двусторонних платежей и анализа прибыльности инвестиционных проектов, индексов инфляции и неравенства в распределении семейных...
Саарбрюкен: LAP Lambert Academic Publishing, 2012. — 122 с. Данная монография посвящена получению и реализации алгоритмов решения оптимизационных задач на траекториях, которые являются решениями стохастических дифференциальных уравнений с изменяющимися в случайные марковские моменты времени коэффициентами. Рассмотрены приложения полученных алгоритмов в финансовой математике....
Учебное пособие. — Рубцовск: Рубцовский индустриальный институт, 2014. — 63 с. В учебном пособии в доступной форме раскрыты основные понятия финансовой математики, приведены основные алгоритмы, используемые при решении задач финансового характера. Подробно рассмотрены процессы наращения и дисконтирования, схемы оценки денежных потоков. Изложены некоторые практические приложения...
Тернопіль: 2012. – 192 с. Базові поняття фінансової математики. Проста відсоткова ставка. Складна відсоткова ставка. Фінансові ренти. Ризики фінансових операцій. У посібнику викладено основні розділи фінансової математики і ризику фінансових операцій. Головна увага приділена методам розв’язування задач, а також розгляду основних питань теорії при їх аналізі.
Учебное пособие. — М.: Прометей, 2024. — 112 с. — ISBN 978-5-00172-560-2. В учебном пособии изложены основные положения теоретических и практических занятий по финансовой математике с точки зрения применения табличного редактора Excel к решению задач. Представленный материал обеспечивает преподавание учебной дисциплины «Финансовая математика», основываясь на актуальных и...
Учебное пособие. Тюмень: Издательство Тюменского государственного университета, 2007. 112 с.
Подробно рассмотрены основные понятия финансовых вычислений и методы количественного анализа финансовых операций, предусматривающих как разовые платежи, так и поток платежей.
Разработано в соответствии с учебным планом специальности 06.04 - "Финансы и кредит" и предназначено для...
Київ: Техніка, 2007. — 256 с. Навчальний посібник містить задачі, пов’язані з фінансовим аналізом і фінансовою математикою, що супроводжуються теоретичними відомостями. У задачнику подано розв’язування або вказівки майже до кожної задачі.
Йошкар-Ола: Поволжский государственный технологический университет, 2015. — 52 с. — ISBN: 9785815815810 Курс лекций, практических занятий по дисциплине «Основам финансовой математики» для студентов, обучающихся по профилю «Экспертиза и управление недвижимостью» направления подготовки бакалавров 270800.62 (08.03.01) «Строительство».
Учебное пособие. — Витебск: Витебский государственный университет (ВГУ) имени П.М. Машерова, 2021. — 50 с. Настоящее учебное издание содержит теоретический материал, примеры решения задач и задачи для самостоятельного решения. Оно может использоваться при проведении лабораторных занятий, а также для организации самостоятельной работы студентов. Предназначается для студентов,...
Москва: Гардарики, 2002 г. - 624 с. Учебник «Финансовая математика» посвящен классической финансовой математике. Более точно, детерминированным моделям финансовых операций и процессов. Под детерминированностью понимается полная определенность будущих значении временных и финансовых характеристик изучаемых операций и процессов. Содержание: Базовые элементы финансовых моделей...
Учебник. — 2-е изд. — М.: Физматлит, 2005. — 576 с.
Рассмотрены вопросы классической финансовой математики. Описаны математические методы финансирования операций, схемы этих моделей. Приведены две основные, чаще всего используемые на практике схемы простых и сложных процентов и связанные с ними основные проблемы: оценка доходности финансовых операций, ренты, преобразование и...
Учебник. — 2-е изд. — М.: Физматлит, 2007. — 576 с. Рассмотрены вопросы классической финансовой математики. Описаны математические методы финансирования операций, схемы этих моделей. Приведены две основные, чаще всего используемые на практике схемы простых и сложных процентов и связанные с ними основные проблемы: оценка доходности финансовых операций, ренты, преобразование и...
М.: Гардарики, 2002. — 624 с. Рассмотрены вопросы классической финансовой математики. Описаны математические модели финансовых операций, схемы этих моделей. Приведены две основные, чаще всего используемые на практике схемы простых и сложных процентов, и связанные с этим основные проблемы: оценка доходности финансовых операций, ренты, преобразование и эквивалентность денежных...
Ухта : УГТУ, 2015. — 106 с. — ISBN: 978-5-88179-867-3. Учебное пособие содержит систематизированное изложение основных понятий и методов финансовых вычислений и количественного анализа финансовых операций. Содержание курса охватывает базовые разделы финансовой математики; а также построение плана погашения кредита и финансовый анализ инвестиций. Базовые разделы финансовой...
Пособие подготовлено в соответствии с рабочей программой курса Основы финансовой математики для студентов специальности 061800 Математические методы в экономике. Может использоваться студентами экономических и математических специальностей. Базируется на основных математических и экономических курсах и используется при изучении дисциплин Основы актуарной математики, Анализ...
Учебное пособие. М.: КноРус, 2012.- 272 с. - (Для бакалавров). - ISBN: 978-5-406-01554-4. Написано на основе компетентного подхода в соответствии с программой курса "Финансовая математика" для бакалавров. Предназначено для использования в качестве задачника к учебному пособию тех же авторов "Финансовая математика" для бакалавров. включает в себя около 1000 задач и теоретических...
М.: Инфра-М, 2014. — 480 с. — ISBN: 978-5-16-005134-5. Учебное пособие написано в соответствии с программой курса «Финансовая математика» для магистров. Предназначено для студентов (магистров, специалистов) всех финансовых и экономических специальностей, включая финансы и кредит, бухгалтерский учет, аудит, налоги и налогообложение, страхование, международные экономические...
Учебное пособие. — М.: КноРус, 2015. — 152 с. — (Бакалавриат). — ISBN: 9785406037683. Предназначено для эффективной подготовки студентов к экзамену (зачету) по финансовой математике (основам финансовых вычислений). Будет полезно как при регулярном изучении предмета в течение семестра, так и для подготовки к экзамену (зачету) в условиях дефицита времени. Написано в соответствии...
Учебное пособие. — Краснодар: КубГАУ, 2013. — 135 с. — ISBN: 978-5-94672-707-5. Ориентировано на практическую сторону изучения предмета «Основы финансовых вычислений» в соответствии с федеральным государственным образовательным стандартом высшего профессионального образования третьего поколения по направлению подготовки 080100.62 «Экономика». Книга включает три раздела:...
3-е изд. — СПб.: Высшая школа менеджмента, 2010. — 368 с. — ISBN: 9785992400519. Книга является как основной отдельных курсов по финансовым вычислениям, так и вспомогательным пособием по курсам «Финансы», «Инвестиции», «Финансовый менеджмент», «Корпоративные финансы». В этом отношении она адресована студентам первого высшего образования экономических и управленческих...
Под ред. Бухвалова А. В., С-Пб: ВШМ, 2001 - 315 С.
Финансовые вычисления являются основной составляющей работы аналитика и менеджера, рассматриваемые темы охватывают основные положения финансовой математики:
- простые и сложные проценты.
- расчёт амортизации.
- оценка временной стоимости денег.
- финансовые ренты и приведённая стоимость ренты.
- моделирование кредитных...
М.: МЦНМО, 2010. — 533 c. Теория арбитража — это относительно молодая область финансовой математики, в рамках которой возникают новые вероятностные модели и новые задачи, требующие развития новой техники. Цель этой книги состоит в том, чтобы изложить современную теорию арбитража и описать ее применение к задачам расчета стоимости производных ценных бумаг. Книга написана для...
Москва: МЦНМО, 2008. — 559 c. Теория арбитража — это относительно молодая область финансовой математики, в рамках которой возникают новые вероятностные модели и новые задачи, требующие развития новой техники. Цель этой книги состоит в том, чтобы изложить современную теорию арбитража и описать ее применение к задачам расчета стоимости производных ценных бумаг. Книга написана для...
Навчальний посібник. - К.:Кондор, 2007.-184 с. Посібник присвячений вивченню основних елементів фінансової математики та деяких питань методології економіко-математичного моделювання, зокрема моделюванню економічної безпеки банку, математичній економіці запасів та імітаційному моделюванню. Посібник розрахований на студентів економічних спеціальностей вищих навчальних закладів,...
М.: Прометей, 2016. — 60 с. — ISBN: 978-5-9907452-5-4 Излагается введение в теорию европейских опционов без понятия вероятности на основе простейшей линейной алгебры, этому посвящена вторая часть пособия. В первой части подготовлены необходимые инструменты для перехода к непрерывному времени. Сюда включены также разделы, посвященные неравенству Коши – Буняковского и подходу...
Учебное пособие. — СПб.: СПбГЭУ, 2016. — 63 с. — ISBN: 978-5-7310-3638-2. В учебном пособии кратко изложены основы финансовой математики: сравнение вкладов по формулам простых и сложных процентов, погашение займа, конечная переменная рента, случайная рента, расчёт страховой суммы, формирование портфеля ценных бумаг и др. Приведены необходимые теоретические сведения и типовые...
Учебное пособие. — Краснодар: Краснодарский ЦНТИ — филиал Российского энергетического агентства Минэнерго России, 2021. — 203 с. — ISBN 978-5-91221-482-0. В учебном пособии рассмотрены основные научных и методических основы использования методов финансовых вычислений при расчете процентов, доходности финансово-кредитных операций, анализе потоков платежей в современных...
Учебное пособие для студентов направлений подготовки «Экономика», «Менеджмент», «Прикладная информатика», «Бизнес-информатика», руководителей, аналитиков, научных работников. – Саратов: СГУ имени Н.Г. Чернышевского, 2016. – 97 с. Учебное пособие «Математические методы оптимальных финансовых решений» позволяет повысить качество обучения студентов методике и практике использования...
Учебное пособие для студентов специальности «Прикладная информатика». — Саратов: СГУ, 2011. — 68 с. Студенты ознакомятся с математическими методами финансового анализа рынка ценных бумаг с применением прикладных программ, приемами оценки доходности финансовых операций, способами моделирования типичных финансовых. Основные показатели доходности финансовых активов. Оценка стоимости...
Учебное пособие для СПО. — Саратов: Ай Пи Эр Медиа; Профобразование, 2019. — 60 с. — (Среднее профессиональное образование). — ISBN 978-5-4497-0012-4, ISBN 978-5-4488-0254-6 Любая финансовая операция, инвестиционный проект или коммерческое соглашение предполагают наличие ряда условий их выполнения, с которыми согласны участвующие стороны. В издании содержатся материалы,...
Учебное пособие. — Саратов: СГСЭУ, 2012. — 108 с. Книга позволяет повысить качество обучения студентов методике и практике использования финансово-экономических расчетов при решении конкретных задач. В ней содержатся теоретические и практические материалы, наглядно демонстрирующие, как производить начисления процентов, обобщать характеристики потоков платежей, проводить...
Учебное пособие. — Саратов: СГСЭУ, 2010. — 85 с.
В пособии рассмотрены вопросы, связанные с оценкой финансовых операций, основанные на принципах финансовой математики. Приведены две основные, чаще всего используемые на практике схемы простых и сложных процентов, и связанные с этим основные проблемы: оценка доходности финансовых операции, ренты, преобразование и эквивалентность...
Учебное пособие. — Саратов: Саратовский государственный социально-экономический университет (СГСЭУ), 2010. — 85 с. Одна из главных причин осуществления финансовых вычислений заключается в существовании принципа неравномерности денег, который основан на учете факторов времени. То есть сумма денег, полученная в будущем (допустим, через год), неравноценна той же сумме, поступившей...
Челябинск. Изд-во ЮурГУ, 2006. 80 с.
Курс содержит в подробной форме с примерами систематизированное изложение всех понятий и методов финансовых вычислений и количественного анализа финансовых операций. Содержание курса охватывает: базовые разделы финансовой математики; построение плана погашения кредита; финансовый анализ инвестиций; финансовые расчеты по ценным бумагам. К...
Учеб. пособие. по курсу "Финансовая математика" для студентов, обучающихся по направлениям "Антикризисное управление" и "Менеджмент"- М.: Изд-во МЭИ, 2006. - 76с.
Умение проводить финансовые расчеты необходимо каждому практически работающему экономисту, финансисту, бухгалтеру, менеджеру. Такие задачи, как вычисление стоимости и доходности облигаций, акций, финансовых рент,...
Воронеж: типография Воронежского ЦНТИ – филиала ФГБУ «РЭА» Минэнерго России, 2013. — 185 с. — ISBN: 978-5-4218-0193-1 Учебное пособие содержит последовательное изложение методов количественного анализа, используемых для научного обоснования управленческих решений в финансовой сфере. Представлены математические основы финансового анализа в условиях определенности, когда данные...
Новосибирск : СГУПС, 2014. — 106 с. Содержит теоретический материал по темам дисциплины, примеры решения типовых задач, материалы для самопроверки – контрольные вопросы и задачи, тестовые задания, словарь использованных терминов (глоссарий). Предназначено для бакалавров, обучающихся по направлениям 080100.62 «Экономика» и 080200.62 «Менеджмент» всех форм обучения.
Учебно - метод. пособие/ Чуваш. ун-т, Чебоксары, 2004. 40 c.
Даны описания детерминированных моделей финансовой математики, приведены примеры, лабораторные работы и типовой расчёт.
Для студентов 3 курса метематического и экономического факультетов
Учебное пособие. — Челябинск: Издательский центр ЮУрГУ, 2015. — 33 с. Учебное пособие предназначено для студентов направления подготовки «Экономика» по дисциплине «Финансовая математика»; направления подготовки «Менеджмент» по дисциплине «Финансовая математика». В учебном пособии рассмотрены общетеоретические основы дисциплины, перечень вопросов для проверки знаний по каждому...
М.: Издательский дом «Дело» РАНХиГС, 2016. — 166 с. — (Образовательные инновации). — ISBN: 9785774910861 Книга в доступной форме рассказывает о базовых основах финансовых расчетов. Рассмотренные подходы и методы позволяют грамотно управлять своими финансами для достижения поставленных целей, просчитывая несколько альтернатив и выбирая лучшие. Учебное пособие предназначено для...
Новосибирск: Сибирское соглашение, 1999. — 160 с. — ISBN 5-8479-0003-1 В настоящем пособии на простых примерах раскрываются понятия депозитных, валютных и кредитных операций, доходность по ценным бумагам, разъясняется кредитная и валютная политика банков, бирж, других финансовых институтов. Изложение материала в форме «вопрос — ответ» делает его понятным и даже увлекательным....
Учебное пособие. - Ростов-на-Дону, ЮФУ, 2008. – 160 с.
Пособие является частью материалов, обеспечивающих подготовку магистров по специальности «Финансовая математика» на кафедре высшей математики и исследования операций ЮФУ.
Оно создано на основе ранее опубликованных и многократно апробированных (в РГУ, РГАСХМ, ДГТУ, РГУПС, АЧГАА) пособий, активно использующихся в обучении...
Учеб. пособие. — Краснодар: Кубанский государственный университет, 2001. — 135 с. — ISBN 5-8209-0128-2. Рассматриваются основные методы финансово-кредитных расчетов, применяемые в финансовой практике. Финансовые расчеты, проводимые в ходе финансовых операций, относятся к методам статистического анализа финансово-кредитных явлений и процессов. Основное внимание уделено раскрытию...
Учебник. — М.: Военное издательство, 1987. — 440 с.: ил. В учебнике изложены основы методологии военно-экономического анализа мероприятий, обеспечивающих боевую готовность Вооруженных Сил и проводимых в войсковой и производственной сферах деятельности, а также методы количественного обоснования военно-экономических решений и статистического анализа показателей затрат...
М.: Научный консультант, 2018. — 196 с. — ISBN: 978-5-6040635-6-9. В учебном-методическом пособии рассмотрены ключевые вопросы по основам финансовой математики для студентов, обучающихся по специальности 38.03.02. «Менеджмент», включая такие как общие положения науки о финансах, финансовые модели, теория процентов, операции с валютой, доходность и риск финансовой операции,...
М.: Научный консультант, 2018. — 196 с. — ISBN 978-5-6040635-6-9. В учебно-методическом пособии рассмотрены ключевые вопросы по основам финансовой математики для студентов, обучающихся по специальности 38.03.02. «Менеджмент», включая такие как общие положения науки о финансах, финансовые модели, теория процентов, операции с валютой, доходность и риск финансовой операции,...
М.: Изд-во МГУ, 2001. — 419 с. Эта вторая часть завершает начатое ранее в первой представление основных разделов т. н. классической финансовой математики. А, точнее говоря, представляет ту ее часть, где используются элементы теории вероятностей. Однако цель прежняя: познакомить молодых людей с хотя и элементарной теорией, но предлагающей практические рекомендации для решения...
М.: Изд-во МГУ, 2001. — 419 с. Эта вторая часть завершает начатое ранее в первой представление основных разделов т. н. классической финансовой математики. А, точнее говоря, представляет ту ее часть, где используются элементы теории вероятностей. Однако цель прежняя: познакомить молодых людей с хотя и элементарной теорией, но предлагающей практические рекомендации для решения...
М.: Изд-во МГУ, 2001. — 419 с. Эта вторая часть завершает начатое ранее в первой представление основных разделов т. н. классической финансовой математики. А, точнее говоря, представляет ту ее часть, где используются элементы теории вероятностей. Однако цель прежняя: познакомить молодых людей с хотя и элементарной теорией, но предлагающей практические рекомендации для решения...
М.: Изд-во МГУ, 2001. - 480 с. Финансовая математика в данной книге излагается на современном уровне, а заодно и помогает читателю разобраться в том, какое же содержание вкладывается в понятие классической финансовой математики, что является весьма актуальным, поскольку проблематика эта возникла недавно и в настоящее время каждый воспринимает её по-своему. Но, возможно, более...
М.: МГУ, 2014. - 96с.
Цель этого краткого учебника - выделить из классической теории самые нужные для практической жизни любого гражданина элементы финансовой математики и постараться изложить их на уровне, понятном не только для студентов, но и для школьников. Вся книга рассчитана и на преподавателей в финансовой области, банковских работников, слушателей бизнес-школ,...
Учебное пособие. – Москва: Российский университет транспорта (МИИТ), 2018. — 86 с. Учебное пособие для студентов направления «Экономика». Учебное пособие предназначено для студентов направления 380301 «Экономика», обу-чающихся по дисциплине «Финансовая математика». Учебное пособие удовлетворяет требованиям ФГОС ВО 3+ и написано в соответствие с рабочей программой дисциплины...
Учебное пособие для студентов направления «Экономика». — М: РУТ (МИИТ), 2018. — 86 с. Учебное пособие предназначено для студентов направления «Экономика», обучающихся по дисциплине «Финансовая математика». Учебное пособие удовлетворяет требованиям ФГОС ВО 3+ и написано в соответствие с рабочей программой дисциплины «Финансовая математика». Пособие включает следующие темы:...
Учебное пособие для студентов направления «Экономика». — М: РУТ (МИИТ), 2018. — 75 с. Учебное пособие предназначено для студентов направления «Экономика», обучающихся по дисциплине «Финансовая математика». Учебное пособие удовлетворяет требованиям ФГОС 3+ и написано в соответствие рабочей программой дисциплины «Финансовая математика». Пособие включает следующие темы: «Формула...
Учебное пособие. — Москва: Российский университет транспорта, РУТ (МИИТ), 2018. — 75 с. Учебное пособие для студентов направления «Экономика». Учебное пособие предназначено для студентов направления 380301 «Экономика», обучающихся по дисциплине «Финансовая математика». Учебное пособие удовлетворяет требованиям ФГОС 3+ и написано в соответствие рабочей программой дисциплины...
Учебное пособие для студентов дистанционной формы обучения. — Нижний Новгород: ННГАСУ, 2002
В пособии дан единый теоретический подход к решению широкого круга финансовых задач: начисления процентов, расчета ренты, наращенной и дисконтируемой сумм, процентной ставки, срока и эффективности финансовой сделки и т. п. Рассмотрены операции по лизингу. Приведено много примеров....
Учебно-методическое пособие. — Брянск: Издательство Брянский ГАУ, 2016. — 46 с. Учебно-методическое пособие предназначено в помощь студентам при изучении дисциплины Основы финансовых вычислений. В издании представлены материалы в разрезе изучаемых тем в соответствии с рабочей программой дисциплины, по направлению подготовки 38.03.01 Экономика профиль Бухгалтерский учёт, анализ и...
Учебное пособие. — М.: Статистика, 1973. — 138 с. Подготовлено в соответствие с программой курса "Основы теории вычислений", а также освещает некоторые темы курса "Эксплуатация клавишных вычислительных машин": "Пропорциональное деление", "Вычисление средних арифметических величин", "Товарные вычисления". Книга содержит наряду с теоретическими положениями упражнения к каждой главе,...
Учебное пособие. — М.: Статистика, 1973. — 138 с. Подготовлено в соответствие с программой курса "Основы теории вычислений", а также освещает некоторые темы курса "Эксплуатация клавишных вычислительных машин": "Пропорциональное деление", "Вычисление средних арифметических величин", "Товарные вычисления". Книга содержит наряду с теоретическими положениями упражнения к каждой главе,...
НТЦ АПИ, 1999. — 224 с. — ISBN: 985-6344-21-2 (OCR)
В работе изложены основные методы количественного анализа, осуществляемые при выполнении коммерческих и финансовых расчетов. Приведенные на все описанные методы приемы научат принимать экономически эффективные решения. Книга представит практический интерес для работников банков, страховых и финансовых компаний и различных...
М.: Финансы и статистика, 2007. — 256 с. Включены задачи по основным разделам финансовой математики: потоки платежей, кредитные расчеты, анализ инвестиционных проектов, оценки курсов и доходностей ценных бумаг, измерение финансового риска и формирование портфеля инвестора. Каждый раздел содержит четыре типа задач: расчетные, аналитические, ситуационные и задачи-тесты. В...
М.: Финансы и статистика, 2007. — 256 с. Включены задачи по основным разделам финансовой математики: потоки платежей, кредитные расчеты, анализ инвестиционных проектов, оценки курсов и доходностей ценных бумаг, измерение финансового риска и формирование портфеля инвестора. Каждый раздел содержит четыре типа задач: расчетные, аналитические, ситуационные и задачи-тесты. В начале...
Издательство: Приор
Год издания: 1999
Страниц: 144
В пособии даются методы коммерческих расчетов, а также основы портфельной теории: эффективная траектория, линии рынков ценных бумаг и капитала, равновесные цены и т. д. Рассматриваются вопросы учета вероятностной и диапазонной неопределенностей: риски, их измерители, отношение к риску и функция полезности.
Многочисленные...
Учебн.-практ. пособие для вузов. — М.: Приор, 1999. — 139 с. В пособии даются методы коммерческих расчетов, а также основы портфельной теории: эффективная траектория, линии рынков ценных бумаг и капитала, равновесные цены и т.д. Рассматриваются вопросы учета вероятностной и диапазонной неопределенностей: риски, их измерители, отношение к риску и функция полезности....
Учебно-метод. пособие. — Калининград: КГТУ, 2019. — 73 с. В учебно-методическом пособии сформулированы цель и задачи изучения дисциплины «Финансовая математика», основные компетенции приобретаемые студентами в результате её освоения, приведены структура, тематическое содержание и распределение по видам аудиторных занятий и самостоятельной работе студентов. Определены формы...
Учебное пособие. — Одесса: ОГЭУ, 2005. — 103 с.
Рассматриваются вопросы теории финансовых и коммерческих вычислений и их использование в различных сферах бизнеса. На конкретных примерах показана методика и особенности расчетов. Материал подан сжато, с максимальным приближением к содержанию лекций соответствующего курса.
3-е изд., испр. и доп. — М.: Юрайт, 2011. — 335 с. Полное введение в классическую финансовую математику. Детально описаны основные понятия и конструкции финансовой математики (финансовые события, потоки и ренты, простые и общие кредитные операции, процентные и учетные ставки, различные схемы погашения долга, пенсионные схемы, инструменты денежного рынка и др.). Большое внимание...
Учебник и практикум для бакалавриата и магистратуры. — 5-е изд., перераб. и доп. — М.: Юрайт, 2014. — 459 с. — (Бакалавр и мaгистр. Академический курс). — ISBN: 978-5-9916-3141-9. Учебник представляет собой элементарное, но достаточно полное введение в классическую финансовую математику. Детально описаны основные понятия и конструкции финансовой математики (финансовые события,...
Издательство: ТетраСистемс, 2005 г. , 192 стр. Книга является пособием для выполнения лабораторных и практических занятий по курсам "Методы финансово-экономического управления", "Моделирование финансового рынка", "Актуарный анализ" и спецкурсам по финансово-экономическим расчетам. Предназначена для студентов и магистрантов, обучающихся по финансово-экономическим специальностям;...
Издательство: ТетраСистемс, 2005 г. , 192 стр. Книга является пособием для выполнения лабораторных и практических занятий по курсам "Методы финансово-экономического управления", "Моделирование финансового рынка", "Актуарный анализ" и спецкурсам по финансово-экономическим расчетам. Предназначена для студентов и магистрантов, обучающихся по финансово-экономическим специальностям;...
Псков, 2007 год, 26 страниц. Для всех специальностей. Время как фактор стоимости. Операции наращения и дисконтирования. Простые проценты (Годовая процентная ставка и годовая учётная ставка. Алгоритм схемы простых процентов. Расчёт процентов при изменяющейся сумме вклада на счёте. Наращение по схеме простых процентов при переменной ставке. Наращение с капитализацией...
М.: Финансы и статистика, 1999. —328 с. Дан обзор основных алгоритмов, используемых при проведении коммерческих и финансовых вычислений. Рассмотрена логика операций дисконтирования и наращения, подробно изложены вычислительные процедуры для оценки аннуитетов с различными схемами поступления аннуитетных платежей и начисления процентов. Пособие содержит финансовые таблицы, свод...
Учебное пособие. – Краматорск: ДГМА, 2008. – 48 с. Содержатся основные определения, примеры и варианты контрольных и тестовых заданий по курсу «Финансовая математика» для студентов всех форм обучения, теоретические и практические методические рекомендации к их выполнению и список необходимой литературы.
КФ МУГУ, МФЮА 2009
Предприятие за взятый кредит S0 через год должно вернуть сумму S1 = 400 тыс. руб. Определите величину кредита S0, если учетная ставка d = 0,
Чему равен дисконт-фактор?
Найдите: а) 5% «на 100» с 735 руб.; б) 5% «во 100» с 760 руб.
Предприятие реализовало партию товара за 230 тыс. руб., получив при этом 30% прибыли. Определите величину прибыли и себестоимость...
Учебное пособие. - Издательство Алтайского госуниверситета. - 2003 Учебное пособие содержит систематизированное изложение основных понятий и методов финансовых вычислений и количественного анализа финансовых операций. Содержание курса охватывает: базовые разделы финансовой математики; а также построение плана погашения кредита и финансовый анализ инвестиций. Базовые разделы...
Учебное пособие. - Барнаул: Издательство Алтайского госуниверситета, 2003. - 76 с.
Учебное пособие содержит систематизированное изложение основных понятий и методов финансовых вычислений и количественного анализа финансовых операций. Содержание курса охватывает: базовые разделы финансовой математики; а также построение плана погашения кредита и финансовый анализ инвестиций....
Учебное пособие. — Зерноград: Азово-Черноморский инженерный институт — филиал Донской ГАУ, 2015. — 113 с. — ISBN 978-5-91833-151-4. В пособии излагаются методы проведения финансово-экономических расчетов: начисления простых и сложных процентов, дисконтирования, эквивалентности платежей, способы оценки ценных бумаг и др. Теоретические положения дополняются примерами практических...
Учебно-практическое пособие. — Челябинск: Южно-Уральский государственный гуманитарно-педагогический университет, 2022. — 107 с. — ISBN 978-5-907611-69-6. Учебно-практическое пособие разработано на кафедре экономики, управления и права Профессионально-педагогического института ФГБОУ ВО «Южно-Уральский государственный гуманитарно-педагогический университет» для студентов высших...
Учебное пособие для студентов-бакалавров направления «Экономика». — М: РУТ (МИИТ), 2018. — 29 с. Учебное пособие предназначено для студентов-бакалавров направления «Экономика» по дисциплине «Финансовая экономика». Содержит теоретический материал по основным понятиям, определениям и положениям финансовых рент. Рассмотрено большое количество прикладных задач. Финансовые ренты....
Учебное пособие. — Москва: Московский государственный университет путей сообщения (МГУПС), 2014. — 62 с. В учебном пособии описана схема начисления по простому проценту и простой учетной ставке со всеми сопутствующими задачами, включая расчеты по векселям, расчеты с изменяющейся процентной ставкой, расчеты времени операции. В схеме сложных процентов проанализированы задачи...
Учебное пособие. — Москва: Российский университет транспорта (МИИТ), 2018. — 29 с. Учебное пособие предназначено для студентов-бакалавров направления «Экономика» по дисциплине «Финансовая экономика». Содержит теоретический материал по основным понятиям, определениям и положениям финансовых рент. Рассмотрено большое количество прикладных задач.
М.: Финансы и статистика, 2004. — 384 с. Представлены методы начисления простых и сложных процентов, производимых при обслуживании клиентов банков, способы учета векселей, методы расчета при работе с несколькими валютами одновременно, стоимости облигаций и акций. Предложена методика определения эффективности капитальных вложений на основе дисконтирования. Практикум включает...
М.: Финансы и статистика, 2004 г. - 384 стр. Представлены методы начисления простых и сложных процентов, производимых при обслуживании клиентов банков, способы учета векселей, методы расчета при работе с несколькими валютами одновременно, стоимости облигаций и акций. Предложена методика определения эффективности капитальных вложений на основе дисконтирования (приведения будущих...
Учебное пособие. — М.: Финансы и статистика, 1994. — 268 с. — ISBN: 5-279-01478-8. Содержание. Предисловие к русскому изданию. От автора. Простые проценты. Сущность простых процентов и примеры их использования в банковской практике. Расчет процентных платежей и капитала при различных исходных данных. Средний срок погашения ссуды одному кредитору. Ломбардный кредит. Погашение...
Учебник. — М.: Прометей, 2019. — 392 с. — ISBN: 978-5-907166-02-8. В книге раскрывается понятийный аппарат теории финансовых вычислений, излагаются концептуальные предпосылки финансово-математического анализа, раскрываются методики расчета и планирования параметров кредитных, депозитных, инвестиционных операций, сделок с ценными бумагами и т.п. Изложение сопровождается...
К. : НАУ-друк, 2009. — 88 с. Навчальний посібник підготовлено відповідно до навчальної програми дисципліни «Фінансова математика». Посібник містить вісім розділів, у кожному з яких стисло викладено теоретичні відомості і широко подано приклади і задачі з розв’язаннями, а також наведено запитання та вправи з відповідями для самоперевірки. Для студентів економічних спеціальностей...
Кемерово: КузГТУ, 2015. — 74 с. Предназначено для выполнения практических работ по дисциплине «Основы финансовых вычислений». Содержит краткие сведения по финматематике, финфункции MS Excel, применяемые для финвычислений, контрольные вопросы и задания для выполнения.
Учебное пособие для вузов. В книге приводятся методы расчетов финансовых и коммерческих операций. Рассматриваются простые и сложные проценты, потоки платежей. Книга 2005 года
Для студентов ВУЗов, обучающихся по специальности 060000 Юнити, М.2004. 92 стр. PDF Простые и сложные процентные ставки. Некоторые области использования процентных ставок. Потоки платежей. Погашение задолженноти и доходность кредитных операций.
М.: Финансовый университет, 2017. — 464 с. — ISBN: 978-5-7942-1388-1. Излагается современное представление о финансовых операциях с различными видами активов на организованных рынках. Приводятся основные понятия рынка ценных бумаг, биржевого и банковского дела. Рассматриваются количественные характеристики эффективности и риска торговых операций, способы и методы расчета...
Новосибирск: СибАГС, 2005. — 212 с. Данный сборник задач предназначен для студентов дневного отделения и слушателей системы переподготовки специалистов СибАГС, изучающих дисциплину «Финансовая математика», по специальности 060400 «Финансы и кредит». Разработан с целью помочь студентам и слушателям научиться применять аппарат финансовой математики для расчетов простых и сложных...
М.: Физико-технический институт (университет). 2013. — 108 с.
Данная работа представляет собой вводный курс, предназначенный для изучения на 1 году магистратуры по различным финансовым специальностям.
Учебное пособие для учащихся 5-9 классов. Кураков Л.П., Мерлин А.В., Мерлина Н.И., Шилина В.И., Фадеева И.В. Чебоксары: Изд-во Чув.-го ун.-та. 2000. — 160 с. Приведены задачи практического содержания, позволяющие со среднего звена общеобразовательной школы познакомиться с основами рыночных отношений. Для учителей, студентов и школьников. Содержание: Простое тройное правило....
Методические рекомендации. - Ульяновск: 2005. - 34 с.
Указания содержат теоретические сведения и практические аспекты применения различных технических индикоторов на рынке ценных бумаг.
Графики технического анализа.
Математические средства в техническом анализе.
Хабаровск: Изд-во Тихоокеан. гос. ун-та, 2015. — 103 с. — ISBN: 978-5-7389-1655-7. Учебное пособие написано к курсу «Финансовая математика». В доступной форме рассмотрены актуальные вопросы финансовой математики. В рамках представленной дисциплины анализируются общие вопросы организации финансовых расчетов. Особое внимание уделено основным принципам финансовой математики,...
Учебно-практическое пособие. — Московский государственный университет экономики, статистики и информатики. — М.: МЭСИ, 1999. — 82 с. Пособие предлагает систематизированное изложение основных понятий и методов финансовых вычислений и является введением в финансовую математику. В пособии рассматриваются основные понятия, которыми оперируют в финансовых вычислениях, принципы,...
М.: Московская финансово – промышленная академия, 2004 - 81 с. - ISBN: 978-5-374-00026-9
Учебное пособие содержит программу дисциплины, теоретические основы, глоссарий, руководство по изучению дисциплины, практикум, тесты, примерные темы курсовых и дипломных работ. В учебном пособии рассмотрены методы начисления простых, сложных и непрерывных процентов, методы наращения и...
Учебное пособие. — М.: Московский международный институт эконометрики, информатики, финансов и права, 2003. — 81 с. В учебном пособии рассмотрены методы начисления простых, сложных и непрерывных процентов, методы наращения и дисконтирования по учетным ставкам, приводятся расчетные примеры, практические приложения. В учебном пособии предполагается, что читателю уже известны...
М.: МИРБИС, 2015. — 183 с. Учебное пособие содержит программу дисциплины, теоретические основы, глоссарий, руководство по изучению дисциплины, практикум, тесты, примерные темы курсовых и дипломных работ. В учебном пособии рассмотрены методы начисления простых, сложных и непрерывных процентов, методы наращения и дисконтирования по учетным ставкам, приводятся формулы расчета...
Учебное пособие. Красноярск: КФ МЭСИ, 2005, - 120с.
В учебном пособии представлены основные разделы дисциплины Финансовая математика, необходимой для успешного усвоения дальнейших глав финансовой математики, а также общетеоретических специальных дисциплин в области экономики, статистики, бизнеса и менеджмента.
Детально и очень подробно рассмотрены следующие темы:
Основные...
М.: Бином; Лаборатория знаний, 2007. – 751 с.
Исчерпывающая фундаментальная монография, в которой на очень доступном уровне излагается фактически вся финансовая математика: от классической и детерминированной финансовой теории до практически всех разделов современной стохастической финансовой математики. Основной акцент в книге делается на прикладные вычисления, что выражается,...
М.: Бином. Лаборатория знаний, 2007. — 751 с.
Исчерпывающая фундаментальная монография, в которой на очень доступном уровне излагается фактически вся финансовая математика: от классической и детерминированной финансовой теории до практически всех разделов современной стохастической финансовой математики. Основной акцент в книге делается на прикладные вычисления, что выражается,...
Учеб. пособие для вузов. — 2-е изд., перераб. и доп. — М.: Юнити-Дана, 2017. — 237 c. Рассмотрены вопросы финансовой математики в условиях определенности (наращенные и дисконтированные суммы, потоки платежей, ренты, кредитные расчеты, оценка инвестиционных проектов, финансовые расчеты на рынке ценных бумаг), а также в условиях неопределенности, в том числе теория оптимального...
Учеб. пособие для вузов. 2-е изд., перераб. и доп. М.: ЮНИТИ-ДАНА, 2003. 237 с. К сожалению не хватает двух страниц из учебника: страницы 6 и 7, поэтому первая глава сразу начинается с пункта 1.2. Рассмотрены вопросы финансовой математики в условиях определенности (наращенные и дисконтированные суммы, потоки платежей, ренты, кредитные расчеты, оценка инвестиционных проектов,...
Учебное пособие для вузов. — М.: Юнити-Дана, 1999. — 247 с. Рассмотрены вопросы финансовой математики в условиях определенности (наращенные и дисконтированные суммы, потоки платежей, ренты, кредитные расчеты, оценка инвестиционных проектов, финансовые расчеты на рынке ценных бумаг), а также в условиях неопределенности, в том числе теория оптимального портфеля,...
Учебное пособие. Таганрог: Изд-во ТРТУ, 2006. – 121 с
В данном пособии представлены основы финансовых отношений, механизмов денежного обращения и система кредитных услуг формируемых в финансовом пространстве России
Пособие содержит обобщенные теоретические и практические знания по изучению практики финансовых отношений России и рассчитано на слушателей всех форм обучения...
Навчальний посібник. — Одеса: Одеський національний економічний університет (ОНЭУ), 2018. — 143 с. Воропай Н.Л., Герасименко Т.В., Кирилова Л.О., Клименко С.С., Корсун Л.М., Мацкул М.В., Мальцева Є.В., Михайленко А.В., Орлов Є.В., Окара Д.В., Чернишев В.Г., Чепурна О.Є., Шинкаренко В.М. Навчальний посібник містить теоретичний матеріал курсу «Фінансова математика» для економічних...
Учебное пособие. - Донецк: ООО "Юго-Восток, Лтд", 2003. - 196 с.
Содержит основные понятия и положения финансовой математики.
Базовые понятия финансовой математики.
Простые проценты.
Сложные проценты.
Соотношение процентных ставок и расчет дополнительных параметров.
Финансовые потоки.
Учет инфляции в финансовых потоках.
Погашение долгосрочной задолженности.
Изменение...
Минск : БГУ, 2018. — 203 с. Представлены результаты исследований свойств случайных процессов диффузионного типа, используемых для описания динамики краткосрочных процентных ставок и построения математических моделей кривых бескупонной доходности до погашения и форвардных кривых в интересах определения рыночных цен финансовых активов и финансовых производных. Для специалистов,...
Минск Научно-методический центр "Электронная книга БГУ" 2003 г.
Содержание:
Анализ моделей непрерывного времени.
Модель Блэка-Шоулса и ее модификации.
Мартингалы и арбитраж на рынках ценных бумаг.
Мартингалы и стохастические интегралы в теории непрерывной торговли.
Временная структура процентных ставок: мартингальный подход.
Мартингальный подход к определению цен опционов с...
Минск Научно-методический центр "Электронная книга БГУ" 2003 г. 295 с.
Содержание:
Кривые доходности и временная структура процентных ставок.
Функции полезности.
Равновесная модель определения цен активов.
Теория временной структуры процентных ставок.
Сравнительный анализ однофакторных моделей временных структур аффинного класса.
Многофакторная модель доходности процентных...
Мн, 2003
В пособии излагаются основные методы финансовых расчетов, составляющих предмет финансовой математики. Достаточное количество примеров, есть упражнения. Для понимания достаточно иметь знания в объеме математики старших классов средней школы.
Учебно-справочное пособие. — М.: Инфра-М, 2002. — 383 с. — (Серия «Высшее образование»). В работе даются теоретические обоснования и рекомендации по практическому применению методов финансово-экономического анализа при осуществлении кредитных, инвестиционных и ряда других коммерческих операций. Кроме того, в ней содержатся начальные сведения по валютным и актуарным (страховым)...
Монография. — Москва: Российская академия наук, 2019. — 225 с. Математические финансы представляют собой основной источник современных количественных методов моделирования и расчетов в финансовой экономике, которая сегодня характеризуется широкой вовлеченностью инновационных инструментов, называемых производными ценными бумагами. Для обеспечения профессионального уровня...
М.: Анкил, 2006. — 440 с. Книга "Математические методы финансового анализа" посвящена актуальному направлению финансового анализа - применению математических методов при изучении финансовых инструментов и эффективности инвестиций - как в условиях определенности, так и в условиях неопределенности. Основная часть материала излагается на основе ряда разделов высшей математики,...
Учебное пособие. — Екатеринбург: Уральский федеральный университет им. первого Президента России Б.Н. Ельцина (УрФУ), 2023. — 118 с. — ISBN 978-5-7996-3710-1. В учебном пособии даны основы стохастического анализа в дискретном и непрерывном времени. Особое внимание уделено связи между стохастическими уравнениями для случайных процессов и уравнениями для вероятностных...
Учебное пособие для направления «Финансы и кредит» магистратуры. — М: РУТ (МИИТ), 2018. — 134 c. Учебное пособие предназначено ля подготовки магистров направления «Финансы и кредит». Рассмотрены следующие темы: некоторые математические модели рыночной экономики, элементы финансового анализа в условиях определённости, элементы финансового анализа в условиях неопределённости,...
Лекционный курс. — Ростов-на-Дону: Донской государственный технический университет, 2017. — 40 с. Лекции разработаны в соответствии с требованиями федерального государственного образовательного стандарта высшего образования, а также в соответствии с утвержденным учебным планом подготовки бакалавров по направлению «Экономика», профиль «Финансы и кредит». Курс лекций содержит...
М.: Олма-Пресс Инвест: Институт Экономических стратегий, 2003. — 128 с. — (Успешный бизнес. Мастер-класс). Даная книга знакомит читателя с основными понятиями финансовой математики и методами применения этой дисциплины на практике, прежде всего, в определение доходности финансовых, инвестиционных и торговых операций. Издание будет полезно финансовым менеджерам, бухгалтерам,...
Конспект лекцій. – Харків: Вид. ХНЕУ, 2008. – 76 с. (Укр. мов.) Подано різні методи проведення статистичних розрахунків щодо фінансових операцій, пов’язаних з нарощенням або дисконтуванням фінансів, щодо фінансових рент, щодо кредитних операцій та методів погашення кредитів у сучасній банківській практиці, щодо інвестиційних операцій і методів оцінки їх ефективності....
Учебное пособие. В 2-х частях. — Санкт-Петербург: Изд. Политехнического университета, 2013. — 219 с.
В первом томе пособия рассматриваются общие вопросы предмета финансовой математики: наращение и дисконтирование денежных сумм, финансовые ренты, оценка стоимости бизнеса. Во втором томе пособия рассматриваются вопросы анализа и моделирования финансовых рынков.
Содержание.
введение.
Введение в предмет математической экономики.
Простые проценты.
Сложные проценты.
Производные процентные расчеты.
Рентные платежи и их анализ.
Применение теории процентуальных расчетов в финансовых операциях.
Тестовые задания.
Варианты зачетной работы.
Глоссарий.
приложения.
Ульяновск: Ульяновский государственный технический университет (УлГТУ), 2011. – 88 с. Настоящее учебное пособие рассматривает вопросы раздела «Финансовая математика ценных бумаг» учебной дисциплины «Финансовая математика»; раздела «Инструментальные методы, расчеты и модели в финансовом менеджменте» учебной дисциплины «Финансовый менеджмент»; разделов «Основы рынка ценных бумаг»...
Новосибирск: ИВМ Сиб. отд., РАН 2001. — 99 с. Книга посвящена математической теории риска - интенсивно развивающемуся разделу теории вероятностей, имеющему многочисленные приложения к экономике, финансам, а также другим областям человеческой деятельности, связанным с принятием решений в условиях неопределенности. Особое внимание уделяется проблеме измерения риска -...
Новосибирск: ИВМ Сиб. отд., РАН 2001. — 99 с. Книга посвящена математической теории риска - интенсивно развивающемуся разделу теории вероятностей, имеющему многочисленные приложения к экономике, финансам, а также другим областям человеческой деятельности, связанным с принятием решений в условиях неопределенности. Особое внимание уделяется проблеме измерения риска -...
Окружающий мир полон неопределенностей, связанных с невозможностью предсказания будущих событий. Ошибаясь в прогнозах мы рискуем получить не совсем то, что ожидалось. Вездесущая неопределенность является источником риска. Математические модели описывающие неопределенность можно разделить на две группы: a) вероятностные модели, b) модели нечетких множеств. В данной работе...
Учебное пособие. — Владивосток: Издательство Дальневосточного университета, 2000. — 112 с. — ISBN: 5-7444-1169-0 На фондовом рынке обращаются в первом приближении два вида ценных бумаг: первичные и вторичные или производные. В работе излагаются основные результаты математической теории финансовых рынков: теория ценообразования финансовых инструментов, математический подход к...
В учебном пособии представлены основные разделы дисциплины Финансовая математика, необходимой для успешного усвоения дальнейших глав финансовой математики, а также общетеоретических специальных дисциплин в области экономики, статистики, бизнеса и менеджмента.
Введение. Основные понятия финансовой математики.
простые проценты.
сложные проценты.
потоки платежей. Финансовые...
Учебное пособие. — Самара: Самарский университет, 2016. — 80 с. — ISBN: 978-5-7883-1095-4 В данном пособии рассмотрены количественные методы наращения и дисконтирования разовых выплат и потоков платежей. В пособии приводятся практические приложения математических методов финансового анализа: оценка финансовых активов, оценка экономической эффективности инвестиционных проектов,...
НИУ-ВШЭ, Москва, 2011 г.,- 14 с. Теоретический материал, формулы и задачи по следующим темам: Простые проценты .Наращение по простым процентам Переменные ставки Реинвестирование Дисконтирование по простым процентной и учетным ставкам Наращение по учетной ставке Сложные проценты Наращение по сложной процентной ставке Плавающие процентные ставки Сравнение роста наращенных сумм...
Учебно-методическое пособие. — Брянск: Издательство БГСХА, 2011. — 52 с. Учебно-методическое пособие предназначено для студентов экономических специальностей сельскохозяйственных вузов очного и заочного отделений и содержит рекомендации по решению экономических задач с помощью финансовых функций в OpenOffice.org Calc. Содержание Введение Анализ эффективности капиталовложений...
Учебное пособие. — Краснодар: Кубанский государственный аграрный университет (КубГАУ), 2016. — 180 с. — ISBN 978-5-94672-962-8. В учебном пособии рассмотрены теоретические и практические основы проведения инвестиционного анализа деятельности организаций с помощью Microsoft Excel. Показаны особенности использования финансовых функций для определения текущей и будущей стоимости...
М.: Финансовый университет, 2017. — 178 с. — ISBN: 978-5-7942-1402-4. Учебное пособие написано в соответствии с программой дисциплины «Основы финансовых вычислений».. Дается подробное, и в то же время, несложное изложение следующих разделов: процентные расчеты, потоки платежей, облигации, теория портфеля ценных бумаг. Приводится множество примеров и задач, иллюстрирующих...
Учебно-методическое пособие. — Минск: БГУИР, 2012. — 112 с.
Изложены математические основы оценки финансовых активов в детерминированном и стохастическом случаях, теория портфеля ценных бумаг, практические приложения теории расчета финансовых операций в условиях определенности, определение справедливой цены опционов. Отдельно рассматриваются широко применяемые методы...
М.: Финансовый университет, 2017. — 250 с. — ISBN: 978-5-7942-1404-8. Учебное пособие для студентов, обучающихся в магистратуре по направлениям: «Финансы и кредит» (магистерские программы: «Ценные бумаги и финансовый инжиниринг» «Финансовая математика и анализ рынков», «Современное банковское дело и модели управления», «Риск менеджмент в коммерческом банке», «Финансовая...
Таганрог: Издательство Южного федерального университета, 2019. — 190 с. В учебном пособии, которое является кратким введением в стохастический анализ, отражены основы современной теории вероятностей, теории мартингалов и марковских процессов, стохастического исчисления, а также рассмотрена модель Блэка-Шоулза.
Учебное пособие. — Изд. 2-е, переработ. и доп. — М.: Экономика, 1973. — 174 с. Цель пособия — выработать у учащихся необходимые навыки хозяйственных вычислений. В сборнике содержатся задачи и упражнения на сокращенные приемы вычислений с помощью счетных таблиц, счетов, логарифмической линейки. Во второе издание (первое изд. 1966 г.) включены задачи, разработанные с учетом работы...
Учебное пособие. — Изд. 2-е, переработ. и доп. — М.: Экономика, 1973. — 174 с. Цель пособия — выработать у учащихся необходимые навыки хозяйственных вычислений. В сборнике содержатся задачи и упражнения на сокращенные приемы вычислений с помощью счетных таблиц, счетов, логарифмической линейки. Во второе издание (первое изд. 1966 г.) включены задачи, разработанные с учетом работы...
Designed to form the basis of an undergraduate course in mathematical finance, this book builds on mathematical models of bond and stock prices and covers three major areas of mathematical finance that all have an enormous impact on the way modern financial markets operate, namely: Black-Scholes’ arbitrage pricing of options and other derivative securities; Markowitz portfolio...
Учебно-методическое пособие. — М.: Учебный центр "Резольвента", 2010. - 97 с.
Учебное пособие посвящено финансовой математике в условиях определенности и в первую очередь предназначено для студентов, изучающих курсы "Финансовая математика", "Математические методы финансового анализа", "Кредит", "Финансовый менеджмент", "Финансовые вычисления" а также другие курсы с подобными...
Учебное пособие; Алт. гос. техн. ун-т, БТИ. - Бийск: Изд-во Алт. гос. техн. ун-та, 2012. - 206 с. Учебное пособие содержит систематизированное изложение основ финансовых вычислений. Рассмотрены практики наращения и дисконтирования простыми и сложными процентами. Изложены основные приемы погашения задолженности, в том числе актуарный метод и правило торговца. Проанализированы...
М.: КноРус, 2021. — 261 с. Предназначено для проведения практических занятий по технологиям решения задач финансовой математики средствами Excel и самостоятельного изучения этих технологий. В основном задачи решаются встроенными и созданными финансовыми функциями Excel, что позволяет получать результаты по сути автоматически. Охватывает процентные и учетные ставки, ренты и...
Курс лекций предназначен для студентов математических специальностей, дальнейшая профессиональная деятельность которых будет связана с решением экономико-математических и финансовых проблем на предприятиях различного профиля. Особое внимание в курсе лекций уделено алгоритмической стороне вопросов, а также учету неопределенностей. При этом наряду с традиционным...
М.: РосНОУ, 2015. — 330 с. В учебнике определяется роль и место рынка производных финансовых инструментов в экономической системе государства, раскрывается структура рынка, рассматриваются основные виды инструментов: форвардные и фьючерсные контракты, опционы и свопы, а также методы их использования для управления финансовыми рисками организаций различных форм собственности,...
Учебно-методическое пособие. — Омск: Омск. гос. ун-т, 2003. — 82 с. Пособие содержит описание основных понятий и методов финансовых вычислений. В нем рассмотрены вопросы измерения конечных результатов финансовых операций с учетом различных экономических явлений, сравнения эффективности различных операций, анализа параметров общих денежных потоков и финансовых рент. Пособие...
Учебное пособие / ГУУ. - М. , 2003. - 100 с.
Пособие посвящено упрощенному изложению основных идей управления финансовыми и страховыми рисками. Рассматривается финансовая арифметика, теория оптимального портфеля, теория ценообразования основных и производных финансовых инструментов, теория стоимости фирмы и структуры капитала, модель оценки основных активов, современные подходы...
Учебное пособие. М.: Финансовый университет, 2012. 364 с.
Рассматривается теория и практика применения методов линейного, нелинейного и динамического программирования, многокритериальной оптимизации, оптимального управления, теории графов и теории игр в качестве инструмента поддержки принятия решений в экономике. Применение методов иллюстрируется конкретными примерами обоснования...
Учебное пособие. — М.: ГУУ, 2001. — 92 с. Посвящено современным стохастическим методам и их применению в экономике, финансах и страховании. Рассматривается теория марковских случайных процессов, включая элементы стохастического анализа. С помощью стохастических методов исследуются вероятностные характеристики ряда финансово-математических и экономико-математических моделей, в...
Тамбов: Изд-во ФГБОУ ВПО «ТГТУ», 2012. — 80 с. — ISBN: 9785826510889. Представлены методы начисления простых и сложных процентов, операции дисконтирования, производимые при обслуживании клиентов банка, способы учёта векселей. Приведены формулы расчёта различных параметров регулярных потоков платежей (финансовых рент). Рассмотрены примеры из практической деятельности и...
Учебное пособие. — Челябинск: Южно-Уральский государственный университет (ЮУрГУ), 2018. — 82 c. Учебное пособие предназначено для методического обеспечения дисциплины «Математическое обеспечение финансовых решений» в соответствии с учебным планом подготовки магистров по программе «Финансовые механизмы бизнес-процессов»; предназначен для закрепления теоретического материала...
СПб.: С.-Петербургский государственный политехнический университет, 2013. — 31 с.
Учебное пособие посвящено рассмотрению финансовых вычислений, с необходимостью которых сталкивается каждый студент при изучении таких курсов, как «Финансовый менеджмент», «Рынок ценных бумаг», «Инвестиционный менеджмент» и др., а также при написании выпускных работ бакалавров, дипломных проектов...
Учебное пособие. — Ярославль: Ярославский государственный университет им. П. Г. Демидова (ЯрГУ), 2013. — 116 с. — ISBN: 978-5-8397-0942-3. В учебном пособии рассмотрены вопросы классической финансовой математики, в доступной форме изложены количественные методы анализа финансовых и кредитных операций, оценки потоков платежей, методы анализа инвестиционных проектов. Включены...
Под. ред. проф. В. В. Ковалева. — М.: Финансы и статистика, 2000. — 400 с. Дан краткий обзор основных понятий, используемых в курсе финансовых вычислений, приведены вопросы для обсуждения. Представлены решения типовых примеров и задачи для самопроверки по изучаемому материалу. Сборник содержит также таблицы и основные формулы, необходимые для решения типовых задач. Материалы...
Под ред. проф. В.В. Ковалева. — М: Финансы и статистика, 2000. — 400 с. Дан краткий обзор основных понятий, используемых в курсе финансовых вычислений, приведены вопросы для обсуждения. Представлены решения типовых примеров и задачи для самопроверки по изучаемому материалу. Сборник содержит также финансовые таблицы и основные формулы, необходимые для решения типовых задач....
Под. ред. проф. В. В. Ковалева. — М.: Финансы и статистика, 2000. — 400 с. Дан краткий обзор основных понятий, используемых в курсе финансовых вычислений, приведены вопросы для обсуждения. Представлены решения типовых примеров и задачи для самопроверки по изучаемому материалу. Сборник содержит также таблицы и основные формулы, необходимые для решения типовых задач. Материалы...
Учебное пособие. — 2-е издание, переработанное и дополненное. — М.: Макс Пресс, 2019. — 359 с. — ISBN: 978-5-317-06167-8. Книга покрывает наиболее важные разделы программы актуарного квалификационного экзамена по финансовой математике Института Актуариев и Банка России. Основные концепции иллюстрируются с помощью реальных финансовых продуктов. Каждая глава заканчивается набором...
Учебное пособие. — М.: МАКС Пресс, 2022. — 440 с.: ил. — ISBN 978-5-317-06894-3. В книге излагаются наиболее важные разделы программы актуарных квалификационных экзаменов по финансовой математике Института и Факультета Актуариев (Великобритания) и Центрального банка Российской Федерации. Основные понятия иллюстрируются с помощью реальных финансовых продуктов. Каждая глава...
2-е изд., перераб. и доп. — М.: Физматлит, 2003. — 192 с. — ISBN: 5922104519, 9785922104517. С помощью большого числа специально подобранных задач, для которых приведены подробные решения, излагаются основные математические модели и методы, которые используются для расчетов характеристик продолжительности жизни, разовых и периодических премий, страховых надбавок, резервов и т....
Учебно-методическое пособие. ― Псков: Псковский государственный университет, 2016. ― 80 с. В предлагаемом учебно-методическом пособии представлена структура курса, содержание разделов дисциплины, тестовые задания, задания для самостоятельной работы, примеры решения задач, а также задание и методические указания по выполнению контрольной работы. Учебно-методическое пособие...
Волгоград: ВолГТУ, 2019. — 120 с. — ISBN: 978-5-9948-3246-2. В учебном пособии изложены основные подходы к оценке эффективности и риска коммерческих расчетов в рамках долговых обязательств. Рассмотрен вопрос оценки наращенной и приведенной стоимости денежных потоков в рамках финансовой ренты, в том числе по инструменту облигации. Изложены подходы к справедливой...
Краснодар: РГТЭУ, 2013. — 4 с. Пример расчета дней по трем методам расчета временных интервалов (АСТ/АСТ, 360/360, АСТ/360). Лекция и формулы расчета - Погашение потребительского кредита методом «От ста» Задача. Платежное обязательство уплатить через 180 дней 2 млн.руб. с процентами, начисляемыми по ставке простых процентов i=18% годовых, было учтено за 60 дней до срока...
Учебник для ВУЗов. — М.: Прометей, 2019. — 230 с. Структурно учебник представляет собой 15 компьютерных практикумов по изучению и применению вычислительных возможностей табличного процессора Excel в решении базовых задач линейной алгебры и математического анализа и календарно соответствует программе дисциплины «Компьютерный практикум», читаемой в Финансовом университете при...
Основные зависимости и параметры простых и сложных финансовых операций при начислении процентов. Эквивалентные зависимости между различными видами процентных ставок. Основные зависимости для специальных финансовых операций, связанных с начислением процентов. Схема "Потоки платежей и финансовые ренты, их основные параметры и классификация". Основные зависимости для постоянных...
Основные понятия математики, используемые в финансовых вычислениях
Экономическая теория процента
Логика финансовых вычислений
Простые и сложные проценты в финансовых операциях
Номинальная ставка процента
Операции дисконтирования
Начисление процентов в условиях инфляции и налогообложения
Замена платежей и их консолидация
Потоки платежей, ренты
Сравнение эффективности...
2010, Москва, 108 ст. Конспект лекций по Финансовой математике для специальности "Финансы и кредит" Содержание: ВВЕДЕНИЕ. Фактор времени в финансово-коммерческих расчетах. Сущность финансовой математики. Основные категории, используемые в финансово-экономических расчетах. Наращение по схеме простых процентов. Наращение по схеме сложных процентов. Эквивалентность процентных...
Курс лекции для студентов 4 курса ВЗФЭИ по спец. «Финансы и кредит». Уфа: 2008. - 78 с. Методология финансово-экономических расчетов. Классификация и характеристика финансовых рынков Механизм принятия решений на рынке ценных бумаг (фундаментальный и технический анализ) Механизм принятия решений на рынке ценных бумаг (фундаментальный и технический анализ) Стохастические методы...
Оглавление:
Пролог.
Основания бухгалтерской метрики.
Прибыль прибыли рознь.
Мозаика бухгалтерских прибылей.
Прибыль уже история? Виват денежному.
потоку!
Рентабельность.
Рентабельность в условиях риска.
Рыночные измерители потенциала компании.
Акции – мерило эффективности.
Компания глазами акционеров.
Мультипликаторы.
От бухгалтерских трюков к экономическим....
СПб.: СПбГЭУ, 2017. — 218 с. — ISBN: 978-5-7310-3772-3. В пособии последовательно излагается система математических понятий и фактов, создающая основу дальнейшей оптимизации управленческих решений, моделирования финансовых решений, формирования вероятностных оценок решений. Оно рассчитано на лиц, освоивших в свое время вузовский курс высшей математики и нуждающихся в...
Учебное пособие. — СПб.: Санкт-Петербургский государственный университет экономики и финансов (СПбГУЭФ), 2012. — 220 с. — ISBN: 978-5-7310-2819-6. В учебном пособии излагаются базовые математические методы финансового анализа (финансовой математики) – от простейших расчетов с процентными ставками до анализа дисконтированных оценок эффективности инвестиционных проектов....
Учебник — М.: Дело, 2000. — 400 с. — ISBN: 5-7749-0193-9 Учебник содержит последовательное и систематизированное изложение проверенных практикой методов количественного анализа финансовых и кредитных операций. Охвачены как традиционные методы разнообразных расчетов, так и методы, вошедшие в практику в последнее десятилетие. Подробно обсуждаются различные методы начисления...
М.: Дело Лтд, 1995. — 320 с. Книга содержит систематизированное изложение методов количественного анализа, необходимого для осуществления широкого спектра разнообразных расчетов, с которыми сталкиваются банкиры, финансисты-аналитики, бухгалтеры и экономисты в банках, финансовых отделах производственных и коммерческих организаций, в инвестиционных подразделениях страховых...
2-е изд., испр. и доп. — М.: Дело Лтд, 1995. — 320 с. Книга содержит систематизированное изложение методов количественного анализа, необходимого для осуществления широкого спектра разнообразных расчетов, с которыми сталкиваются банкиры, финансисты-аналитики, бухгалтеры и экономисты в банках, финансовых отделах производственных и коммерческих организаций, в инвестиционных...
Учебник. 4-е изд. — М.: Дело, 2004. — 400 с. Отсутствуют страницы 327-376. Учебник содержит последовательное и систематизированное изложение проверенных практикой методов количественного анализа финансовых и кредитных операций. Охвачены как традиционные методы разнообразных расчетов, так и методы, вошедшие в практику в последнее десятилетие. Подробно обсуждаются различные...
Учебник. 3-е изд. — М.: Дело, 2003. - 400 с. Учебник содержит последовательное и систематизированное изложение проверенных практикой методов количественного анализа финансовых и кредитных операций. Охвачены как традиционные методы разнообразных расчетов, так и методы, вошедшие в практику в последнее десятилетие. Подробно обсуждаются различные методы начисления процентов,...
Учебник. 4-е изд. - М.: Дело, 2004. - 400 с.
Учебник содержит последовательное и систематизированное изложение проверенных практикой методов количественного анализа финансовых и кредитных операций. Охвачены как традиционные методы разнообразных расчетов, так и методы, вошедшие в практику в последнее десятилетие. Подробно обсуждаются различные методы начисления процентов,...
Учебник — М.: Дело, 2000. — 400 с.
Учебник содержит последовательное и систематизированное изложение проверенных практикой методов количественного анализа финансовых кредитных операций. Охвачены как традиционные методы разнообразные расчетов, так и методы, вошедшие в практику в последнее десятилетие. Подробно обсуждаются различные методы начисления процентов, обобщающие...
Справочное пособие. — М.: Финансы и статистика, 1990. — 302 с: ил. — ISBN 5-279-00530-4. Справочное пособие содержит систематизированный набор методов, формул и таблиц, необходимых для решения широкого класса финансово-экономических проблем, относящихся как к внутренней, так и к внешнеэкономической деятельности (вычисление процентов, конверсия задолженности, сравнение...
Практикум для самостоятельной работы студентов. — СПбГТУРП. — СПб.: 2009. — 45 с. Рабочая программа и контрольные задания подготовлены с целью оказания методической помощи студентам при изучении сложного и объемного курса, имеющего важное значение для подготовки квалифицированных специалистов.
Учебно-методическое пособие для 2 курса. В пособие даны лабораторные работы по каждой теме. Излагаются теоретические аспекты и примеры к ним с методическим указанием по решению задач. Теория процентов. Облигации Теория портфеля.
Портфельный анализ, модели ценообразования, производные финансовые инструменты. Собранный материал основан на полугодовом курсе по финансовому анализу, прочитанном автором в Финансовой академии при Правительстве РФ. Изложение материала проводится в рамках математических моделей, которые иллюстрируются многочисленными примерами. В каждом разделе изложены основные теоретические...
Учебное пособие. - М.: Издательский дом ГУ ВШЭ, 2006. - 117 с.
В пособии рассматривается один из разделов финансовой математики - облигации с фиксированным доходом и портфели облигаций. Определяются дюрации и выпуклости облигаций и портфелей, сравниваются иммунизация и активные стратегии, приводятся факторные модели и показываются пути их использования, изучаются свопы и...
Учебное пособие. — Красноярск: Красноярский государственный торгово-экономический институт (КГТЭИ), 2007. — 68 с. В учебном пособии представлены методы начисления простых и сложных процентов, операции дисконтирования, производимых при обслуживании клиентов банка, способы учета векселей, методы расчета валютных операций, определение доходности вложений в ценные бумаги и т. д....
2-е изд. — Учебник и практикум для СПО. — М.: Юрайт, 2019. — 176 с. В учебнике рассмотрены базовые детерминированные модели и схемы, используемые в финансово-кредитных расчетах. Приведены практические задания, тесты, справочный материал для самостоятельной работы студентов. Соответствует актуальным требованиям Федерального государственного образовательного стандарта среднего...
Конспект лекций. — Архангельск: Сев. (Аркт.) фед. ун-т, 2011. — 104 с. — ISBN: 978-5-261-00600-8. Конспект лекций по финансовой математике содержит проверочные тесты и список литературы. В конспекте лекций рассмотрены базовые детерминированные модели и схемы, используемые в финансово-кредитных расчетах. Приведены практические задания, тесты, справочный материал для...
Архангельск: С(А)ФУ, 2011. — 92 с. Приведены основные задачи, рассматриваемые в классическом курсе финансовой математики, индивидуальные задания и таблицы. Предназначен для студентов Института строительства и архитектуры очной формы обучения. Введение Простые и сложные проценты Потоки платежей Ценные бумаги Дополнительные задачи Тесты и вопросы по курсу «Финансовая математика»...
М.: КноРус, 2006. — 144 с. Систематизированы методы количественного финансового анализа. Приведены различные методы и способы разнообразных финансовых и кредитных расчетов. Подробно рассмотрены методы начисления процентов, обобщающие характеристики рентных платежей, методики определения эффективности краткосрочных и долгосрочных финансовых вложений. Для студентов, аспирантов и...
Е.В. Ширшов, Н.И. Петрик, А.Г. Тутыгин, Т.В. Меньшикова. — Учебное пособие. — 5-е изд., перераб. и доп. — М.: КноРус, 2010. — 144 с. — ISBN: 978-5-406-00823-2. Систематизированы методы количественного финансового анализа. Приведены различные методы и способы разнообразных финансовых и кредитных расчетов. Подробно рассмотрены методы начисления процентов, обобщающие...
М.: Фазис, 1998. — 512 с. В новой, основополагающей монографии одного из ведущих в мире специалистов по теории вероятностей, математической статистике, финансовой математике А. Н. Ширяева описаны ключевые объекты и структуры финансовых рынков, представлены разнообразные факты их реального функционирования, изложены основные положения ряда классических и неоклассических...
М.: Фазис, 1998. — 512 с.
В новой, основополагающей монографии одного из ведущих в мире специалистов по теории вероятностей, математической статистике, финансовой математике А. Н. Ширяева описаны ключевые объекты и структуры финансовых рынков, представлены разнообразные ФАКТЫ их реального функционирования, изложены основные положения ряда классических и неоклассических...
М.: МЦНМО, 2016. — 440 с. — ISBN 978-5-4439-2391-5. Т. 1: Факты, модели — В первом томе основополагающей монографии одного из ведущих в мире специалистов по теории вероятностей, математической статистике, финансовой математике Альберта Николаевича Ширяева описаны ключевые объекты и структуры финансовых рынков, представлены разнообразные факты их реального функционирования,...
В 2 т. — М.: МЦНМО, 2016. — 461 с. — ISBN 978-5-4439-2392-2. Подготовлено на основе книги : Ширяев А. Н. Основы стохастической финансовой математики : В 2 т. Т. 2 : Теория. М. : МЦНМО, 2016. 464 с. ISBN 978-5-4439-0394-1; 978-5-4439-0396-5 (том 2) Материал настоящего, второго тома , посвященного «Теории» , также состоит из четырех глав: Теория арбитража в стохастических...
М.: Фазис, 1998. — 544 с. — ISBN: 5-7036-0044-8. В новой, основополагающей монографии одного из ведущих в мире специалистов по теории вероятностей, математической статистике, финансовой математике А.Н. Ширяева описаны ключевые объекты и структуры финансовых рынков, представлены разнообразные ФАКТЫ их реального функционирования, изложены основные положения ряда классических и...
М.: Фазис, 1998. — 544 с. — ISBN: 5-7036-0044-8. В новой, основополагающей монографии одного из ведущих в мире специалистов по теории вероятностей, математической статистике, финансовой математике А.Н. Ширяева описаны ключевые объекты и структуры финансовых рынков, представлены разнообразные ФАКТЫ их реального функционирования, изложены основные положения ряда классических и...
М.: МЦНМО, 2016. — 464 с. — ISBN 978-5-4439-2392-2. Т. 1: Факты, модели — В первом томе основополагающей монографии одного из ведущих в мире специалистов по теории вероятностей, математической статистике, финансовой математике Альберта Николаевича Ширяева описаны ключевые объекты и структуры финансовых рынков, представлены разнообразные факты их реального функционирования,...
Электронное издание. — М. : МЦНМО, 2016. — 440 с. — ISBN: 9785443923915 Материал первого тома, состоящий из четырех глав: Глава I. Основные понятия, структуры, инструменты, цели и задачи финансовой теории и финансовой инженерии, Глава II. Стохастические модели. Дискретное время, Глава III. Стохастические модели. Непрерывное время, Глава IV. Статистический анализ финансовых...
Электронное издание. — М. : МЦНМО, 2016. — 461 с. — ISBN: 9785443923922 Во втором томе основополагающей монографии одного из ведущих в мире специалистов по теории вероятностей, математической статистике, финансовой математике Альберта Николаевича Ширяева изложена теория арбитража в стохастических финансовых моделях для дискретного и непрерывного времени, приведены...
Электронное издание. — М. : МЦНМО, 2016. — 461 с. — ISBN: 9785443923922. Во втором томе основополагающей монографии одного из ведущих в мире специалистов по теории вероятностей, математической статистике, финансовой математике Альберта Николаевича Ширяева изложена теория арбитража в стохастических финансовых моделях для дискретного и непрерывного времени, приведены...
Электронное издание. — М. : МЦНМО, 2016. — 440 с. — ISBN: 9785443923915. Материал первого тома, состоящий из четырех глав: * Основные понятия, структуры, инструменты, цели и задачи финансовой теории и финансовой инженерии, * Стохастические модели. Дискретное время, * Стохастические модели. Непрерывное время, * Статистический анализ финансовых данных, – относится к «фактам» и...
М.: Либроком, 2009. — 232 с. — ISBN: 978-5-396-00388-0. 600 DPI, OCR слоя нет. В настоящей книге рассмотрены методы построения и обучения нейронных сетей; описаны наиболее распространенные виды сетей, применяющихся в задачах классификации и анализа временных рядов. Рассмотрено применение сетей к таким расчетам на финансовом рынке, как расчет цен опционов европейского типа,...
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