Modelling Financial Derivatives with MATHEMATICA ® - Couverture rigide

Shaw, William T.

 
9780521592338: Modelling Financial Derivatives with MATHEMATICA ®
Couverture rigide
ISBN 10 : 052159233X ISBN 13 : 9780521592338
Editeur : Cambridge University Press, 1998

Synopsis

One of the most important tasks in finance is to find good mathematical models for financial products, in particular derivatives. However, the more realistic the model, the more practitioners face still-unsolved problems in rigorous mathematics and econometrics in addition to serious numerical difficulties. The idea behind this work is to use Mathematica to provide a wide range of exact benchmark models against which inexact models can be tested and verified. In so doing, the author is able to explain when models and numerical schemes can be relied on, and when they can't. Benchmarking is also applied to Monte Carlo simulations. Mathematica's graphical and animation capabilities are exploited to show how a model's characteristics can be visualised in two and three dimensions, thereby gaining further insight. The models described are all available on an accompanying CD that runs on most Windows and Macintosh platforms; to be able fully to use the software, Mathematica 3.0 is required, though certain features are usable with Mathematica 2.2. This product will prove of inestimable worth for financial instrument valuation and hedging, checking existing models and for analysing derivatives; it can be used for professional or training purposes in financial institutions or universities, and on MBA courses.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

One of the most important tasks in finance is to find good mathematical models for financial products, in particular derivatives. However, the more realistic the model, the more practitioners face still-unsolved problems in rigorous mathematics and econometrics in addition to serious numerical difficulties. The idea behind this work is to use Mathematica to provide a wide range of exact benchmark models against which inexact models can be tested and verified. In so doing, the author is able to explain when models and numerical schemes can be relied on, and when they can't. Benchmarking is also applied to Monte Carlo simulations. Mathematica's graphical and animation capabilities are exploited to show how a model's characteristics can be visualised in two and three dimensions, thereby gaining further insight. The models described are all available on an accompanying CD that runs on most Windows and Macintosh platforms; to be able fully to use the software, Mathematica 3.0 is required, though certain features are usable with Mathematica 2.2. This product will prove of inestimable worth for financial instrument valuation and hedging, checking existing models and for analysing derivatives; it can be used for professional or training purposes in financial institutions or universities, and on MBA courses.

Revue de presse

'Shaw's book has the originality to present the standard mathematics of financial derivatives within a SAC [symbolic and algebraic computation]-assisted framework ... So, should we all become SAC experts? For many, the answer will probably be yes ... There are many useful examples that it will often be a case of looking for the instrument most closely related to the desired one, and adapting the example code as required ... Shaw's book is definitely worth looking at for a few days to get a feel for the ideas and advantages that lie away from the traditional programming approaches - and then could be a strong basis for a longer-term view of the subject.' Gabriele Susinno and Chris Shortland, RISK Magazine

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Cambridge University Press
Date d'édition
1998
Langue
anglais
ISBN 10 
052159233X
ISBN 13 
9780521592338
Reliure
Relié
Nombre de pages
550
Coordonnées du fabricant
non disponible
Personne responsable
Avery
https://www.avery.fr/

chemin des peupliers 27
Dardilly
France