Financial engineering and computation : principles, mathematics, algorithms

Yuh-Dauh Lyuu

This comprehensive text and reference combines the theory behind financial engineering with numerous algorithms for pricing, risk management, and portfolio management. It offers a thorough grounding in the subject for students and researchers in computational finance, system analysts, and financial engineers. Java programs for the Web are available from the book's home page

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Year of publication:	2002
Authors:	Lyuu, Yuh-dauh
Publisher:	Cambridge, UK : Cambridge University Press
Subject:	Financial Engineering \| Financial engineering \| Theorie \| Theory \| Algorithmus \| Algorithm \| Finanzmathematik \| Mathematical finance \| Mathematische Optimierung \| Mathematical programming \| Mathematik \| Mathematics \| Finanzmarkt \| Financial market
Description of contents:	Table of Contents [external.dandelon.com] ; Description [zbmath.org]

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Extent:	Online-Ressource (xix, 627 p) ill 26 cm
Type of publication:	Book / Working Paper
Language:	English
Notes:	Includes bibliographical references (p. 553-583) and index Cover; Half-title; Title; Copyright; Dedication; Contents; Preface; Useful Abbreviations; CHAPTER ONE Introduction; CHAPTER TWO Analysis of Algorithms; CHAPTER THREE Basic Financial Mathematics; CHAPTER FOUR Bond Price Volatility; CHAPTER FIVE Term Structure of Interest Rates; CHAPTER SIX Fundamental Statistical Concepts; CHAPTER SEVEN Option Basics; CHAPTER EIGHT Arbitrage in Option Pricing; CHAPTER NINE Option Pricing Models; CHAPTER TEN Sensitivity Analysis of Options; CHAPTER ELEVEN Extensions of Options Theory; CHAPTER TWELVE Forwards, Futures, Futures Options, Swaps CHAPTER THIRTEEN Stochastic Processes and Brownian MotionCHAPTER FOURTEEN Continuous-Time Financial Mathematics; CHAPTER FIFTEEN Continuous-Time Derivatives Pricing; CHAPTER SIXTEEN Hedging; CHAPTER SEVENTEEN Trees; CHAPTER EIGHTEEN Numerical Methods; CHAPTER NINETEEN Matrix Computation; CHAPTER TWENTY Time Series Analysis; CHAPTER TWENTY-ONE Interest Rate Derivative Securities; CHAPTER TWENTY-TWO Term Structure Fitting; CHAPTER TWENTY-THREE Introduction to Term Structure Modeling; CHAPTER TWENTY-FOUR Foundations of Term Structure Modeling CHAPTER TWENTY-FIVE Equilibrium Term Structure ModelsCHAPTER TWENTY-SIX No-Arbitrage Term Structure Models; CHAPTER TWENTY-SEVEN Fixed-Income Securities; CHAPTER TWENTY-EIGHT Introduction to Mortgage-Backed Securities; CHAPTER TWENTY-NINE Analysis of Mortgage-Backed Securities; CHAPTER THIRTY Collateralized Mortgage Obligations; CHAPTER THIRTY-ONE Modern Portfolio Theory; CHAPTER THIRTY-TWO Software; CHAPTER THIRTY-THREE Answers to Selected Exercises; Bibliography; Glossary of Useful Notations; Index Electronic reproduction; Available via World Wide Web
ISBN:	0-521-78171-X ; 978-0-521-78171-8
Source:	ECONIS - Online Catalogue of the ZBW

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