1st Edition
by Christian Fries (Author)
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 shortening life-cycle of the individual derivative product,
an efficient, yet modular, implementation of the pricing algorithms is
necessary. Mathematical Finance is the first book to harmonize
the theory, modeling, and implementation of today's most prevalent
pricing models under one convenient cover. Building a bridge from
academia to practice, this self-contained text applies theoretical
concepts to real-world examples and introduces state-of-the-art,
object-oriented programming techniques that equip the reader with the
conceptual and illustrative tools needed to understand and develop
successful derivative pricing models.
Utilizing almost twenty
years of academic and industry experience, the author discusses the
mathematical concepts that are the foundation of commonly used
derivative pricing models, and insightful Motivation and Interpretation
sections for each concept are presented to further illustrate the
relationship between theory and practice. In-depth coverage of the
common characteristics found amongst successful pricing models are
provided in addition to key techniques and tips for the construction of
these models. The opportunity to interactively explore the book's
principal ideas and methodologies is made possible via a related Web
site that features interactive Java experiments and exercises.
While a high standard of mathematical precision is retained, Mathematical Finance
emphasizes practical motivations, interpretations, and results and is
an excellent textbook for students in mathematical finance,
computational finance, and derivative pricing courses at the upper
undergraduate or beginning graduate level. It also serves as a valuable
reference for professionals in the banking, insurance, and asset
management industries.
