IN THIS PAGE YOU CAN FIND:
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IN THIS PAGE YOU CAN FIND:
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| One of the major challenges any
financial engineerhas to cope with is the practical implementation of
mathematical modelsfor pricing derivative securities: One has to
address a number of practicalissues that are often neglected in the
theory, such as the choice of asatisfactory model, the calibration of
the selected model to a set of marketdata, the implementation of
efficient routines, and so on. Therefore, thisbook aims both at
explaining rigorously how models work in theory and atsuggesting how to
implement them for concrete pricing. This is an areathat is rarely
covered by books on mathematical finance. A clear benefitof the
approach presented in this book is that practice can help to
appreciatetheory thus generating a feedback that is one of the most
intriguing aspectsof modeling and more generally of scientific
investigation. Thus the book can help quantitative analystsand advanced traders price and hedge interest-rate derivatives with a soundtheoretical apparatus, explaining which models can be used in practicefor some major concrete problems. Moreover, the book can help academicsdevelop a feeling for the practical problems in the market that can besolved with the use of relatively advanced tools of mathematics and stochasticcalculus in particular. Advanced undergraduate students, graduate studentsand researchers should benefit as well from seeing how some sophisticatedmathematics can be used in concrete financial problems |
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TABLE of
CONTENTS
| Click here to download a PDF version of our book's table of contents |
| Click here to download a PDF version of our book's preface, which also contains a detailed description of the book's chapters. |
| You can download PDF versions of part of two sections in our book: |
 Click here to download
a guided tour on the LIBOR market model. |
| Click here to download an introduction to the smile problem for the LIBOR
market model. |
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