Financial Engineering and Computation: Principles, Mathematics, Algorithms / Edition 1

by Yuh-Dauh Lyuu

Overview

Nowadays students and professionals intending to work in any area of finance must master not only advanced concepts and mathematical models but also learn how to implement these models computationally. This comprehensive text combines the theory and mathematics behind financial engineering with an emphasis on computation, in keeping with the way financial engineering is practiced in today's capital markets. Unlike most books on investments, financial engineering, or derivative securities, the book starts from very basic ideas in finance and gradually builds up the theory. It offers a thorough grounding in the subject for MBAs in finance, students of engineering and sciences who are pursuing a career in finance, researchers in computational finance, system analysts, and financial engineers. Along with the theory, the author presents numerous algorithms for pricing, risk management, and portfolio management. The emphasis is on pricing financial and derivative securities: bonds, options, futures, forwards, interest rate derivatives, mortgage-backed securities, bonds with embedded options, and more. Each instrument is treated in a short, self-contained chapter for ready reference use. Many of these algorithms are coded in Java as programs for the Web, available from the book's home page (www.csie.ntu.edu/~lyuu/Capitals/capitals.htm)

Product Details

ISBN-13:	9780521781718
Publisher:	Cambridge University Press
Publication date:	11/12/2001
Edition description:	New Edition
Pages:	648
Product dimensions:	7.01(w) x 10.00(h) x 1.38(d)

Table of Contents

1. Introduction; 2. Analysis of algorithms; 3. Basic financial mathematics; 4. Bond price volatility; 5. Term structure of interest rates; 6. Fundamental statistical concepts; 7. Option basics; 8. Arbitrage in option pricing; 9. Option pricing models; 10. Sensitivity analysis of options; 11. Extensions of options theory; 12. Forwards, futures, futures options, swaps; 13. Stochastic processes and Brownian motion; 14. Continuous-time financial mathematics; 15. Continuous-time pricing; 16. Hedging; 17. Trees; 18. Numerical methods; 19. Matrix computation; 20. Time series and estimation; 21. Interest rate derivative securities; 22. Term structure fitting; 23. Introduction to term structure modeling; 24. Foundations of term structure modeling; 25. Equilibrium term structure models; 26. No-arbitrage term structure models; 27. Fixed-income securities; 28. Introduction to mortgage-backed securities; 29. Analysis of mortgage-backed securities; 30. Collateralized mortgage obligations; 31. Modern portfolio theory; 32. Software.

Editorial Reviews

'… offers a thorough grounding in the subject or MBAs in finance, students of engineering and sciences who are pursuing a career in finance, researchers in computational finance, system analysts, and financial engineers.' Zentralblatt für Didaktik der Mathematik

From the Publisher

Lyuu (National Taiwan U.), writing mainly for students of engineering and natural sciences who want to study quantitative finance for academic or professional reasons, presents an interdisciplinary look at financial engineering that attempts to cover investment theory, financial mathematics, and computer science evenly. Assuming no background in finance, Lyuu presents numerical techniques algorithmically and explains the underlying financial theory. Numerous exercises are presented and are intended by the author to be an integral part of the text. Annotation c. Book News, Inc., Portland, OR (booknews.com)