{"product_id":"problems-and-solutions-in-mathematical-finance-volume-2-isbn-9781119965824","title":"Problems and Solutions in Mathematical Finance, Volume 2","description":"\u003cb\u003eDetailed guidance on the mathematics behind equity derivatives\u003c\/b\u003e  \u003cp\u003e\u003ci\u003eProblems and Solutions in Mathematical Finance Volume II\u003c\/i\u003e is an innovative reference for quantitative practitioners and students, providing guidance through a range of mathematical problems encountered in the finance industry. This volume focuses solely on equity derivatives problems, beginning with basic problems in derivatives securities before moving on to more advanced applications, including the construction of volatility surfaces to price exotic options. By providing a methodology for solving theoretical and practical problems, whilst explaining the limitations of financial models, this book helps readers to develop the skills they need to advance their careers. The text covers a wide range of derivatives pricing, such as European, American, Asian, Barrier and other exotic options. Extensive appendices provide a summary of important formulae from calculus, theory of probability, and differential equations, for the convenience of readers.\u003c\/p\u003e \u003cp\u003eAs Volume II of the four-volume \u003ci\u003eProblems and Solutions in Mathematical Finance\u003c\/i\u003e series, this book provides clear explanation of the mathematics behind equity derivatives, in order to help readers gain a deeper understanding of their mechanics and a firmer grasp of the calculations.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eReview the fundamentals of equity derivatives\u003c\/li\u003e \u003cli\u003eWork through problems from basic securities to advanced exotics pricing\u003c\/li\u003e \u003cli\u003eExamine numerical methods and detailed derivations of closed-form solutions\u003c\/li\u003e \u003cli\u003eUtilise formulae for probability, differential equations, and more\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eMathematical finance relies on mathematical models, numerical methods, computational algorithms and simulations to make trading, hedging, and investment decisions. For the practitioners and graduate students of quantitative finance, \u003ci\u003eProblems and Solutions in Mathematical Finance Volume II\u003c\/i\u003e provides essential guidance principally towards the subject of equity derivatives.\u003c\/p\u003e \u003cp\u003ePreface ix\u003c\/p\u003e \u003cp\u003eAbout the Authors xi\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Basic Equity Derivatives Theory 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Introduction 1\u003c\/p\u003e \u003cp\u003e1.2 Problems and Solutions 8\u003c\/p\u003e \u003cp\u003e1.2.1 Forward and Futures Contracts 8\u003c\/p\u003e \u003cp\u003e1.2.2 Options Theory 15\u003c\/p\u003e \u003cp\u003e1.2.3 Hedging Strategies 27\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 European Options 63\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Introduction 63\u003c\/p\u003e \u003cp\u003e2.2 Problems and Solutions 74\u003c\/p\u003e \u003cp\u003e2.2.1 Basic Properties 74\u003c\/p\u003e \u003cp\u003e2.2.2 Black–Scholes Model 89\u003c\/p\u003e \u003cp\u003e2.2.3 Tree-Based Methods 190\u003c\/p\u003e \u003cp\u003e2.2.4 The Greeks 218\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 American Options 267\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Introduction 267\u003c\/p\u003e \u003cp\u003e3.2 Problems and Solutions 271\u003c\/p\u003e \u003cp\u003e3.2.1 Basic Properties 271\u003c\/p\u003e \u003cp\u003e3.2.2 Time-Independent Options 292\u003c\/p\u003e \u003cp\u003e3.2.3 Time-Dependent Options 305\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Barrier Options 351\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Introduction 351\u003c\/p\u003e \u003cp\u003e4.2 Problems and Solutions 357\u003c\/p\u003e \u003cp\u003e4.2.1 Probabilistic Approach 357\u003c\/p\u003e \u003cp\u003e4.2.2 Reflection Principle Approach 386\u003c\/p\u003e \u003cp\u003e4.2.3 Further Barrier-Style Options 408\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Asian Options 439\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Introduction 439\u003c\/p\u003e \u003cp\u003e5.2 Problems and Solutions 443\u003c\/p\u003e \u003cp\u003e5.2.1 Discrete Sampling 443\u003c\/p\u003e \u003cp\u003e5.2.2 Continuous Sampling 480\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Exotic Options 531\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Introduction 531\u003c\/p\u003e \u003cp\u003e6.2 Problems and Solutions 532\u003c\/p\u003e \u003cp\u003e6.2.1 Path-Independent Options 532\u003c\/p\u003e \u003cp\u003e6.2.2 Path-Dependent Options 586\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Volatility Models 647\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Introduction 647\u003c\/p\u003e \u003cp\u003e7.2 Problems and Solutions 652\u003c\/p\u003e \u003cp\u003e7.2.1 Historical and Implied Volatility 652\u003c\/p\u003e \u003cp\u003e7.2.2 Local Volatility 685\u003c\/p\u003e \u003cp\u003e7.2.3 Stochastic Volatility 710\u003c\/p\u003e \u003cp\u003e7.2.4 Volatility Derivatives 769\u003c\/p\u003e \u003cp\u003eA Mathematics Formulae 787\u003c\/p\u003e \u003cp\u003eB Probability Theory Formulae 797\u003c\/p\u003e \u003cp\u003eC Differential Equations Formulae 813\u003c\/p\u003e \u003cp\u003eBibliography 821\u003c\/p\u003e \u003cp\u003eNotation 825\u003c\/p\u003e \u003cp\u003eIndex 829\u003c\/p\u003e  \u003cstrong\u003eDr. Eric Chin\u003c\/strong\u003e (London, UK) is a quantitative analyst at Standard Chartered Bank where he is involved in providing guidance on price testing methodologies and their implementation, formulating model calibration and model appropriateness across all asset classes. \u003cp\u003e\u003cstrong\u003eDian Nel\u003c\/strong\u003e (London, UK) is a quantitative analyst currently working for Norwegian Energy and has many years experience in energy markets where his main interests include exotic options, portfolio optimisation and hedging in incomplete markets. \u003c\/p\u003e\u003cp\u003e\u003cstrong\u003eDr. Sverrir ?lafsson\u003c\/strong\u003e?(Reykjavik, Iceland) is a professor in the School of Business at the University of Reykjavik, Iceland and a visiting professor in the Department of Electrical Engineering and Computer Science at Queen Mary University of London. He is also the director of Riskcon Ltd a UK based consultancy on risk management.    \u003c\/p\u003e\u003cp\u003e\u003cb\u003eProblems and Solutions in Mathematical Finance\u003c\/b\u003e  \u003c\/p\u003e\u003cp\u003eVOLUME \u003cb\u003e2\u003c\/b\u003e  \u003c\/p\u003e\u003cp\u003eEquity Derivatives  \u003c\/p\u003e\u003cp\u003e\u003cb\u003eEric Chin, Dian Nel and Sverrir Ólafsson\u003c\/b\u003e  \u003c\/p\u003e\u003cp\u003eThe quantitative methods required for the pricing and hedging of a range of financial securities are drawn from mathematical finance, an important and rapidly growing discipline. In an increasingly complex financial world, the role of mathematical finance is indispensable. It follows that successful financial engineers or quants need to have an excellent grasp of all the major technicalities of mathematical finance to master its diverse applications in the financial industry.  \u003c\/p\u003e\u003cp\u003e\u003cb\u003e\u003ci\u003eProblems and Solutions in Mathematical Finance Volume 2: Equity Derivatives\u003c\/i\u003e\u003c\/b\u003e is the second of a four-volume set of books focusing on problems and solutions in mathematical finance.  \u003c\/p\u003e\u003cp\u003eThe first volume in the series introduced the reader to all the important concepts in probability and stochastic calculus. The second volume covers a broad area of equity derivative contracts, ranging from vanilla options to various more complex options such as time dependent American, compound, barrier and volatility options. The theoretical presentation and its effective integration with a wide range of problems is clear and to the point. This approach brings the student quickly to the forefront of the modern practice of mathematical finance.  \u003c\/p\u003e\u003cp\u003eThis series is unique as it provides the student with rigorous but yet intuitive explanations of some highly technical material further deepened by extensive real-world examples.  \u003c\/p\u003e\u003cp\u003eWritten mainly for students, industry practitioners and those involved in teaching in this field of study,\u003ci\u003e Equity Derivatives\u003c\/i\u003e provides a valuable reference book to complement one's further understanding of mathematical finance.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989859647717,"sku":"NP9781119965824","price":68.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9781119965824.jpg?v=1761785704","url":"https:\/\/k12savings.com\/es\/products\/problems-and-solutions-in-mathematical-finance-volume-2-isbn-9781119965824","provider":"K12savings","version":"1.0","type":"link"}