{"product_id":"quantitative-finance-hardback-9781118629956","title":"Quantitative Finance (Hardback) 9781118629956","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eQuantitative Finance\u003c\/font\u003e\u003cbr\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003c\/p\u003e\n\u003cp\u003e\u003cfont size=\"4\"\u003eMaria Cristina Mariani (Author), Ionut Florescu (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9781118629956, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 23 January 2020\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e496 pages\u003cbr\u003e23.1 x 15.5 x 2.8 cm, 0.862 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003e\u003cp\u003e\u003cb\u003ePresents a multitude of topics relevant to the quantitative finance community by combining the best of the theory with the usefulness of applications\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWritten by accomplished teachers and researchers in the field, this book presents quantitative finance theory through applications to specific practical problems and comes with accompanying coding techniques in R and MATLAB, and some generic pseudo-algorithms to modern finance. It also offers over 300 examples and exercises that are appropriate for the beginning student as well as the practitioner in the field.\u003c\/p\u003e \u003cp\u003eThe\u003ci\u003e Quantitative Finance\u003c\/i\u003e book is divided into four parts. Part One begins by providing readers with the theoretical backdrop needed from probability and stochastic processes. We also present some useful finance concepts used throughout the book. In part two of the book we present the classical Black-Scholes-Merton model in a uniquely accessible and understandable way. Implied volatility as well as local volatility surfaces are also discussed. Next, solutions to Partial Differential Equations (PDE), wavelets and Fourier transforms are presented. Several methodologies for pricing options namely, tree methods, finite difference method and Monte Carlo simulation methods are also discussed. We conclude this part with a discussion on stochastic differential equations (SDE’s). In the third part of this book, several new and advanced models from current literature such as general Lvy processes, nonlinear PDE's for stochastic volatility models in a transaction fee market, PDE's in a jump-diffusion with stochastic volatility models and factor and copulas models are discussed. In part four of the book, we conclude with a solid presentation of the typical topics in fixed income securities and derivatives. We discuss models for pricing bonds market, marketable securities, credit default swaps (CDS) and securitizations.\u003c\/p\u003e \u003cul\u003e \u003cli\u003eClassroom-tested over a three-year period with the input of students and experienced practitioners\u003c\/li\u003e \u003cli\u003eEmphasizes the volatility of financial analyses and interpretations\u003c\/li\u003e \u003cli\u003eWeaves theory with application throughout the book\u003c\/li\u003e \u003cli\u003eUtilizes R and MATLAB software programs\u003c\/li\u003e \u003cli\u003ePresents pseudo-algorithms for readers who do not have access to any particular programming system\u003c\/li\u003e \u003cli\u003eSupplemented with extensive author-maintained web site that includes helpful teaching hints, data sets, software programs, and additional content \u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003e\u003ci\u003eQuantitative Finance\u003c\/i\u003e is an ideal textbook for upper-undergraduate and beginning graduate students in statistics, financial engineering, quantitative finance, and mathematical finance programs. It will also appeal to practitioners in the same fields.\u003c\/p\u003e\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e\u003cp\u003eList of Figures xv\u003cbr\u003eList of Tables xvii\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart I Stochastic Processes and Finance 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Stochastic Processes 3\u003cbr\u003e\u003c\/b\u003e1.1 Introduction 3\u003cbr\u003e1.2 General Characteristics of Stochastic Processes 4\u003cbr\u003e1.3 Variation and Quadratic Variation of Stochastic Processes 11\u003cbr\u003e1.4 Other More Specific Properties 13\u003cbr\u003e1.5 Examples of Stochastic Processes 14\u003cbr\u003e1.6 Borel—Cantelli Lemmas 19\u003cbr\u003e1.7 Central Limit Theorem 20\u003cbr\u003e1.8 Stochastic Differential Equation 20\u003cbr\u003e1.9 Stochastic Integral 21\u003cbr\u003e1.10 Maximization and Parameter Calibration of Stochastic Processes 22\u003cbr\u003e1.11 Quadrature Methods 26\u003cbr\u003e1.12 Problems 29\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Basics of Finance 33\u003cbr\u003e\u003c\/b\u003e2.1 Introduction 33\u003cbr\u003e2.2 Arbitrage 33\u003cbr\u003e2.3 Options 35\u003cbr\u003e2.4 Hedging 39\u003cbr\u003e2.5 Modeling Return of Stocks 40\u003cbr\u003e2.6 Continuous Time Model 41\u003cbr\u003e2.7 Problems 45\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart II Quantitative Finance in Practice 47\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Some Models Used in Quantitative Finance 49\u003cbr\u003e\u003c\/b\u003e3.1 Introduction 49\u003cbr\u003e3.2 Assumptions for the Black–Scholes–Merton Derivation 49\u003cbr\u003e3.3 The B-S Model 50\u003cbr\u003e3.4 Some Remarks on the B-S Model 58\u003cbr\u003e3.5 Heston Model 60\u003cbr\u003e3.6 The Cox–Ingersoll–Ross (CIR) Model 63\u003cbr\u003e3.7 Stochastic α, β, ρ (SABR) Model 64\u003cbr\u003e3.8 Methods for Finding Roots of Functions: Implied Volatility 65\u003cbr\u003e3.9 Some Remarks of Implied Volatility (Put–Call Parity) 69\u003cbr\u003e3.10 Hedging Using Volatility 70\u003cbr\u003e3.11 Functional Approximation Methods 73\u003cbr\u003e3.12 Problems 79\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Solving Partial Differential Equations 83\u003cbr\u003e\u003c\/b\u003e4.1 Introduction 83\u003cbr\u003e4.2 Useful Definitions and Types of PDEs 83\u003cbr\u003e4.3 Functional Spaces Useful for PDEs 85\u003cbr\u003e4.4 Separation of Variables 88\u003cbr\u003e4.5 Moment-Generating Laplace Transform 91\u003cbr\u003e4.6 Application of the Laplace Transform to the Black–Scholes PDE 96\u003cbr\u003e4.7 Problems 99\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Wavelets and Fourier Transforms 101\u003cbr\u003e\u003c\/b\u003e5.1 Introduction 101\u003cbr\u003e5.2 Dynamic Fourier Analysis 101\u003cbr\u003e5.3 Wavelets Theory 109\u003cbr\u003e5.4 Examples of Discrete Wavelets Transforms (DWT) 112\u003cbr\u003e5.5 Application of Wavelets Transform 116\u003cbr\u003e5.6 Problems 118\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Tree Methods 121\u003cbr\u003e\u003c\/b\u003e6.1 Introduction 121\u003cbr\u003e6.2 Tree Methods: the Binomial Tree 122\u003cbr\u003e6.3 Tree Methods for Dividend-Paying Assets 135\u003cbr\u003e6.4 Pricing Path-Dependent Options: Barrier Options 139\u003cbr\u003e6.5 Trinomial Tree Method and Other Considerations 140\u003cbr\u003e6.6 Markov Process 143\u003cbr\u003e6.7 Basic Elements of Operators and Semigroup Theory 146\u003cbr\u003e6.8 General Diffusion Process 152\u003cbr\u003e6.9 A General Diffusion Approximation Method 156\u003cbr\u003e6.10 Particle Filter Construction 159\u003cbr\u003e6.11 Quadrinomial Tree Approximation 163\u003cbr\u003e6.12 Problems 173\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Approximating PDEs 177\u003cbr\u003e\u003c\/b\u003e7.1 Introduction 177\u003cbr\u003e7.2 The Explicit Finite Difference Method 179\u003cbr\u003e7.3 The Implicit Finite Difference Method 180\u003cbr\u003e7.4 The Crank–Nicolson Finite Difference Method 183\u003cbr\u003e7.5 A Discussion About the Necessary Number of Nodes in the Schemes 184\u003cbr\u003e7.6 Solution of a Tridiagonal System 186\u003cbr\u003e7.7 Heston PDE 188\u003cbr\u003e7.8 Methods for Free Boundary Problems 191\u003cbr\u003e7.9 Methods for Pricing American Options 199\u003cbr\u003e7.10 Problems 201\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Approximating Stochastic Processes 203\u003cbr\u003e\u003c\/b\u003e8.1 Introduction 203\u003cbr\u003e8.2 Plain Vanilla Monte Carlo Method 203\u003cbr\u003e8.3 Approximation of Integrals Using the Monte Carlo Method 205\u003cbr\u003e8.4 Variance Reduction 205\u003cbr\u003e8.5 American Option Pricing with Monte Carlo Simulation 208\u003cbr\u003e8.6 Nonstandard Monte Carlo Methods 216\u003cbr\u003e8.7 Generating One-Dimensional Random Variables by Inverting the cdf 218\u003cbr\u003e8.8 Generating One-Dimensional Normal Random Variables 220\u003cbr\u003e8.9 Generating Random Variables: Rejection Sampling Method 224\u003cbr\u003e8.10 Generating Random Variables: Importance Sampling 236\u003cbr\u003e8.11 Problems 242\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Stochastic Differential Equations 245\u003cbr\u003e\u003c\/b\u003e9.1 Introduction 245\u003cbr\u003e9.2 The Construction of the Stochastic Integral 246\u003cbr\u003e9.3 Properties of the Stochastic Integral 253\u003cbr\u003e9.4 Itô Lemma 254\u003cbr\u003e9.5 Stochastic Differential Equations (SDEs) 257\u003cbr\u003e9.6 Examples of Stochastic Differential Equations 260\u003cbr\u003e9.7 Linear Systems of SDEs 268\u003cbr\u003e9.8 Some Relationship Between SDEs and Partial Differential Equations (PDEs) 271\u003cbr\u003e9.9 Euler Method for Approximating SDEs 273\u003cbr\u003e9.10 Random Vectors: Moments and Distributions 277\u003cbr\u003e9.11 Generating Multivariate (Gaussian) Distributions with Prescribed Covariance Structure 281\u003cbr\u003e9.12 Problems 283\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart III Advanced Models for Underlying Assets 287\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Stochastic Volatility Models 289\u003cbr\u003e\u003c\/b\u003e10.1 Introduction 289\u003cbr\u003e10.2 Stochastic Volatility 289\u003cbr\u003e10.3 Types of Continuous Time SV Models 290\u003cbr\u003e10.4 Derivation of Formulae Used: Mean-Reverting Processes 296\u003cbr\u003e10.5 Problems 301\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 Jump Diffusion Models 303\u003cbr\u003e\u003c\/b\u003e11.1 Introduction 303\u003cbr\u003e11.2 The Poisson Process (Jumps) 303\u003cbr\u003e11.3 The Compound Poisson Process 304\u003cbr\u003e11.4 The Black–Scholes Models with Jumps 305\u003cbr\u003e11.5 Solutions to Partial-Integral Differential Systems 310\u003cbr\u003e11.6 Problems 322\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 General Lévy Processes 325\u003cbr\u003e\u003c\/b\u003e12.1 Introduction and Definitions 325\u003cbr\u003e12.2 Lévy Processes 325\u003cbr\u003e12.3 Examples of Lévy Processes 329\u003cbr\u003e12.4 Subordination of Lévy Processes 331\u003cbr\u003e12.5 Rescaled Range Analysis (Hurst Analysis) and Detrended Fluctuation Analysis (DFA) 332\u003cbr\u003e12.6 Problems 336\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13 Generalized Lévy Processes, Long Range Correlations, and Memory Effects 337\u003cbr\u003e\u003c\/b\u003e13.1 Introduction 337\u003cbr\u003e13.2 The Lévy Flight Models 339\u003cbr\u003e13.3 Sum of Lévy Stochastic Variables with Different Parameters 347\u003cbr\u003e13.4 Examples and Applications 352\u003cbr\u003e13.5 Problems 362\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14 Approximating General Derivative Prices 365\u003cbr\u003e\u003c\/b\u003e14.1 Introduction 365\u003cbr\u003e14.2 Statement of the Problem 368\u003cbr\u003e14.3 A General Parabolic Integro-Differential Problem 370\u003cbr\u003e14.4 Solutions in Bounded Domains 372\u003cbr\u003e14.5 Construction of the Solution in the Whole Domain 385\u003cbr\u003e14.6 Problems 386\u003c\/p\u003e \u003cp\u003e\u003cb\u003e15 Solutions to Complex Models Arising in the Pricing of Financial Options 389\u003cbr\u003e\u003c\/b\u003e15.1 Introduction 389\u003cbr\u003e15.2 Option Pricing with Transaction Costs and Stochastic Volatility 389\u003cbr\u003e15.3 Option Price Valuation in the Geometric Brownian Motion Case with Transaction Costs 390\u003cbr\u003e15.4 Stochastic Volatility Model with Transaction Costs 392\u003cbr\u003e15.5 The PDE Derivation When the Volatility is a Traded Asset 393\u003cbr\u003e15.6 Problems 400\u003c\/p\u003e \u003cp\u003e\u003cb\u003e16 Factor and Copulas Models 403\u003cbr\u003e\u003c\/b\u003e16.1 Introduction 403\u003cbr\u003e16.2 Factor Models 403\u003cbr\u003e16.3 Copula Models 409\u003cbr\u003e16.4 Problems 412\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart IV Fixed Income Securities and Derivatives 413\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e17 Models for the Bond Market 415\u003cbr\u003e\u003c\/b\u003e17.1 Introduction and Notations 415\u003cbr\u003e17.2 Notations 415\u003cbr\u003e17.3 Caps and Swaps 417\u003cbr\u003e17.4 Valuation of Basic Instruments: Zero Coupon and Vanilla Options on Zero Coupon 419\u003cbr\u003e17.5 Term Structure Consistent Models 422\u003cbr\u003e17.6 Inverting the Yield Curve 426\u003cbr\u003e17.7 Problems 428\u003c\/p\u003e \u003cp\u003e\u003cb\u003e18 Exchange Traded Funds (ETFs), Credit Default Swap (CDS), and Securitization 431\u003cbr\u003e\u003c\/b\u003e18.1 Introduction 431\u003cbr\u003e18.2 Exchange Traded Funds (ETFs) 431\u003cbr\u003e18.3 Credit Default Swap (CDS) 436\u003cbr\u003e18.4 Mortgage Backed Securities (MBS) 440\u003cbr\u003e18.5 Collateralized Debt Obligation (CDO) 441\u003cbr\u003e18.6 Problems 443\u003c\/p\u003e \u003cp\u003eBibliography 445\u003cbr\u003eIndex 459\u003c\/p\u003e\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Finance \u0026amp; accounting [\u003ca title=\"See our other books on Finance \u0026amp; accounting\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Finance%20\u0026amp;%20accounting%20%5BKF%5D%22\"\u003eKF\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Wiley","offers":[{"title":"Brand New","offer_id":52417794277656,"sku":"9781118629956","price":86.29,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/files\/9781118629956.jpg?v=1784509633","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/quantitative-finance-hardback-9781118629956","provider":"Freshly Printed Books","version":"1.0","type":"link"}