Computational Financial Mathematics using MATHEMATICA®: Optimal Trading in Stocks and Options [Hardcover]

Srdjan Stojanovic (Author)

Book Description

ISBN-10: 0817641971 | ISBN-13: 978-0817641979 | Publication Date: October 4, 2002 | Edition: XI, 481 pp., 250 illus.

Given the explosion of interest in mathematical methods for solving problems in finance and trading, a great deal of research and development is taking place in universities, large brokerage firms, and in the supporting trading software industry. Mathematical advances have been made both analytically and numerically in finding practical solutions. This book provides a comprehensive overview of existing and original material, about what mathematics when allied with Mathematica can do for finance. Sophisticated theories are presented systematically in a user-friendly style, and a powerful combination of mathematical rigor and Mathematica programming. Three kinds of solution methods are emphasized: symbolic, numerical, and Monte-- Carlo. Nowadays, only good personal computers are required to handle the symbolic and numerical methods that are developed in this book. Key features: * No previous knowledge of Mathematica programming is required * The symbolic, numeric, data management and graphic capabilities of Mathematica are fully utilized * Monte--Carlo solutions of scalar and multivariable SDEs are developed and utilized heavily in discussing trading issues such as Black--Scholes hedging * Black--Scholes and Dupire PDEs are solved symbolically and numerically * Fast numerical solutions to free boundary problems with details of their Mathematica realizations are provided * Comprehensive study of optimal portfolio diversification, including an original theory of optimal portfolio hedging under non-Log-Normal asset price dynamics is presented The book is designed for the academic community of instructors and students, and most importantly, will meet the everyday trading needs of quantitatively inclined professional and individual investors.

Editorial Reviews

Review

"Stojanovic offers an excellent, user-friendly presentation of advanced mathematical techniques and Mathematica programming for solving problems in finance and trading. He demonstrates the value of probability, mathematical statistics, calculus of variations, and optimal control of stochastic, ordinary and partial differential equations to the study of market analysis. Solutions are computed symbolically, numerically, or by means of Monte-Carlo simulations.... A very useful and valuable book for researchers, students, professionals, and individual investors."   —Choice "It is an innovative approach and is very useful for students and practitioners in finance to learn how to use mathematics for investment analysis."   —Mathematical Reviews "This book is a state-of-the-art introduction to the mathematics of computational finance. The author reviews and extends several recent breakthroughs and also provides new material, which is highly recommended. The novel use of Mathematica enhances the learning experience by letting the reader focus on the essential ideas. I thoroughly recommend this book to both students and practitioners."   —Peter Carr, Courant Institute, New York University

Product Details

• Hardcover: 492 pages
• Publisher: Birkhäuser Boston; XI, 481 pp., 250 illus. edition (October 4, 2002)
• Language: English
• ISBN-10: 0817641971
• ISBN-13: 978-0817641979
• Product Dimensions: 9.3 x 5.9 x 1.2 inches
• Shipping Weight: 1.6 pounds
• Average Customer Review: 4.5 out of 5 stars  See all reviews (4 customer reviews)
• Amazon Best Sellers Rank: #1,041,037 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

8 of 8 people found the following review helpful:

4.0 out of 5 stars Tough book but very useful, August 7, 2006

By 

Neurasthenic "neurasthenic" (New York City, New York) - See all my reviews
(VINE VOICE)   

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This review is from: Computational Financial Mathematics using MATHEMATICA®: Optimal Trading in Stocks and Options (Hardcover)

This book is merciless; very complex, very dense. It is also, however, extremely useful. If Stojanovic were to publish ten more books on the topic, he would probably revolutionize the use of Mathematica in finance. The enclosed CD was also useful; such things are usually worthless but in this case, the book contains so much code that it would not be practical to implement without a digital copy.

The book is certainly a bargain at $70.

7 of 8 people found the following review helpful:

5.0 out of 5 stars Best book on the subject I've read!, January 3, 2007

By 

I. Riley Jackson (Schaumburg, IL) - See all my reviews
(REAL NAME)   

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This review is from: Computational Financial Mathematics using MATHEMATICA®: Optimal Trading in Stocks and Options (Hardcover)

I've read a lot about financial math (I'm a physicist and love mathematics). This book is a gift. Just the tips (and code) on using Mathematica to process the data are worth the price alone. I don't buy into the Efficient Market Hypothesis and this book delivers (section 8.2) on fast markets. He correctly looks at the cash balance, something most folks gloss over, and sets up the various symbolic and numerical solutions in a useful way. The language is a bit terse and the structure drove me nuts until I got into the swing of the rhythm of the flow. I am grateful for the language now - we get a detailed look into the mind of someone who just plain KNOWS this subject. The fact you get the whole book as a series of Mathematica notebooks which are executible is a real plus. A few quick changes to the code and you have YOUR problem well on the way to solution. It is practical, explicitly direct, charmingly theoretical and powerfully presented. The only problem is I want a second volume and I want it NOW!

5 of 6 people found the following review helpful:

5.0 out of 5 stars Best Book on Finance I have ever read., May 18, 2006

By 

Spyros Travlos - See all my reviews

This review is from: Computational Financial Mathematics using MATHEMATICA®: Optimal Trading in Stocks and Options (Hardcover)

Its a tough read, but well worth it, most of the work is origional or is an origional take on what has been done before. A bit like what Hamilitonian mechanics is to Newtonian mechanics