The papers in this volume address various aspects of financial derivatives that range from abstract financial theory to practical issues pertaining to the pricing and hedging of interest rate derivatives and exotic options in the market place. This broad and important collection will interest both academic scholars and financial engineers.
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Book Description
Editorial Reviews
Review
"The papers are of exceptionally high quality, and the book works on different levels--as an introduction to the field or its particular aspects, as a survey of existing theories, models and techniques, and as a source for getting insight about important new directions and unsolved problems." Jaksa Cvitani^D'c, Mathematical Reviews
Book Description
During 1995 the Isaac Newton Institute for the Mathematical Sciences at Cambridge University hosted a six month research program on financial mathematics. Much of the work done there was on the subject of financial derivatives and some of the very best papers were selected to appear in this volume. They range from abstract financial theory to practical issues pertaining to the pricing and hedging of interest rate derivatives and exotic options in the market place. Hence this book will be of interest both to academics and financial engineers.
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1 of 3 people found the following review helpful:
5.0 out of 5 stars
A Newton's work,
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This review is from: Mathematics of Derivative Securities (Publications of the Newton Institute) (Hardcover)
This is an excellent book which covers many great ideas and potential methodologies applied to derivative pricing. It should have been published much earlier.
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Inside This Book
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First Sentence:
This book is one of several volumes of proceedings of the Mathematical Finance Programme held from January through June 1995 at the Isaac Newton Institute for Mathematical Sciences, Cambridge, England. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
local risk minimizing strategy, tailed stack, perfect replicating strategy, extreme arbitrage opportunity, filtered prices, low discrepancy algorithms, local risk minimization, diffusion state variable, extreme arbitrage opportunities, ten tranches, approximating chain, log discounts, hedge errors, bond price process, diff swap, computing high dimensional integrals, monthly errors, antithetic variables, replicating assets, numeraire portfolio, stock price evolves, rollover gains, discount bond prices, algorithm wins, roll hedge Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Journal of Finance, Bank of England, Journal of Financial Economics, Isaac Newton Institute, Review of Financial Studies, Black Scholes, Cumulative Errors, Cambridge University Press, New York, Springer Verlag, Journal of Business, Numerical Recipes, Academic Press, Annals of Applied Probability, Columbia University, Cumulative Hedge Errors, Stanford University, Capital Markets, North Holland, Proof of Lemma, Banque de France, Cornell University, Journal of Economic Theory, Journal of Political Economy New!
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Front Cover | Front Flap | Table of Contents | First Pages | Back Flap | Back Cover | Surprise Me!
This book is one of several volumes of proceedings of the Mathematical Finance Programme held from January through June 1995 at the Isaac Newton Institute for Mathematical Sciences, Cambridge, England. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
local risk minimizing strategy, tailed stack, perfect replicating strategy, extreme arbitrage opportunity, filtered prices, low discrepancy algorithms, local risk minimization, diffusion state variable, extreme arbitrage opportunities, ten tranches, approximating chain, log discounts, hedge errors, bond price process, diff swap, computing high dimensional integrals, monthly errors, antithetic variables, replicating assets, numeraire portfolio, stock price evolves, rollover gains, discount bond prices, algorithm wins, roll hedge Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Journal of Finance, Bank of England, Journal of Financial Economics, Isaac Newton Institute, Review of Financial Studies, Black Scholes, Cumulative Errors, Cambridge University Press, New York, Springer Verlag, Journal of Business, Numerical Recipes, Academic Press, Annals of Applied Probability, Columbia University, Cumulative Hedge Errors, Stanford University, Capital Markets, North Holland, Proof of Lemma, Banque de France, Cornell University, Journal of Economic Theory, Journal of Political Economy New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Front Flap | Table of Contents | First Pages | Back Flap | Back Cover | Surprise Me!
Citations (learn more)
This book cites 59
books:
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58
books
cite this book:
See all 58 books citing this book
- Continuous Martingales and Brownian Motion (Grundlehren der mathematischen Wissenschaften) by Daniel Revuz on 5 pages
- Brownian Motion and Stochastic Calculus (Graduate Texts in Mathematics) by Ioannis Karatzas on 4 pages
- Mathematical Finance (The IMA Volumes in Mathematics and its Applications) by Mark H.A. Davis on page 214, page 253, and page 335
- Option Pricing (The Irwin series in finance) by Robert A. Jarrow on page 159, page 293, and page 335
- Ross ] Corporate Finance ] 2005 ] 7 (McGraw-Hill/Irwin Series in Finance, Insurance, and Real Est) by Stephen A. Ross on page 188, and page 189
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- Martingale Methods in Financial Modelling (Stochastic Modelling and Applied Probability) by Marek Musiela on 9 pages
- Handbooks in Mathematical Finance: Option Pricing, Interest Rates and Risk Management by E. Jouini on 6 pages
- Frequently Asked Questions in Quantitative Finance (Wiley Series in Financial Engineering) by Paul Wilmott on page 17, and page 228
- The Mathematics of Arbitrage (Springer Finance) by Freddy Delbaen in Back Matter (1), and Back Matter (2)
- Nobel Lectures in Economic Sciences, 1996-2000: Including Presentation Speeches and Laureates' Biographies by Torsten Persson on page 79, and page 114
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