Dimensions
163 x 235 x 18mm
A comprehensive reference tool for the mathematics needed to model derivatives
Written by Robert Navin, a successful quant, The Mathematics of Derivatives gives readers-from beginners with a background in math, computer science, and/or finance and economics to intermediate/advanced learners-the knowledge to implement algorithms to model derivatives. Some of the topics discussed within this detailed resource include: stochastic processes; partial differential equations (PDEs) of derivative pricing; and numerical algorithmic methods for solving parabolic PDEs by the finite difference method, together with the simple default probability approach to credit derivatives. The Mathematics of Derivatives also contains a brief overview of more general models, such as the Heath Jarrow Morton (HJM) model, as well as some specific examples of modeling derivatives, such as convertible bonds and collateralized debt obligations. The Mathematics of Derivatives is filled with the information and insights that practitioners, engineers, and students need in order to be successful in today's markets.
Robert L. Navin, PhD (New York, NY) founded Real Time Risk Systems LLC in July 2004. Prior to this, he helped set up a hedge fund in 2002, which grew to more than $1 billion in assets under management during its first year.
