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Problems and Solutions in Mathematical Finance

Eric Chin, Dian Nel, Sverrir Ólafsson · ISBN 9781119965824
Problems and Solutions in Mathematical Finance | Zookal Textbooks | Zookal Textbooks
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Publisher John Wiley & Sons (UK)
Author(s) Eric Chin / Dian Nel / Sverrir Ólafsson
Subtitle Equity Derivatives, Volume 2
Edition 1
Published 3rd February 2017
Related course codes

Equity Derivatives, Volume 2

Detailed guidance on the mathematics behind equity
derivatives

Problems and Solutions in Mathematical Finance Volume II
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.


As Volume II of the four-volume Problems and Solutions in
Mathematical Finance
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.



  • Review the fundamentals of equity derivatives

  • Work through problems from basic securities to advanced exotics
    pricing

  • Examine numerical methods and detailed derivations of
    closed-form solutions

  • Utilise formulae for probability, differential equations, and
    more


Mathematical 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, Problems and
Solutions in Mathematical Finance Volume II
provides essential
guidance principally towards the subject of equity derivatives.

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