Mathematical Modeling and Computation in Finance: With Exercises and Python and MATLAB Computer Codes (Paperback)
暫譯: 金融中的數學建模與計算:附練習題及Python與MATLAB程式碼(平裝本)

Cornelis W Oosterlee, Lech a Grzelak

  • 出版商: World Scientific Pub
  • 出版日期: 2019-11-05
  • 售價: $2,510
  • 貴賓價: 9.5$2,385
  • 語言: 英文
  • 頁數: 576
  • 裝訂: Quality Paper - also called trade paper
  • ISBN: 1786348055
  • ISBN-13: 9781786348050
  • 相關分類: MatlabPython程式語言
  • 海外代購書籍(需單獨結帳)

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商品描述

This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.

商品描述(中文翻譯)

本書探討隨機過程(應用概率論)與數值分析在量化金融領域中的相互作用。書中介紹的隨機模型、數值評價技術、計算方面、金融產品及風險管理應用,將使讀者在計算金融這一挑戰性領域中取得進展。當金融市場參與者的行為發生變化時,描述價格的相應隨機數學模型也可能隨之改變。金融監管也可能在這些變化中發揮作用。因此,本書呈現了幾個股票價格、利率以及外匯匯率的模型,並在各章中逐步增加複雜性。業界常說,「不要愛上你最喜歡的模型。」本書在介紹股票模型後,轉向短期利率及其他利率模型。我們將這些利率模型置入Heath-Jarrow-Morton框架中,展示不同模型之間的關係,並解釋幾種利率產品及其定價。各章節附有練習題。學生可以訪問選定練習題的解答,而完整解答則提供給教師。書中大多數表格和圖形所使用的MATLAB和Python程式碼,對於印刷版和電子書用戶均可獲得。本書將對金融業工作的人士、希望有朝一日進入該行業的人士,以及對量化金融感興趣的任何人都非常有用。所討論的主題對於碩士及博士生、學術研究人員以及金融業的量化分析師均具相關性。