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

Stojanovic, Srdjan

 
9780817641979: Computational Financial Mathematics using MATHEMATICA®: Optimal Trading in Stocks and Options
Hardcover
ISBN 10: 0817641971 ISBN 13: 9780817641979
Verlag: Birkhäuser, 2002

Inhaltsangabe

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.

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Verlag
Birkhäuser
Erscheinungsdatum
2002
Sprache
Englisch
ISBN 10 
0817641971
ISBN 13 
9780817641979
Einband
Gebundene Ausgabe
Anzahl der Seiten
492
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Weitere beliebte Ausgaben desselben Titels

9781461265863: Computational Financial Mathematics using MATHEMATICA®: Optimal Trading in Stocks and Options

Vorgestellte Ausgabe

ISBN 10:  146126586X ISBN 13:  9781461265863
Verlag: Birkhäuser, 2013
Softcover