Mathematical modeling and computation in finance : with exercises and Python and Matlab computer codes (Record no. 3197)

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005 - DATE AND TIME OF LATEST TRANSACTION
control field 20220928141743.0
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020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781786348050
050 ## - LIBRARY OF CONGRESS CALL NUMBER
Classification number HG106
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Oosterlee, C. W. (Cornelis W.); Grzelak, Lech A.,
245 ## - TITLE STATEMENT
Title Mathematical modeling and computation in finance : with exercises and Python and Matlab computer codes
260 ## - PUBLICATION, DISTRIBUTION, ETC.
Place of publication, distribution, etc. New Jersey
Name of publisher, distributor, etc. World Scientific
Date of publication, distribution, etc. 2020
300 ## - PHYSICAL DESCRIPTION
Extent xviii, 556 pp.
505 ## - FORMATTED CONTENTS NOTE
Formatted contents note Basics about Stochastic Processes;<br/>Introduction to Financial Asset Dynamics;<br/>The Black-Scholes Option Pricing Equation;<br/>Local Volatility Models;<br/>Jump Processes;<br/>The COS Method for European Option Valuation;<br/>Multidimensionality, Change of Measure, Affine Processes;<br/>Stochastic Volatility Models;<br/>Monte Carlo Simulation;<br/>Forward Start Options: Stochastic Local Volatility Model;<br/>Short-Rate Models;<br/>Interest Rate Derivatives and Valuation Adjustments;<br/>Hybrid Asset Models, Credit Valuation Adjustment;<br/>Advanced Interest Rate Models and Generalizations;<br/>Cross-Currency Model
520 ## - SUMMARY, ETC.
Summary, etc. 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
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Source of classification or shelving scheme
Koha item type Book
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Withdrawn status Lost status Source of classification or shelving scheme Damaged status Not for loan Collection code Home library Current library Shelving location Date acquired Source of acquisition Inventory number Full call number Accession No. Date last seen Copy number Price effective from Koha item type
          Economics ICTS ICTS Rack No 01 09/27/2022 Gifted by CAM (Prof. A.S. Vasudeva Murthy) Gratis HG106 02571 03/22/2024 1 09/28/2022 Book