LEADER 04102nam 2200733Ia 450 001 9910270905603321 005 20240912165558.0 010 $a9786613621405 010 $a9781118374405 010 $a1118374401 010 $a9781119973409 010 $a1119973406 010 $a9781118467398 010 $a1118467396 010 $a9781280591570 010 $a1280591579 010 $a9781119973430 010 $a1119973430 010 $a9781119973416 010 $a1119973414 035 $a(CKB)3710000000503773 035 $a(EBL)4043445 035 $a(Au-PeEL)EBL859303 035 $a(CaPaEBR)ebr10533975 035 $a(PPN)170250415 035 $a(FR-PaCSA)88808437 035 $a(MiAaPQ)EBC859303 035 $a(OCoLC)796002055 035 $a(MiAaPQ)EBC4043445 035 $a(Perlego)1013641 035 $a(EXLCZ)993710000000503773 100 $a20120113d2012 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $2rdacontent 182 $2rdamedia 183 $2rdacarrier 200 14$aThe mathematics of derivatives securities with applications in MATLAB /$fMario Cerrato 210 $aChichester, West Sussex, UK ;$aHoboken $cJohn Wiley & Sons Inc.$d2012 215 $a1 online resource (224 p.) 225 1 $aThe Wiley finance series ;$v585 300 $aDescription based upon print version of record. 311 08$a9780470683699 311 08$a0470683694 320 $aIncludes bibliographical references and index. 327 $aAn Introduction to Probability Theory -- Stochastic Processes -- Ito Calculus and Ito Integral -- The Black and Scholes Economy -- The Black and Scholes Model -- Monte Carlo Methods -- Monte Carlo Methods and American Options -- American Option Pricing: The Dual Approach -- Estimation of Greeks using Monte Carlo Methods -- Exotic Options -- Pricing and Hedging Exotic Options -- Stochastic Volatility Models -- Implied Volatility Models -- Local Volatility Models -- An Introduction to Interest Rate Modelling -- Interest Rate Modelling -- Binomial and Finite Difference Methods -- Appendix 1: An Introduction to MATLAB -- Appendix 2: Mortgage Backed Securities -- Appendix 3: Value at Risk. 330 $a"The book is divided into two parts - the first part introduces probability theory, stochastic calculus and stochastic processes before moving on to the second part which instructs readers on how to apply the content learnt in part one to solve complex financial problems such as pricing and hedging exotic options, pricing American derivatives, pricing and hedging under stochastic volatility, and interest rate modelling. Each chapter provides a thorough discussion of the topics covered with practical examples in MATLAB so that readers will build up to an analysis of modern cutting edge research in finance, combining probabilistic models and cutting edge finance illustrated by MATLAB applications. Most books currently available on the subject require the reader to have some knowledge of the subject area and rarely consider computational applications such as MATLAB. This book stands apart from the rest as it covers complex analytical issues and complex financial instruments in a way that is accessible to those without a background in probability theory and finance, as well as providing detailed mathematical explanations with MATLAB code for a variety of topics and real world case examples"--$cProvided by publisher. 410 0$aWiley finance series ;$v585. 606 $aDerivative securities$xStatistical methods 606 $aFinance$xStatistical methods 606 $aProbabilities 615 0$aDerivative securities$xStatistical methods. 615 0$aFinance$xStatistical methods. 615 0$aProbabilities. 676 $a332.64/57015195 686 $aBUS027000$2bisacsh 700 $aCerrato$b Mario$0862764 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910270905603321 996 $aThe mathematics of derivatives securities with applications in MATLAB$91926034 997 $aUNINA