LEADER 04974nam 22007092 450 001 9910777394403321 005 20151005020623.0 010 $a1-139-93089-3 010 $a1-107-12041-1 010 $a1-280-42980-1 010 $a0-511-17591-4 010 $a0-511-04094-6 010 $a0-511-15660-X 010 $a0-511-32262-3 010 $a0-511-54683-1 010 $a0-511-04606-5 035 $a(CKB)1000000000002960 035 $a(EBL)201359 035 $a(OCoLC)437063031 035 $a(SSID)ssj0000154979 035 $a(PQKBManifestationID)11156747 035 $a(PQKBTitleCode)TC0000154979 035 $a(PQKBWorkID)10098418 035 $a(PQKB)11294451 035 $a(UkCbUP)CR9780511546839 035 $a(MiAaPQ)EBC201359 035 $a(Au-PeEL)EBL201359 035 $a(CaPaEBR)ebr10005057 035 $a(CaONFJC)MIL42980 035 $a(PPN)15108663X 035 $a(EXLCZ)991000000000002960 100 $a20090508d2002|||| uy| 0 101 0 $aeng 135 $aur||||||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aFinancial engineering and computation $eprinciples, mathematics, algorithms /$fYuh-Dauh Lyuu$b[electronic resource] 210 1$aCambridge :$cCambridge University Press,$d2002. 215 $a1 online resource (xix, 627 pages) $cdigital, PDF file(s) 300 $aTitle from publisher's bibliographic system (viewed on 05 Oct 2015). 311 $a0-521-78171-X 320 $aIncludes bibliographical references (p. 553-583) and index. 327 $aCover; Half-title; Title; Copyright; Dedication; Contents; Preface; Useful Abbreviations; CHAPTER ONE Introduction; CHAPTER TWO Analysis of Algorithms; CHAPTER THREE Basic Financial Mathematics; CHAPTER FOUR Bond Price Volatility; CHAPTER FIVE Term Structure of Interest Rates; CHAPTER SIX Fundamental Statistical Concepts; CHAPTER SEVEN Option Basics; CHAPTER EIGHT Arbitrage in Option Pricing; CHAPTER NINE Option Pricing Models; CHAPTER TEN Sensitivity Analysis of Options; CHAPTER ELEVEN Extensions of Options Theory; CHAPTER TWELVE Forwards, Futures, Futures Options, Swaps 327 $aCHAPTER THIRTEEN Stochastic Processes and Brownian Motion CHAPTER FOURTEEN Continuous-Time Financial Mathematics; CHAPTER FIFTEEN Continuous-Time Derivatives Pricing; CHAPTER SIXTEEN Hedging; CHAPTER SEVENTEEN Trees; CHAPTER EIGHTEEN Numerical Methods; CHAPTER NINETEEN Matrix Computation; CHAPTER TWENTY Time Series Analysis; CHAPTER TWENTY-ONE Interest Rate Derivative Securities; CHAPTER TWENTY-TWO Term Structure Fitting; CHAPTER TWENTY-THREE Introduction to Term Structure Modeling; CHAPTER TWENTY-FOUR Foundations of Term Structure Modeling 327 $aCHAPTER TWENTY-FIVE Equilibrium Term Structure Models CHAPTER TWENTY-SIX No-Arbitrage Term Structure Models; CHAPTER TWENTY-SEVEN Fixed-Income Securities; CHAPTER TWENTY-EIGHT Introduction to Mortgage-Backed Securities; CHAPTER TWENTY-NINE Analysis of Mortgage-Backed Securities; CHAPTER THIRTY Collateralized Mortgage Obligations; CHAPTER THIRTY-ONE Modern Portfolio Theory; CHAPTER THIRTY-TWO Software; CHAPTER THIRTY-THREE Answers to Selected Exercises; Bibliography; Glossary of Useful Notations; Index 330 $aStudents and professionals intending to work in any area of finance must master not only advanced concepts and mathematical models but also learn how to implement these models computationally. This comprehensive text, first published in 2002, combines the theory and mathematics behind financial engineering with an emphasis on computation, in keeping with the way financial engineering is practised in capital markets. Unlike most books on investments, financial engineering, or derivative securities, the book starts from very basic ideas in finance and gradually builds up the theory. It offers a thorough grounding in the subject for MBAs in finance, students of engineering and sciences who are pursuing a career in finance, researchers in computational finance, system analysts, and financial engineers. Along with the theory, the author presents numerous algorithms for pricing, risk management, and portfolio management. The emphasis is on pricing financial and derivative securities: bonds, options, futures, forwards, interest rate derivatives, mortgage-backed securities, bonds with embedded options, and more. 517 3 $aFinancial Engineering & Computation 606 $aFinancial engineering 606 $aInvestments$xMathematical models 606 $aDerivative securities$xMathematical models 615 0$aFinancial engineering. 615 0$aInvestments$xMathematical models. 615 0$aDerivative securities$xMathematical models. 676 $a332.6/01/51 700 $aLyuu$b Yuh-Dauh$0754341 801 0$bUkCbUP 801 1$bUkCbUP 906 $aBOOK 912 $a9910777394403321 996 $aFinancial engineering and computation$92690634 997 $aUNINA