Introduction to Mathematical Finance
Financial Engineering and Equilibrium Asset Pricing
- 1st Edition - July 1, 2017
- Imprint: Academic Press
- Author: Hong Liu
- Language: English
- eBook ISBN:9 7 8 - 0 - 1 2 - 8 0 2 5 5 1 - 2
Introduction to Mathematical Finance responds to growing demand for quantitative skills in the financial industry by helping readers teach themselves. It presents derivativ… Read more
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Request a sales quoteIntroduction to Mathematical Finance responds to growing demand for quantitative skills in the financial industry by helping readers teach themselves. It presents derivative pricing, portfolio optimization, and equilibrium asset price models in a mathematically sophisticated way, with uniform foundations and notation. It covers both derivative securities pricing and equilibrium asset pricing based on solving optimal portfolio choice problems and imposing market clearing conditions. Emphasizing detailed steps in main derivations and mathematical analysis, it includes both discrete-time and continuous-time set up. Chapters independent of each other, bountiful exercises, and PowerPoint slides make Introduction to Mathematical Finance valuable to any member or would-be member of the financial industry.
- Emphasizes computing the value of a derivative security and how to derive the optimal trading strategy
- Provides only necessary and basic coverage of institutional materials, focusing instead on presenting detailed steps in main derivations and mathematical analysis.
- Especially good for non-native English speakers
Graduate students and professionals working in financial engineering and risk management, quantitative asset management, macroeconomic and financial forecasting, quantitative trading, and applied research.
PART I Pricing Derivative Securities
1. Binomial Tree Models
2. Continuous Time Models
3. Black-Scholes Model
4. Exchange, Forward, and Futures Options
5. Foreign Exchange Derivative Securities
6. Exotic Options
7. Alternative Models
8. Fixed Income Derivatives
9. Monte Carlo Methods
10. Finite Difference Methods
PART II Portfolio Choice and Equilibrium Asset Pricing
11. Portfolio Choice in Discrete Time
12. Portfolio Choice in Discrete Time with Market Frictions
13. Equilibrium Asset Pricing in Discrete Time
14. Equilibrium Asset Pricing in Discrete Time with Market Frictions
15. Portfolio Choice in Continuous Time
16. Portfolio Choice in Continuous Time in Incomplete Markets
17. Portfolio Choice in Continuous Time, the Dual Approach
18. Equilibrium Asset Pricing in Continuous-Time
19. Equilibrium Asset Pricing in Continuous-Time with Market Frictions
20. Numerical Methods
Appendix: Mathematics Fundamentals
- Edition: 1
- Published: July 1, 2017
- Imprint: Academic Press
- Language: English
- eBook ISBN: 9780128025512
HL
Hong Liu
Professor of Finance and Academic Director of the Master of Science in Finance Program, Hong Liu won the 2013 TCFA Best Paper in Investment for an article he co-wrote with Yajun Wang. "Management Science" presented him with its Distinguished Service Award for 2013, and he received the Marcile and James Reid Teaching Award for excellent teaching in the Master of Science in Finance Program in 2011 and 2013 from Olin Business School.
Affiliations and expertise
Olin Business School, Washington University in St. Louis, St. Louis, MO, USA