Financial Mathematics, Derivatives and Structured Products

Raymond H. Chan, Yves ZY. Guo, Spike T. Lee , Xun Li

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English

Springer Verlag, Singapore
07 March 2019

Finance; Probability & statistics; Mathematical modelling; Stochastics; Maths for engineers

This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales or risk managers. As the book seeks to unify the derivatives modelling and the financial engineering practice in the market, it will be of interest to financial practitioners and academic researchers alike. Further, it takes a different route from the existing financial mathematics books, and will appeal to students and practitioners with or without a scientific background. The book can also be used as a textbook for the following courses:

• Financial Mathematics (undergraduate level)

• Stochastic Modelling in Finance (postgraduate level)

• Financial Markets and Derivatives (undergraduate level)

• Structured Products and Solutions (undergraduate/postgraduate level)

By: Raymond H. Chan, Yves ZY. Guo, Spike T. Lee, Xun Li
Imprint: Springer Verlag, Singapore
Country of Publication: Singapore
Edition: 1st ed. 2019
Dimensions: Height: 235mm, Width: 155mm,
Weight: 799g
ISBN: 9789811336959
ISBN 10: 9811336954
Pages: 395
Publication Date: 07 March 2019
Audience: College/higher education , A / AS level , Further / Higher Education
Replaced By: 9789819995332
Format: Hardback
Publisher's Status: Active

Introduction to Financial Markets.- Interest Rate Instruments.- Equities and Equity Indices.- Foreign Exchange Instruments.- Commodities.- Credit Derivatives.- Investment Funds.- Options.- Elements of Probability.- Stochastic Calculus Part I.- Black–Scholes–Merton Model for Option Pricing.- Stochastic Calculus Part II.- Risk-Neutral Pricing Framework.- Numerical Methods for Option Pricing.- American Options.- Exotic Options Pricing and Hedging.- Num´eraires and the Pricing of Vanilla Interest Rate Options.- Foreign Exchange Modelling.- Local, Stochastic Volatility Models, Static Hedging and Variance Swap.- Jump-diffusion Models.- Interest Rate Term Structure Modelling.- Credit Modelling.- Commodity Modelling.- Structured Products.- Popular Structured Products.- Dynamic Asset Allocation.- Systematic Strategy.

Prof. Raymond H. Chan, Chair Professor and Dean of College of Science, City University of Hong Kong Yves GUO, Managing Director, BNP Paribas CIB, Central, Hong Kong Spike T. LEE, Research Assistant, The Chinese University of Hong Kong Xun LI, Associate Professor, Hong Kong Polytechnic University

Reviews for Financial Mathematics, Derivatives and Structured Products

This book would be a natural choice in advanced undergraduate courses and master's level courses in financial mathematics, financial engineering, applied stochastic processes, and finance. The book would also serve as a useful reference for academics and practicing financial engineers. (Steve Dunbar, MAA Reviews, January 12, 2020)