Lyuu, Yuh-Dauh.
Financial engineering and computation principles, mathematics, algorithms Yuh-Dauh Lyuu. - xix, 627 páginas ilustrado 26 cm.
Incluye referencias bibliográficas (p. 553-583) e índice.
Introduction -- Analysis of algorithms -- Basic financial mathematics -- Bond prince volatility -- Term structure of interest rates -- Fundamental statistical concepts -- Option basics -- Arbitrage in option pricing -- Option pricing models -- Sensitivity analysis of options -- Extensions of options theory -- Forwards, future, futures options, swaps -- Stochastic processes and brownian motion -- Continuous-Time financial mathematics -- Hedging -- Trees -- Numerical methods -- Matrix computation -- Time series analysis -- Interest rate derivative securities -- Term structure fitting -- Introduction to term structure modeling -- Foundations of term structure modeling -- Equilibrium term structure models -- No-arbitrage term structure models -- Fixed-Income securities -- Introduction to Mortgage-Backed securities -- Analysis of Mortgage-Backed securities -- Collateralized Mortgag obligations -- Modern portfolio theory -- Software -- Answers to selected exercises
052178171X
Financial engineering.
Investments--Mathematical models.
Derivative securities--Mathematical models.
Ingenieria financiera
Inversiones--Modelos matemáticos
Valores derivados--Modelos matemáticos
332.60151 / L998f
Financial engineering and computation principles, mathematics, algorithms Yuh-Dauh Lyuu. - xix, 627 páginas ilustrado 26 cm.
Incluye referencias bibliográficas (p. 553-583) e índice.
Introduction -- Analysis of algorithms -- Basic financial mathematics -- Bond prince volatility -- Term structure of interest rates -- Fundamental statistical concepts -- Option basics -- Arbitrage in option pricing -- Option pricing models -- Sensitivity analysis of options -- Extensions of options theory -- Forwards, future, futures options, swaps -- Stochastic processes and brownian motion -- Continuous-Time financial mathematics -- Hedging -- Trees -- Numerical methods -- Matrix computation -- Time series analysis -- Interest rate derivative securities -- Term structure fitting -- Introduction to term structure modeling -- Foundations of term structure modeling -- Equilibrium term structure models -- No-arbitrage term structure models -- Fixed-Income securities -- Introduction to Mortgage-Backed securities -- Analysis of Mortgage-Backed securities -- Collateralized Mortgag obligations -- Modern portfolio theory -- Software -- Answers to selected exercises
052178171X
Financial engineering.
Investments--Mathematical models.
Derivative securities--Mathematical models.
Ingenieria financiera
Inversiones--Modelos matemáticos
Valores derivados--Modelos matemáticos
332.60151 / L998f