Financial engineering and computation principles, mathematics, algorithms Yuh-Dauh Lyuu.
By: Lyuu, Yuh-Dauh
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Cambridge, UK New York, NY Cambridge University Press 2002Description: xix, 627 páginas ilustrado 26 cm.ISBN: 052178171X.Subject(s): Financial engineering | Investments -- Mathematical models | Derivative securities -- Mathematical models | Ingenieria financiera | Inversiones -- Modelos matemáticos | Valores derivados -- Modelos matemáticosDDC classification: 332.60151 Online resources: Table of contents | Publisher description | Item type | Current location | Collection | Call number | Copy number | Status | Date due | Barcode | Item holds |
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Libros
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Biblioteca Central | General | 332.60151 / L998f (Browse shelf) | Ej.1 | Available | 8000022254 |
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
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