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Financial engineering and computation : principles, mathematics, algorithms

Financial engineering and computation : principles, mathematics, algorithms (Loan 9 times)

Material type
단행본
Personal Author
Lyuu, Yuh-Dauh.
Title Statement
Financial engineering and computation : principles, mathematics, algorithms / Yuh-Dauh Lyuu.
Publication, Distribution, etc
Cambridge, UK ;   New York, NY :   Cambridge University Press ,   2002.  
Physical Medium
xix, 627 p. : ill. ; 26 cm.
ISBN
052178171X
Bibliography, Etc. Note
Includes bibliographical references (p. 553-583) and index.
Subject Added Entry-Topical Term
Financial engineering. Investments -- Mathematical models. Derivative securities -- Mathematical models.
000 00977camuu22002774a 4500
001 000045306905
005 20061115174805
008 010921s2002 enka b 001 0 eng
010 ▼a 2001043916
020 ▼a 052178171X
035 ▼a (KERIS)REF000006738687
040 ▼a DLC ▼c DLC ▼d DLC ▼d 211009
042 ▼a pcc
050 0 0 ▼a HG176.7 ▼b .L97 2002
082 0 0 ▼a 332.6/01/51 ▼2 21
090 ▼a 332.60151 ▼b L998f
100 1 ▼a Lyuu, Yuh-Dauh.
245 1 0 ▼a Financial engineering and computation : ▼b principles, mathematics, algorithms / ▼c Yuh-Dauh Lyuu.
260 ▼a Cambridge, UK ; ▼a New York, NY : ▼b Cambridge University Press , ▼c 2002.
300 ▼a xix, 627 p. : ▼b ill. ; ▼c 26 cm.
504 ▼a Includes bibliographical references (p. 553-583) and index.
650 0 ▼a Financial engineering.
650 0 ▼a Investments ▼x Mathematical models.
650 0 ▼a Derivative securities ▼x Mathematical models.
945 ▼a KINS

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.60151 L998f Accession No. 111388047 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents

1. Introduction; 2. Analysis of algorithms; 3. Basic financial mathematics; 4. Bond price volatility; 5. Term structure of interest rates; 6. Fundamental statistical concepts; 7. Option basics; 8. Arbitrage in option pricing; 9. Option pricing models; 10. Sensitivity analysis of options; 11. Extensions of options theory; 12. Forwards, futures, futures options, swaps; 13. Stochastic processes and Brownian motion; 14. Continuous-time financial mathematics; 15. Continuous-time pricing; 16. Hedging; 17. Trees; 18. Numerical methods; 19. Matrix computation; 20. Time series and estimation; 21. Interest rate derivative securities; 22. Term structure fitting; 23. Introduction to term structure modeling; 24. Foundations of term structure modeling; 25. Equilibrium term structure models; 26. No-arbitrage term structure models; 27. Fixed-income securities; 28. Introduction to mortgage-backed securities; 29. Analysis of mortgage-backed securities; 30. Collateralized mortgage obligations; 31. Modern portfolio theory; 32. Software.


Information Provided By: : Aladin

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