Mathematics for Finance

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Model-free Hedging: A Martingale Optimal Transport Viewpoint


Pierre Henry-Labordere
May 15, 2017

Model-free Hedging: A Martingale Optimal Transport Viewpoint focuses on the computation of model-independent bounds for exotic options consistent with market prices of liquid instruments such as Vanilla options. The author gives an overview of Martingale Optimal Transport, highlighting the differenc...

Financial Literacy Education: Addressing Student, Business, and Government Needs

Jay Liebowitz
July 30, 2018

Today's graduates should be grounded in the basics of personal finance and possess the skills and knowledge necessary to make informed decisions and take responsibility for their own financial well-being. Faced with an array of complex financial services and sophisticated products, many graduates...

Technical Analysis of Stock Trends

Robert D. Edwards, John Magee, W.H.C. Bassetti
July 19, 2018

This revised and updated version of the best-selling book, Technical Analysis of Stock Trends, 10th Edition, presents proven long- and short-term stock trend analysis enabling investors to make smart, profitable trading decisions. The book covers technical theory such as The Dow Theory, reversal...

Derivative Pricing: A Problem-Based Primer

Ambrose Lo
June 27, 2018

The proliferation of financial derivatives over the past decades, options in particular, has underscored the increasing importance of derivative pricing literacy among students, researchers, and practitioners. Derivative Pricing: A Problem-Based Primer demystifies the essential derivative pricing...

An Introduction to Computational Risk Management of Equity-Linked Insurance

Runhuan Feng
June 12, 2018

The quantitative modeling of complex systems of interacting risks is a fairly recent development in the financial and insurance industries. Over the past decades, there has been tremendous innovation and development in the actuarial field. In addition to undertaking mortality and longevity risks in...

High-Performance Computing in Finance: Problems, Methods, and Solutions

M. A. H. Dempster, Juho Kanniainen, John Keane, Erik Vynckier
March 12, 2018

High-Performance Computing (HPC) delivers higher computational performance to solve problems in science, engineering and finance. There are various HPC resources available for different needs, ranging from cloud computing– that can be used without much expertise and expense – to more tailored...

R Programming and Its Applications in Financial Mathematics

Shuichi Ohsaki, Jori Ruppert-Felsot, Daisuke Yoshikawa
February 12, 2018

This book provides an introduction to R programming and a summary of financial mathematics. It is not always easy for graduate students to grasp an overview of the theory of finance in an abstract form. For newcomers to the finance industry, it is not always obvious how to apply the abstract theory...

Equity-Linked Life Insurance: Partial Hedging Methods

Alexander Melnikov, Amir Nosrati
August 30, 2017

This book focuses on the application of the partial hedging approach from modern math finance to equity-linked life insurance contracts. It provides an accessible, up-to-date introduction to quantifying financial and insurance risks. The book also explains how to price innovative financial and...

Statistical Portfolio Estimation

Masanobu Taniguchi, Hiroshi Shiraishi, Junichi Hirukawa, Hiroko Kato Solvang, Takashi Yamashita
August 21, 2017

The composition of portfolios is one of the most fundamental and important methods in financial engineering, used to control the risk of investments. This book provides a comprehensive overview of statistical inference for portfolios and their various applications. A variety of asset processes are...

Capital Account Liberation: Methods and Applications

Ying Yirong, Jeffrey Yi-Lin Forrest
August 01, 2017

Along with the development of economic globalization, many countries have begun to relax their controls on their capital accounts. However, the recent financial crises in Latin American countries as well as the exchange rate crises in Southeast Asian countries have shown that there is major risk...

Introduction to Statistical Methods for Financial Models

Thomas A Severini
July 12, 2017

This book provides an introduction to the use of statistical concepts and methods to model and analyze financial data. The ten chapters of the book fall naturally into three sections. Chapters 1 to 3 cover some basic concepts of finance, focusing on the properties of returns on an asset. Chapters 4...

Stochastic Dominance and Applications to Finance, Risk and Economics

Songsak Sriboonchita, Wing-Keung Wong, Sompong Dhompongsa, Hung T. Nguyen
June 28, 2017

Drawing from many sources in the literature, Stochastic Dominance and Applications to Finance, Risk and Economics illustrates how stochastic dominance (SD) can be used as a method for risk assessment in decision making. It provides basic background on SD for various areas of applications. Useful...

Stochastic Finance: A Numeraire Approach

Jan Vecer
June 14, 2017

Unlike much of the existing literature, Stochastic Finance: A Numeraire Approach treats price as a number of units of one asset needed for an acquisition of a unit of another asset instead of expressing prices in dollar terms exclusively. This numeraire approach leads to simpler pricing options for...