Computational Financial Mathematics using MATHEMATICA®: Optimal Trading in Stocks and Options - Rilegato

Stojanovic, Srdjan

Rilegato

ISBN 10: 0817641971 ISBN 13: 9780817641979

Casa editrice: Birkhauser Boston Inc, 2002

Riassunto

In the last decade there has been an explosion of interest in mathematical methods for solving problems in finance and trading. This book provides a beautiful overview of what mathematics and Mathematica can do for finance. Sophisticated theories are presented in a rigorous but user-friendly, practical style, which, with the aid of the programming capabilities of Mathematica, help the reader develop good intuition in real trading. In the last decade there has been an explosion of interest in mathematical methods for solving problems in finance and trading. Some widely publicized successes include the discovery of the Black--Scholes formula in the 1970s for evaluating the fair price of stock options. Currently, a great deal of research and development is going on in the large brokerage houses, in the supporting trading software industry, and of course at the universities. Mathematical advances in this area that have practical significance can be classified by the way in which they are implemented and can be divided into two main categories: analytical and numerical solutions. Numerical solutions in the past required very powerful computers, not generally available to the individual investor. Analytical solutions, on the other hand, can be implemented very efficiently even on small computers, with only the power of symbolic calculations, data manipulation, and graphic capabilities. This book provides a beautiful overview of what mathematics and Mathematica can do for finance. Sophisticated theories are presented in a rigorous but user-friendly, practical style, which, with the aid of the programming capabilities of Mathematica, help the reader develop good intuition in real trading. In fact, the symbolic algebra capabilities, fast basic numerics, etc. of Mathematica have extended the notion of what is meant by analytic/explicit solutions to "anything that can be computed in no time." And the beautiful thing is that the numerical methods that are developed in this book require only good personal computers.

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Recensione

"Stojanovic offers an excellent, user-friendly presentation of advanced mathematical techniques and Mathematica programming for solving problems in finance and trading. He demonstrates the value of probability, mathematical statistics, calculus of variations, and optimal control of stochastic, ordinary and partial differential equations to the study of market analysis. Solutions are computed symbolically, numerically, or by means of Monte-Carlo simulations.... A very useful and valuable book for researchers, students, professionals, and individual investors."   ―Choice

"It is an innovative approach and is very useful for students and practitioners in finance to learn how to use mathematics for investment analysis."   ―Mathematical Reviews

"This book is a state-of-the-art introduction to the mathematics of computational finance. The author reviews and extends several recent breakthroughs and also provides new material, which is highly recommended. The novel use of Mathematica enhances the learning experience by letting the reader focus on the essential ideas. I thoroughly recommend this book to both students and practitioners."   ―Peter Carr, Courant Institute, New York University

Contenuti

Preface * Cash Account Evolution * Stock Price Evolution * European Style Stock Options * Stock Market Statistics * Implied Volatility for European Options * American Style Stock Options * Optimal Portfolio Rules * Advanced Trading Strategies * Bibliography * Index

Dettagli dell'edizione

• Editore: Birkhauser Boston Inc
• Data di pubblicazione: 2002
• Lingua: Inglese
• ISBN 10: 0817641971
• ISBN 13: 9780817641979
• Rilegatura: Copertina rigida
• Numero di pagine: 492
• Contatto del produttore: non disponibile
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