Foundations of the Pricing of Financial Derivatives: Theory and Analysis

Brooks, Robert E., Chance, Don M.

  • 出版商: Wiley
  • 出版日期: 2024-01-31
  • 售價: $3,300
  • 貴賓價: 9.5$3,135
  • 語言: 英文
  • 頁數: 624
  • 裝訂: Hardcover - also called cloth, retail trade, or trade
  • ISBN: 1394179650
  • ISBN-13: 9781394179657
  • 海外代購書籍(需單獨結帳)

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商品描述

An accessible and mathematically rigorous resource for masters and PhD students

In Foundations of the Pricing of Financial Derivatives: Theory and Analysis two expert finance academics with professional experience deliver a practical new text for doctoral and masters' students and also new practitioners. The book draws on the authors extensive combined experience teaching, researching, and consulting on this topic and strikes an effective balance between fine-grained quantitative detail and high-level theoretical explanations.

The authors fill the gap left by books directed at masters'-level students that often lack mathematical rigor. Further, books aimed at mathematically trained graduate students often lack quantitative explanations and critical foundational materials. Thus, this book provides the technical background required to understand the more advanced mathematics used in this discipline, in class, in research, and in practice.

Readers will also find:

  • Tables, figures, line drawings, practice problems (with a solutions manual), references, and a glossary of commonly used specialist terms
  • Review of material in calculus, probability theory, and asset pricing
  • Coverage of both arithmetic and geometric Brownian motion
  • Extensive treatment of the mathematical and economic foundations of the binomial and Black-Scholes-Merton models that explains their use and derivation, deepening readers' understanding of these essential models
  • Deep discussion of essential concepts, like arbitrage, that broaden students' understanding of the basis for derivative pricing
  • Coverage of pricing of forwards, futures, and swaps, including arbitrage-free term structures and interest rate derivatives

An effective and hands-on text for masters'-level and PhD students and beginning practitioners with an interest in financial derivatives pricing, Foundations of the Pricing of Financial Derivatives is an intuitive and accessible resource that properly balances math, theory, and practical applications to help students develop a healthy command of a difficult subject.

商品描述(中文翻譯)

《金融衍生品定價的基礎:理論與分析》是一本適合碩士和博士生的易於理解且數學嚴謹的資源。這本書由兩位具有專業經驗的金融學者撰寫,為博士和碩士生以及新實踐者提供了一本實用的新教材。該書結合了作者在教學、研究和咨詢方面的豐富經驗,既提供了細緻的定量細節,又提供了高層次的理論解釋。

這本書填補了針對碩士生的書籍通常缺乏數學嚴謹性的空白。此外,針對數學訓練有素的研究生的書籍通常缺乏定量解釋和關鍵基礎材料。因此,這本書提供了理解這一學科中更高級數學所需的技術背景,無論是在課堂上、研究中還是實踐中。

讀者還將找到以下內容:
- 表格、圖表、線條圖、練習問題(附有解答手冊)、參考文獻和常用專業術語詞彙表
- 微積分、概率論和資產定價的回顧
- 對算術和幾何布朗運動的詳細介紹
- 對二項式和布萊克-謝爾頓-默頓模型的數學和經濟基礎的廣泛探討,解釋了它們的使用和推導,加深讀者對這些基本模型的理解
- 對套利等基本概念的深入討論,擴大學生對衍生品定價基礎的理解
- 定價期貨、期權和掉期的涵蓋,包括無套利期限結構和利率衍生品

《金融衍生品定價的基礎》是一本對於碩士和博士生以及對金融衍生品定價感興趣的初學者來說,既直觀又易於理解的教材。它恰當地平衡了數學、理論和實際應用,幫助學生對這一難題有著扎實的掌握。

作者簡介

ROBERT E. BROOKS, PHD, CFA, is Professor Emeritus of Finance at the University of Alabama. He is the President of Financial Risk Management, LLC, a quantitative finance consulting firm. He is the author of several books and maintains a YouTube channel, @FRMHelpForYou.

DON M. CHANCE, PHD, CFA, holds the James C. Flores Endowed Chair of MBA Studies and is Professor of Finance at the E.J. Ourso College of Business at Louisiana State University. He is the author of four books on derivatives and risk management. His consulting firm is Omega Risk Advisors, LLC, and his website is donchance.com.

作者簡介(中文翻譯)

ROBERT E. BROOKS, PHD, CFA, 是阿拉巴馬大學的金融學名譽教授。他是金融風險管理有限責任公司的總裁,該公司是一家量化金融諮詢公司。他是幾本書的作者,並經營著一個YouTube頻道,@FRMHelpForYou。

DON M. CHANCE, PHD, CFA, 擁有路易斯安那州立大學E.J. Ourso商學院的James C. Flores MBA研究講座,並擔任金融學教授。他是四本關於衍生品和風險管理的書的作者。他的諮詢公司是Omega Risk Advisors, LLC,他的網站是donchance.com。