Ebook The Mathematics of Derivatives: Tools for Designing Numerical Algorithms (Wiley Finance), by Robert L. Navin
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The Mathematics of Derivatives: Tools for Designing Numerical Algorithms (Wiley Finance), by Robert L. Navin
Ebook The Mathematics of Derivatives: Tools for Designing Numerical Algorithms (Wiley Finance), by Robert L. Navin
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Praise for The Mathematics of Derivatives
"The Mathematics of Derivatives provides a concise pedagogical discussion of both fundamental and very recent developments in mathematical finance, and is particularly well suited for readers with a science or engineering background. It is written from the point of view of a physicist focused on providing an understanding of the methodology and the assumptions behind derivative pricing. Navin has a unique and elegant viewpoint, and will help mathematically sophisticated readers rapidly get up to speed in the latest Wall Street financial innovations."
—David Montano, Managing Director JPMorgan Securities
A stylish and practical introduction to the key concepts in financial mathematics, this book tackles key fundamentals in the subject in an intuitive and refreshing manner whilst also providing detailed analytical and numerical schema for solving interesting derivatives pricing problems. If Richard Feynman wrote an introduction to financial mathematics, it might look similar. The problem and solution sets are first rate."
—Barry Ryan, Partner Bhramavira Capital Partners, London
"This is a great book for anyone beginning (or contemplating), a career in financial research or analytic programming. Navin dissects a huge, complex topic into a series of discrete, concise, accessible lectures that combine the required mathematical theory with relevant applications to real-world markets. I wish this book was around when I started in finance. It would have saved me a lot of time and aggravation."
—Larry Magargal
- Sales Rank: #2359671 in eBooks
- Published on: 2010-03-08
- Released on: 2010-03-08
- Format: Kindle eBook
From the Inside Flap
In the dynamic field of finance, where mathematics is playing an ever-greater role in decision making, understanding the mathematical underpinnings and implications of derivatives is an important endeavor.
Nobody knows this better than author Robert Navin, whose detailed knowledge of derivatives has allowed him to excel over the course of his financial career—as well as help those around him quickly grasp the mathematical techniques behind the modeling of derivatives. Now, in The Mathematics of Derivatives, he shares his expertise and experience with you.
Filled with in-depth insights and practical advice, The Mathematics of Derivatives provides individuals involved in this industry—whether you're a quant-in-training with a background in economics or a software designer creating financial programs—with the information they need to succeed.
Divided into two comprehensive parts, this well-rounded resource outlines the models—and the math—used to analyze the trading and risks of derivatives in Part One and then challenges you to master these methods through a variety of exercises in Part Two.
An array of topics are covered, including:
- The Black-Scholes formula with modifications as well as more general ideas behind the derivation of the Black-Scholes formula
- Relevant mathematical tools—from distribution and integration definitions to n-Dimensional Jacobians, Path Integrals, and the Central Limit Theorem
- Stochastic processes and their applicationsto finance
- Numerical algorithmic methods for solving parabolic partial differential equations (PDEs)
- The simple default probability approach tocredit derivatives
- The Heath-Jarrow-Morton (HJM) model, as well as some specific examples of modeling derivatives, such as convertible bonds and collateralizeddebt obligations
With the information illustrated throughout these pages, you'll be able to implement the risk-neutral pricing paradigm correctly, design models of real-world processes using stochastic calculus, convert such models into a risk-neutral pricing equation with boundary conditions, numerically solve these equations with great accuracy, and much more.
In order to fully understand the pricing, hedging, and risk management issues associated with derivatives, you must first become familiar with the mathematical formalism that underlies them. Written in a straightforward and accessible style, The Mathematics of Derivatives provides you with a solid foundation in this field—and an opportunity to succeed in today's turbulent markets.
From the Back Cover
Praise for The Mathematics of Derivatives
"The Mathematics of Derivatives provides a concise pedagogical discussion of both fundamental and very recent developments in mathematical finance, and is particularly well suited for readers with a science or engineering background. It is written from the point of view of a physicist focused on providing an understanding of the methodology and the assumptions behind derivative pricing. Navin has a unique and elegant viewpoint, and will help mathematically sophisticated readers rapidly get up to speed in the latest Wall Street financial innovations."
—David Montano, Managing Director JPMorgan Securities
"A stylish and practical introduction to the key concepts in financial mathematics, this book tackles key fundamentals in the subject in an intuitive and refreshing manner whilst also providing detailed analytical and numerical schema for solving interesting derivatives pricing problems. If Richard Feynman wrote an introduction to financial mathematics, it might look similar. The problem and solution sets are first rate."
—Barry Ryan, Partner Bhramavira Capital Partners, London
"This is a great book for anyone beginning (or contemplating), a career in financial research or analytic programming. Navin dissects a huge, complex topic into a series of discrete, concise, accessible lectures that combine the required mathematical theory with relevant applications to real-world markets. I wish this book was around when I started in finance. It would have saved me a lot of time and aggravation."
—Larry Magargal
About the Author
ROBERT L. NAVIN founded Real Time Risk Systems LLC in July 2004. Prior to this, he helped set up a hedge fund in 2002 that grew to more than $1 billion in assets under management during its first year. Navin was previously at Highbridge Capital Management as head of quantitative analysis from 1997 to 2002. He graduated with an MS and a PhD in theoretical particle physics from the California Institute of Technology in 1993.
Most helpful customer reviews
2 of 2 people found the following review helpful.
Review from Olympia Hadjiliadis
By Ioannis Stamos
This book is very well-written and intuitive; just the right approach to the bread and butter of finance from a practitioner's point of view. I would call it the short-step guide to getting the academic physicist, or mathematician prepared for the trading desk.
0 of 0 people found the following review helpful.
This is an amazing reference text for understanding the fundamentals of pricing derivatives
By Eric Lindauer
Rob Navin has a gift for explaining complex mathematical techniques in plain language. This is an amazing reference text for understanding the fundamentals of pricing derivatives. IMO, this is a must-have book for anyone working with derivatives in finance.
6 of 10 people found the following review helpful.
Perfect in its own way
By E. Derman
This book is perfect for someone with a good education to get a quick but thorough overview of what you need to know to build and program models in quantitative finance, and it's also a great resource to look up things you should know or once knew but have forgotten.
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