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Quantitative Finance

Its Development, Mathematical Foundations, and Current Scope

T. Wake Epps

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John Wiley & Sons img Link Publisher

Naturwissenschaften, Medizin, Informatik, Technik / Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik


A rigorous, yet accessible, introduction to essential topics inmathematical finance Presented as a course on the topic, Quantitative Finance tracesthe evolution of financial theory and provides an overview of coretopics associated with financial investments. With its thoroughexplanations and use of real-world examples, this book carefullyoutlines instructions and techniques for working with essentialtopics found within quantitative finance including portfoliotheory, pricing of derivatives, decision theory, and the empiricalbehavior of prices. The author begins with introductory chapters on mathematicalanalysis and probability theory, which provide the needed tools formodeling portfolio choice and pricing in discrete time. Next, areview of the basic arithmetic of compounding as well as therelationships that exist among bond prices and spot and forwardinterest rates is presented.? Additional topics coveredinclude: * Dividend discount models * Markowitz mean-variance theory * The Capital Asset Pricing Model * Static?portfolio theory based on the expected-utilityparadigm * Familiar probability models for marginal distributions ofreturns and the dynamic behavior of security prices The final chapters of the book delve into the paradigms ofpricing and present the application of martingale pricing inadvanced models of price dynamics. Also included is a step-by-stepdiscussion on the use of Fourier methods to solve forarbitrage-free prices when underlying price dynamics are modeled inrealistic, but complex ways. Throughout the book, the author presents insight on currentapproaches along with comments on the unique difficulties thatexist in the study of financial markets. These reflectionsillustrate the evolving nature of the financial field and helpreaders develop analytical techniques and tools to apply in theireveryday work. Exercises at the end of most chapters progress indifficulty, and selected worked-out solutions are available in theappendix. In addition, numerous empirical projects utilizeMATLAB® and Minitab® to demonstrate the mathematicaltools of finance for modeling the behavior of prices and markets.Data sets that accompany these projects can be found via the book'sFTP site. Quantitative Finance is an excellent book for courses inquantitative finance or financial engineering at theupper-undergraduate and graduate levels. It is also a valuableresource for practitioners in related fields including engineering,finance, and economics.

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Finance & Investments, Econometrics, Ökonometrie, Economics, Finanztechnik, Statistik, Statistics for Finance, Business & Economics, Finanz- u. Anlagewesen, Statistics, Volkswirtschaftslehre, Financial Engineering, Finanz- u. Wirtschaftsstatistik