Financial Mathematics, Derivatives and Structured Products: Edition 2
この電子書籍について
This second edition substantially extends, updates and clarifies the previous edition. New materials and enhanced contents include, but not limited to, the role of central counterparties for derivatives transactions, the reference rates to replace LIBOR, risk-neutral modelling for futures and forward, discussions and analysis on risk-neutral framework and numéraires, discrete dividend modelling, variance reduction techniques for Monte Carlo method, finite difference method analysis, tree method, FX modelling, multi-name credit derivatives modelling, local volatility model, forward variance model and local-stochastic volatility model to reflect market practice.
As the book seeks to unify the derivatives modelling and the financial engineering practice in the market, it will be of interest to financial practitioners and academic researchers alike. The book can also be used as a textbook for the following courses:
• Financial Mathematics (undergraduate level)
• Stochastic Modelling in Finance (postgraduate level)• Financial Markets and Derivatives (undergraduate level)
• Structured Products and Solutions (undergraduate/postgraduate level)
著者について
Prof. Raymond H. Chan, Chair Professor and Dean of College of Science, City University of Hong Kong
Yves Guo, Managing Director, BNP Paribas CIB, Central, Hong Kong
Spike T. Lee, Research Assistant, The Chinese University of Hong Kong
Prof. Xun Li, Professor, Hong Kong Polytechnic University
