Problems and Solutions in Mathematical Finance, Volume 2

Detailed guidance on the mathematics behind equityderivatives

Problems and Solutions in Mathematical Finance Volume IIis an innovative reference for quantitative practitioners andstudents, providing guidance through a range of mathematicalproblems encountered in the finance industry. This volume focusessolely on equity derivatives problems, beginning with basicproblems in derivatives securities before moving on to moreadvanced applications, including the construction of volatilitysurfaces to price exotic options. By providing a methodology forsolving theoretical and practical problems, whilst explaining thelimitations of financial models, this book helps readers to developthe skills they need to advance their careers. The text covers awide range of derivatives pricing, such as European, American,Asian, Barrier and other exotic options. Extensive appendicesprovide a summary of important formulae from calculus, theory ofprobability, and differential equations, for the convenience ofreaders.

As Volume II of the four-volume Problems and Solutions inMathematical Finance series, this book provides clearexplanation of the mathematics behind equity derivatives, in orderto help readers gain a deeper understanding of their mechanics anda firmer grasp of the calculations.
* Review the fundamentals of equity derivatives
* Work through problems from basic securities to advanced exoticspricing
* Examine numerical methods and detailed derivations ofclosed-form solutions
* Utilise formulae for probability, differential equations, andmore

Mathematical finance relies on mathematical models, numericalmethods, computational algorithms and simulations to make trading,hedging, and investment decisions. For the practitioners andgraduate students of quantitative finance, Problems andSolutions in Mathematical Finance Volume II provides essentialguidance principally towards the subject of equity derivatives.