Financial engineering and computation. Principles, mathematics, algorithms (Q2768497)

This book on ``financial engineering'' is based on theoretical and computational tools. It is introductory in nature and self-contained. The goal is to present practical methods which will be useful for implementations. NEWLINENEWLINENEWLINEIn the first chapters, the author presents some computer aspects as well as basics of financial mathematics, and a stochastic framework is introduced. Pricing of options and derivatives using the arbitrage argument is shown next in the discrete case.NEWLINENEWLINENEWLINEA second group of chapters deals with stochastic tools in continuous time. A short section presents martingale pricing and in another chapter the Black Scholes process is derived in the usual way. A chapter is devoted to hedging. Another group of chapters deals with various computational tools (binomial trees, the role of combinatorics for efficient algorithms, simulation methods (PDEs, the stochastic case), time-series, computational linear algebra).NEWLINENEWLINENEWLINESubsequent chapters are devoted to modelling issues, and finally the topics of mortage-backed securities and portfolio management are dealt with. NEWLINENEWLINENEWLINEAn updated software available on the Web supports computer applications in the book (instead of a diskette).NEWLINENEWLINENEWLINEMany exercices and solutions are included. One finds an extensive bibliography with almost nine hundred entries at the end. The index is also useful.NEWLINENEWLINENEWLINEThe author unveils his humour in the choice of some citations.NEWLINENEWLINENEWLINEThe book will be useful and can be recommended to students and professionals involved in practical aspects of finance.