[PDF] Applied Math For Derivatives eBook

Author : John Martin
Publisher : Wiley
Page : 480 pages
File Size : 13,66 MB
Release : 2001-07-04
Category : Business & Economics
ISBN : 9780471479024

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A handy guide/reference for investors, analysts, and students, Mathematics for Derivatives provides an integrated approach to the valuation of financial derivative instruments for a wide range of asset classes. Featuring a user-friendly format, it was designed to be used as both a step-by-step guide to derivative pricing for beginners, and a handy quick-reference for experienced market practitioners in need of a refresher on the intricacies of a specific instrument. Offering comprehensive coverage of derivative instruments, simple valuation methods, and many detailed examples, this book is sure to be warmly received by professional investors, fund managers, brokers, risk managers, analysts, financial software developers, and all who need a working knowledge of the mathematical techniques used in the derivatives industry. John Martin (Australia) has worked, taught and published extensively in the areas of treasury, derivatives and financial risk management. He was closely involved in the development of the derivatives industry in Australia in roles varying from market trader, risk manager, regulator and educator. He is a Partner at PricewaterhouseCoopers in Australia.

Author : Satya Mukhopadhyay
Publisher : CRC Press
Page : 222 pages
File Size : 10,12 MB
Release : 2012-01-25
Category : Mathematics
ISBN : 1439880476

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The concept of higher order derivatives is useful in many branches of mathematics and its applications. As they are useful in many places, nth order derivatives are often defined directly. Higher Order Derivatives discusses these derivatives, their uses, and the relations among them. It covers higher order generalized derivatives, including the Peano, d.l.V.P., and Abel derivatives; along with the symmetric and unsymmetric Riemann, Cesàro, Borel, LP-, and Laplace derivatives. Although much work has been done on the Peano and de la Vallée Poussin derivatives, there is a large amount of work to be done on the other higher order derivatives as their properties remain often virtually unexplored. This book introduces newcomers interested in the field of higher order derivatives to the present state of knowledge. Basic advanced real analysis is the only required background, and, although the special Denjoy integral has been used, knowledge of the Lebesgue integral should suffice.

Author : Andreas Griewank
Publisher : SIAM
Page : 448 pages
File Size : 32,84 MB
Release : 2008-11-06
Category : Mathematics
ISBN : 0898716594

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This title is a comprehensive treatment of algorithmic, or automatic, differentiation. The second edition covers recent developments in applications and theory, including an elegant NP completeness argument and an introduction to scarcity.

Author : Kenneth Eriksson
Publisher : Springer Science & Business Media
Page : 450 pages
File Size : 42,88 MB
Release : 2013-12-11
Category : Mathematics
ISBN : 3662058006

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Applied Mathematics: Body & Soul is a mathematics education reform project developed at Chalmers University of Technology and includes a series of volumes and software. The program is motivated by the computer revolution opening new possibilitites of computational mathematical modeling in mathematics, science and engineering. It consists of a synthesis of Mathematical Analysis (Soul), Numerical Computation (Body) and Application. Volumes I-III present a modern version of Calculus and Linear Algebra, including constructive/numerical techniques and applications intended for undergraduate programs in engineering and science. Further volumes present topics such as Dynamical Systems, Fluid Dynamics, Solid Mechanics and Electro-Magnetics on an advanced undergraduate/graduate level. The authors are leading researchers in Computational Mathematics who have written various successful books.

Author : Andreas Griewank
Publisher : SIAM
Page : 438 pages
File Size : 48,46 MB
Release : 2008-01-01
Category : Mathematics
ISBN : 0898717760

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This title is a comprehensive treatment of algorithmic, or automatic, differentiation. The second edition covers recent developments in applications and theory, including an elegant NP completeness argument and an introduction to scarcity.

Author : Changpin Li
Publisher : SIAM
Page : 326 pages
File Size : 31,41 MB
Release : 2019-10-31
Category : Mathematics
ISBN : 1611975883

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Due to its ubiquity across a variety of fields in science and engineering, fractional calculus has gained momentum in industry and academia. While a number of books and papers introduce either fractional calculus or numerical approximations, no current literature provides a comprehensive collection of both topics. This monograph introduces fundamental information on fractional calculus, provides a detailed treatment of existing numerical approximations, and presents an inclusive review of fractional calculus in terms of theory and numerical methods and systematically examines almost all existing numerical approximations for fractional integrals and derivatives. The authors consider the relationship between the fractional Laplacian and the Riesz derivative, a key component absent from other related texts, and highlight recent developments, including their own research and results. The core audience spans several fractional communities, including those interested in fractional partial differential equations, the fractional Laplacian, and applied and computational mathematics. Advanced undergraduate and graduate students will find the material suitable as a primary or supplementary resource for their studies.

Author : Yue-Kuen Kwok
Publisher : Springer Science & Business Media
Page : 541 pages
File Size : 17,11 MB
Release : 2008-07-10
Category : Mathematics
ISBN : 3540686886

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This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.

Author : Kenneth Eriksson
Publisher : Springer Science & Business Media
Page : 454 pages
File Size : 45,34 MB
Release : 2013-04-17
Category : Mathematics
ISBN : 3662057964

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Applied Mathematics: Body & Soul is a mathematics education reform project developed at Chalmers University of Technology and includes a series of volumes and software. The program is motivated by the computer revolution opening new possibilitites of computational mathematical modeling in mathematics, science and engineering. It consists of a synthesis of Mathematical Analysis (Soul), Numerical Computation (Body) and Application. Volumes I-III present a modern version of Calculus and Linear Algebra, including constructive/numerical techniques and applications intended for undergraduate programs in engineering and science. Further volumes present topics such as Dynamical Systems, Fluid Dynamics, Solid Mechanics and Electro-Magnetics on an advanced undergraduate/graduate level. The authors are leading researchers in Computational Mathematics who have written various successful books.

Author : Yuri Luchko
Publisher : MDPI
Page : 280 pages
File Size : 41,13 MB
Release : 2021-03-16
Category : Mathematics
ISBN : 303650494X

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This Special Issue is devoted to some serious problems that the Fractional Calculus (FC) is currently confronted with and aims at providing some answers to the questions like “What are the fractional integrals and derivatives?”, “What are their decisive mathematical properties?”, “What fractional operators make sense in applications and why?’’, etc. In particular, the “new fractional derivatives and integrals” and the models with these fractional order operators are critically addressed. The Special Issue contains both the surveys and the research contributions. A part of the articles deals with foundations of FC that are considered from the viewpoints of the pure and applied mathematics, and the system theory. Another part of the Special issue addresses the applications of the FC operators and the fractional differential equations. Several articles devoted to the numerical treatment of the FC operators and the fractional differential equations complete the Special Issue.

Author : Harendra Singh
Publisher : CRC Press
Page : 236 pages
File Size : 22,37 MB
Release : 2022-02-17
Category : Technology & Engineering
ISBN : 1000540103

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Fractional calculus is used to model many real-life situations from science and engineering. The book includes different topics associated with such equations and their relevance and significance in various scientific areas of study and research. In this book readers will find several important and useful methods and techniques for solving various types of fractional-order models in science and engineering. The book should be useful for graduate students, PhD students, researchers and educators interested in mathematical modelling, physical sciences, engineering sciences, applied mathematical sciences, applied sciences, and so on. This Handbook: Provides reliable methods for solving fractional-order models in science and engineering. Contains efficient numerical methods and algorithms for engineering-related equations. Contains comparison of various methods for accuracy and validity. Demonstrates the applicability of fractional calculus in science and engineering. Examines qualitative as well as quantitative properties of solutions of various types of science- and engineering-related equations. Readers will find this book to be useful and valuable in increasing and updating their knowledge in this field and will be it will be helpful for engineers, mathematicians, scientist and researchers working on various real-life problems.