Mathematical Finance: Theory, Modeling, Implementation
by Christian Fries
Wiley | ISBN: 0470047224 | August 24, 2007 | 544 pages | PDF | 15 Mb


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A balanced introduction to the theoretical foundations and real-world applications of mathematical finance.The ever-growing use of derivative products makes it essential forfinancial industry practitioners to have a solid understanding of derivative pricing.To cope with the growing complexity, narrowing margins, and shorteninglife-cycle of the individual derivative product, an efficient, yetmodular,implementation of the pricing algorithms is necessary. Mathematical Finance is the first book to harmonize the theory, modeling, and implementation of today's most prevalent pricing models under one convenient cover.  Building a bridgefrom academia to practice, this self-contained text applies theoreticalconcepts to real-world examples and introduces state-of-the-art,object-oriented programming techniques that equip the reader with theconceptual and illustrative tools needed to understand and developsuccessfulderivative pricing models.
Utilizing almost twenty years of academic and industry experience, theauthor discusses the mathematical concepts that are the foundation ofcommonly usedderivative pricingmodels, and insightful Motivation and Interpretation sections for eachconcept are presented to further illustrate the relationship betweentheory and practice. In-depth coverage of the common characteristicsfound amongst successful pricing models are provided in addition to keytechniques and tips for the construction of these models. Theopportunity to interactively explore the book's principal ideas andmethodologies is made possible via a related Web site that featuresinteractive Java experiments and exercises.
While a high standard of mathematical precision is retained, Mathematical Finance emphasizes practical motivations, interpretations, and results and is an excellent textbook for students in mathematical finance, computational finance, and derivative pricingcourses at the upper undergraduate or beginning graduate level. It alsoserves as a valuable reference for professionals in the banking,insurance, and asset management industries.