Financial Engineering and Computation: Principles, Mathematics, Algorithms
Financial Engineering and Computation: Principles, Mathematics, Algorithms
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金融工程与计算：原理、数学、算法
DOI：
10.1017/cbo9780511546839
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发表时间：
2001
期刊：
影响因子：
0.7
通讯作者：
Y. Lyuu
中科院分区：
文献类型：
--
作者：
Y. Lyuu
打算在任何金融领域工作的学生和专业人士不仅必须掌握先进的概念和数学模型，还必须学习如何通过计算实现这些模型。这本综合性的教科书首次出版于2002年，结合了金融工程背后的理论和数学，强调计算，与金融工程在资本市场中的实践方式保持一致。与大多数关于投资、金融工程或衍生证券的书籍不同，本书从金融中非常基本的概念开始，逐步建立理论。它为金融MBA，正在追求金融事业的工程和科学学生，计算金融研究人员，系统分析师和金融工程师提供了全面的基础。沿着理论，作者提出了许多算法的定价，风险管理和投资组合管理。重点是金融和衍生证券的定价：债券，期权，期货，远期，利率衍生品，抵押贷款支持证券，嵌入期权的债券等。
Students and professionals intending to work in any area of finance must master not only advanced concepts and mathematical models but also learn how to implement these models computationally. This comprehensive text, first published in 2002, combines the theory and mathematics behind financial engineering with an emphasis on computation, in keeping with the way financial engineering is practised in capital markets. Unlike most books on investments, financial engineering, or derivative securities, the book starts from very basic ideas in finance and gradually builds up the theory. It offers a thorough grounding in the subject for MBAs in finance, students of engineering and sciences who are pursuing a career in finance, researchers in computational finance, system analysts, and financial engineers. Along with the theory, the author presents numerous algorithms for pricing, risk management, and portfolio management. The emphasis is on pricing financial and derivative securities: bonds, options, futures, forwards, interest rate derivatives, mortgage-backed securities, bonds with embedded options, and more.