Mathematical Finance (PDF)

A balanced introduction to the theoretical foundations and
real-world applications of mathematical finance

The ever-growing use of derivative products makes it essential
for financial industry practitioners to have a solid understanding
of derivative pricing. To cope with the growing complexity,
narrowing margins, and shortening life-cycle of the individual
derivative product, an efficient, yet modular, 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 bridge from academia to practice, this
self-contained text applies theoretical concepts to real-world
examples and introduces state-of-the-art, object-oriented
programming techniques that equip the reader with the conceptual
and illustrative tools needed to understand and develop successful
derivative pricing models.

Utilizing almost twenty years of academic and industry
experience, the author discusses the mathematical concepts that are
the foundation of commonly used derivative pricing models, and
insightful Motivation and Interpretation sections for each concept
are presented to further illustrate the relationship between theory
and practice. In-depth coverage of the common characteristics found
amongst successful pricing models are provided in addition to key
techniques and tips for the construction of these models. The
opportunity to interactively explore the book's principal ideas and
methodologies is made possible via a related Web site that features
interactive 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 pricing courses at the upper undergraduate or beginning
graduate level. It also serves as a valuable reference for
professionals in the banking, insurance, and asset management
industries.