## The Mathematics of Financial Derivatives: A Student IntroductionFinance is one of the fastest growing areas in the modern banking and corporate world. This, together with the sophistication of modern financial products, provides a rapidly growing impetus for new mathematical models and modern mathematical methods. Indeed, the area is an expanding source for novel and relevant "real-world" mathematics. In this book, the authors describe the modeling of financial derivative products from an applied mathematician's viewpoint, from modeling to analysis to elementary computation. The authors present a unified approach to modeling derivative products as partial differential equations, using numerical solutions where appropriate. The authors assume some mathematical background, but provide clear explanations for material beyond elementary calculus, probability, and algebra. This volume will become the standard introduction for advanced undergraduate students to this exciting new field. |

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### Contents

III | 3 |

IV | 4 |

V | 7 |

VI | 11 |

VII | 13 |

VIII | 14 |

IX | 15 |

X | 18 |

LV | 169 |

LVI | 172 |

LVII | 174 |

LVIII | 176 |

LIX | 180 |

LX | 183 |

LXI | 186 |

LXII | 187 |

XI | 19 |

XII | 25 |

XIII | 30 |

XIV | 33 |

XV | 35 |

XVI | 40 |

XVII | 41 |

XVIII | 44 |

XIX | 46 |

XX | 48 |

XXI | 51 |

XXII | 52 |

XXIII | 58 |

XXIV | 59 |

XXV | 66 |

XXVI | 68 |

XXVII | 71 |

XXVIII | 76 |

XXIX | 81 |

XXX | 83 |

XXXI | 90 |

XXXII | 98 |

XXXIII | 100 |

XXXIV | 101 |

XXXV | 106 |

XXXVI | 108 |

XXXVII | 109 |

XXXVIII | 110 |

XXXIX | 114 |

XL | 115 |

XLI | 117 |

XLII | 121 |

XLIII | 125 |

XLIV | 133 |

XLV | 135 |

XLVI | 136 |

XLVII | 139 |

XLIX | 144 |

L | 145 |

LI | 155 |

LII | 165 |

LIII | 167 |

LIV | 168 |

LXIII | 189 |

LXIV | 191 |

LXV | 195 |

LXVI | 197 |

LXVII | 199 |

LXVIII | 201 |

LXX | 202 |

LXXI | 203 |

LXXII | 206 |

LXXIII | 207 |

LXXIV | 209 |

LXXV | 213 |

LXXVI | 214 |

LXXVII | 217 |

LXXVIII | 222 |

LXXIX | 223 |

LXXX | 225 |

LXXXI | 226 |

LXXXII | 230 |

LXXXIII | 233 |

LXXXIV | 236 |

LXXXV | 237 |

LXXXVI | 243 |

LXXXVII | 244 |

LXXXVIII | 246 |

LXXXIX | 248 |

XC | 252 |

XCI | 257 |

XCII | 263 |

XCIII | 265 |

XCIV | 268 |

XCV | 270 |

XCVII | 273 |

XCVIII | 280 |

XCIX | 281 |

C | 282 |

CI | 286 |

CII | 290 |

CIII | 295 |

308 | |

312 | |

### Other editions - View all

The Mathematics of Financial Derivatives: A Student Introduction Paul Wilmott,Sam Howison,Jeff Dewynne No preview available - 1995 |

### Common terms and phrases

American option American put analysis arbitrage Asian options asset price average strike barrier options binomial method Black-Scholes equation bond pricing boundary conditions calculate call and put call option Chapter consider constant constraint continuous convertible bond Crank-Nicolson delta function depends derivative products diffusion equation discrete sampling dividend yield early exercise European call European option example exercise price exotic options expiry date explicit finite-difference explicit formulae Figure final condition finite finite-difference method free boundary problems holder implicit inequality interest rate iterations Ito's lemma jump condition linear complementarity mathematical maximum Nplus optimal option price option value parameters partial differential equation path-dependent option payoff function projected SOR put option put-call parity random walk realised risk-free sampling dates satisfies Scholes Sf(t solve SOR algorithm spot rate stochastic differential equation Technical Point term time-step transaction costs underlying asset vanilla call vanilla option volatility yield curve zero