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Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > Differential equations
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Financial Modeling - A Backward Stochastic Differential Equations Perspective (Paperback, 2013 ed.)
Loot Price: R3,530
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Financial Modeling - A Backward Stochastic Differential Equations Perspective (Paperback, 2013 ed.)
Series: Springer Finance Textbooks
Expected to ship within 10 - 15 working days
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Backward stochastic differential equations (BSDEs) provide a
general mathematical framework for solving pricing and risk
management questions of financial derivatives. They are of growing
importance for nonlinear pricing problems such as CVA computations
that have been developed since the crisis. Although BSDEs are well
known to academics, they are less familiar to practitioners in the
financial industry. In order to fill this gap, this book revisits
financial modeling and computational finance from a BSDE
perspective, presenting a unified view of the pricing and hedging
theory across all asset classes. It also contains a review of
quantitative finance tools, including Fourier techniques, Monte
Carlo methods, finite differences and model calibration schemes.
With a view to use in graduate courses in computational finance and
financial modeling, corrected problem sets and Matlab sheets have
been provided. Stephane Crepey's book starts with a few chapters on
classical stochastic processes material, and then... fasten your
seatbelt... the author starts traveling backwards in time through
backward stochastic differential equations (BSDEs). This does not
mean that one has to read the book backwards, like a manga! Rather,
the possibility to move backwards in time, even if from a variety
of final scenarios following a probability law, opens a multitude
of possibilities for all those pricing problems whose solution is
not a straightforward expectation. For example, this allows for
framing problems like pricing with credit and funding costs in a
rigorous mathematical setup. This is, as far as I know, the first
book written for several levels of audiences, with applications to
financial modeling and using BSDEs as one of the main tools, and as
the song says: "it's never as good as the first time". Damiano
Brigo, Chair of Mathematical Finance, Imperial College London While
the classical theory of arbitrage free pricing has matured, and is
now well understood and used by the finance industry, the theory of
BSDEs continues to enjoy a rapid growth and remains a domain
restricted to academic researchers and a handful of practitioners.
Crepey's book presents this novel approach to a wider community of
researchers involved in mathematical modeling in finance. It is
clearly an essential reference for anyone interested in the latest
developments in financial mathematics. Marek Musiela, Deputy
Director of the Oxford-Man Institute of Quantitative Finance
General
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