The Mathematics of Derivatives. Tools for Designing Numerical Algorithms (Robert Navin L.).

“The Mathematics of Derivatives” - это книга, написанная Робертом Навином Л., которая является практическим и интуитивным введением в ключевые концепции финансовой математики. Она охватывает фундаментальные основы этой дисциплины и предоставляет аналитические и численные схемы для решения интересных задач ценообразования производных. Если Ричард Фейнман написал бы введение в финансовую математику, оно выглядело бы похоже. Эта книга содержит высококачественные проблемы и решения.

Praise for 'The Mathematics of Differentials' "The Mathematics of Differentials provides a concise and rigorous exposition of fundamental concepts and breakthroughs in quantitative finance along with appropriate modifications that account for various branches of financial engineering. Topics covered include interest rates, term structures, credit, money markets, traders, arbitrage, risk management, simulation, and optimization. This book is important reading for professional quant developers, portfolio managers, and investment analysts looking to stay current in technology, frameworks, and methodologies that shape the market environment. Readers looking to expand their horizon will find groundbreaking concepts that potentially turn research into dynamism. Nonetheless, the access approach provided by Navin L, makes this a book worth pondering over." —Jonathan Grantham, Winton Capital Management LLC "I enjoyed this book as a beginner in options modeling. Readings on multi-asset bas-ket models were especially enlightening, along with some refresher chapters on deriva-tives and triggers. Additionally, Section 9.2, detailing realities in Axisymmetric calculations for Exotic Positions, was a refreshing practice come pure finesse and creative thinking. Coming from a background of electrical engineering and economics, my initial approach was rather Device-based, but Navin's Chapter 8.1, 'Stochas-tic Calculus 101', shifted gears and built a knowledge base bridge. This reference gives me confidence to pursue PhD studies in Financial Engineering." — Baran Ács, United World College of the Adriatic