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Business & Management - Finance & Banking | Computational Financial Mathematics using MATHEMATICA® - Optimal Trading in Stocks and Options

Computational Financial Mathematics using MATHEMATICA®

Optimal Trading in Stocks and Options

Stojanovic, Srdjan

2003, XI, 481 p. With online files/update.

A product of Birkhäuser Basel
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Given the explosion of interest in mathematical methods for solving problems in finance and trading, a great deal of research and development is taking place in universities, large brokerage firms, and in the supporting trading software industry. Mathematical advances have been made both analytically and numerically in finding practical solutions.

This book provides a comprehensive overview of existing and original material, about what mathematics when allied with Mathematica can do for finance. Sophisticated theories are presented systematically in a user-friendly style, and a powerful combination of mathematical rigor and Mathematica programming. Three kinds of solution methods are emphasized: symbolic, numerical, and Monte-- Carlo. Nowadays, only good personal computers are required to handle the symbolic and numerical methods that are developed in this book.

Key features: * No previous knowledge of Mathematica programming is required * The symbolic, numeric, data management and graphic capabilities of Mathematica are fully utilized * Monte--Carlo solutions of scalar and multivariable SDEs are developed and utilized heavily in discussing trading issues such as Black--Scholes hedging * Black--Scholes and Dupire PDEs are solved symbolically and numerically * Fast numerical solutions to free boundary problems with details of their Mathematica realizations are provided * Comprehensive study of optimal portfolio diversification, including an original theory of optimal portfolio hedging under non-Log-Normal asset price dynamics is presented

The book is designed for the academic community of instructors and students, and most importantly, will meet the everyday trading needs of quantitatively inclined professional and individual investors.

Content Level » Professional/practitioner

Keywords » Mathematica - Options - Portfolio - Portfolio Diversification - Portfolio Optimization - STATISTICA - Stochastic Differential Equations - Volatility - linear optimization - optimization

Related subjects » Birkhäuser Applied Probability and Statistics - Birkhäuser Computer Science - Birkhäuser Mathematics

Table of contents 

Preface * Cash Account Evolution * Stock Price Evolution * European Style Stock Options * Stock Market Statistics * Implied Volatility for European Options * American Style Stock Options * Optimal Portfolio Rules * Advanced Trading Strategies * Bibliography * Index

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