The Mathematics of Financial Derivatives: A Student Introduction

Science & Math

Wilmott, Paul

Dewynne, Jeff

Howison, Both Lecturers Centre for Industrial and Applied Mathematics Sam

Mathematics

Cambridge University Press

<p>Finance 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.</p>

Business & Money

Howison, Sam

Economics

<p>One of the most important partial differential equations in applied mathematics is the heat or diffusion equation. Its importance in the modeling of heat conduction, diffusional processes, and flow through a porous medium is well known. It arises from a probabilistic framework and emerges as the simplest approximation to bulk processes governed at the microscopic level by random spatial variations. Heat Conduction provides a balanced account of solutions and results for the heat equation and serves as a modern undergraduate text that reflects the importance of the heat equation in applied mathematics and mathematical modeling. The first two chapters of the book are introductory and summarize the essential elements of heat flow, diffusion, the mathematical formulation, and simple general results. The next two chapters develop exact analytical solutions, obtained by Laplace transforms and Fourier series, for infinite and finite media problems respectively. Other chapters deal with approximate analytical solutions based on the heat-balance integral method, numerical methods for the heat equation, and simple heat conduction moving boundary problems.</p>

Heat Conduction (Electrical Engineering Handbook)

Hill, James M.

CRC-Press

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