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FINANCIAL ENGINEERING AND COMPUTATION During the past decade many sophisticated mathematical and computational techniques have been developed for analyzing financial markets. Students and professionals intending to work in any area of finance must not only master advanced concepts and mathematical models but must also learn how to implement these models computationally. This comprehensive text combines a thorough treatment of the theory and mathematics behind financial engineering with an emphasis on computation, in keeping with the way financial engineering is practiced in today’s capital markets. Unlike most books on investments, financial engineering, or derivative securities, the book starts from basic ideas in finance and gradually builds up the theory. The advanced mathematical concepts needed in modern finance are explained at accessible levels. Thus it offers a thorough grounding in the subject for MBAs in finance, students of engineering and sciences who are pursuing a career in finance, researchers in computational finance, system analysts, and financial engineers. Building on the theory, the author presents algorithms for computational techniques in pricing, risk management, and portfolio management, together with analyses of their efficiency. Pricing financial and derivative securities is a central theme of the book. A broad range of instruments is treated: bonds, options, futures, forwards, interest rate derivatives, mortgage-backed securities, bonds with embedded options, and more. Each instrument is treated in a short, self-contained chapter for ready reference use.

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