"Financial Engineering: Derivatives Pricing, Computer
Simulations, Market Statistics"
A.Weron, R.Weron - WNT , Warszawa 1998
The book provides a comprehensive overview of financial
markets and an up-to-date treatment of mathematical and numerical
methods used in financial engineering. A rapid growth of the
finacial sector in Poland and other emerging markets in East and
Central Europe makes this a hot topic. The main subjects
discussed in the book include: in-depth coverage of derivatives'
pricing models, structures and applications of exotic
instruments, and market statistics with a comprehensive survey of
time series models. In addition, original software in the form of
the Financial Engineering Toolbox v. 2.0
- an easy to use MATLAB
toolbox - is included, so that each reader can personally
experiment with a wide variety of derivatives.
"Financial Engineering" is a textbook for graduate
students, researchers and practitioners from business schools,
universities and financial institutions. It can be followed
without introductory studies by readers with a basic knowledge of
probability and stochastic processes. Because of the educational
software and over 120 graphical illustrations and computer
simulations the book may be followed by readers less specialized
in mathematics as well. On the other hand the first four chapters
of the book provide a short introductory course in finance,
allowing mathematicians or physicists to understand financial
TABLE OF CONTENTS
2. Financial markets
4. Basic derivatives (forwards, futures, swaps and options)
5. Financial mathematics of discrete models
6. Financial mathematics of continuous models
7. Term structure models
8. Construction and pricing of exotic derivatives
9. Market statistics
10. Alternative models
A. Financial Engineering Toolbox v. 2.0
B. Financial calculus
C. Nobel Prize Winners in Economics
D. Answers to problems
Compressed toolbox (for decompression use: unzip, pkzip/pkunzip, nczip, winzip). Depending on Matlab version - 4.0, 4.2 or 5.x - please download fet40.zip , fet42.zip or fet5x.zip , respectively. In order to install the toolbox please unzip the fet??.zip file into a new directory on your hard disk and add its path to Matlab's toolbox paths (e.g. MATLAB.RC file in ver. 4.x). Then simply run findemo. It has help screens in English and Polish.
All interested in risk management please try our Financial Engineer, a user-friendly introduction to financial engineering.