Problems and Solutions in Mathematical Finance

VOLUME 2

Equity Derivatives

Eric Chin, Dian Nel and Sverrir Ólafsson

The quantitative methods required for the pricing and hedging of a range of financial securities are drawn from mathematical finance, an important and rapidly growing discipline. In an increasingly complex financial world, the role of mathematical finance is indispensable. It follows that successful financial engineers or quants need to have an excellent grasp of all the major technicalities of mathematical finance to master its diverse applications in the financial industry.

Problems and Solutions in Mathematical Finance Volume 2: Equity Derivatives is the second of a four-volume set of books focusing on problems and solutions in mathematical finance.

The first volume in the series introduced the reader to all the important concepts in probability and stochastic calculus. The second volume covers a broad area of equity derivative contracts, ranging from vanilla options to various more complex options such as time dependent American, compound, barrier and volatility options. The theoretical presentation and its effective integration with a wide range of problems is clear and to the point. This approach brings the student quickly to the forefront of the modern practice of mathematical finance.

This series is unique as it provides the student with rigorous but yet intuitive explanations of some highly technical material further deepened by extensive real-world examples.

Written mainly for students, industry practitioners and those involved in teaching in this field of study, Equity Derivatives provides a valuable reference book to complement one's further understanding of mathematical finance.