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1、FINANCIALENGINEERINGANDCOMPUTATIONDuringthepastdecademanysophisticatedmathematicalandcomputationaltechniqueshavebeendevelopedforanalyzingfinancialmarkets.Studentsandprofessionalsintendingtoworkinanyareaoffinancemustnotonlymasteradvancedconceptsandmathematicalmodelsbutmu
2、stalsolearnhowtoimplementthesemodelscomputationally.Thiscomprehensivetextcombinesathoroughtreatmentofthetheoryandmathematicsbehindfinancialengineeringwithanemphasisoncomputation,inkeepingwiththewayfinancialengineeringispracticedintoday’scapitalmarkets.Unlikemostbooksoni
3、nvestments,financialengineering,orderivativesecurities,thebookstartsfrombasicideasinfinanceandgraduallybuildsupthetheory.Theadvancedmathematicalconceptsneededinmodernfinanceareexplainedataccessiblelevels.ThusitoffersathoroughgroundinginthesubjectforMBAsinfinance,studentso
4、fengineeringandscienceswhoarepursuingacareerinfinance,researchersincomputationalfinance,systemanalysts,andfinancialengineers.Buildingonthetheory,theauthorpresentsalgorithmsforcomputationaltechniquesinpricing,riskmanagement,andportfoliomanagement,togetherwithanalysesofthe
5、irefficiency.Pricingfinancialandderivativesecuritiesisacentralthemeofthebook.Abroadrangeofinstrumentsistreated:bonds,options,futures,forwards,interestratederivatives,mortgage-backedsecurities,bondswithembeddedoptions,andmore.Eachinstrumentistreatedinashort,self-containe
6、dchapterforreadyreferenceuse.ManyofthesealgorithmsarecodedinJavaasprogramsfortheWeb,availablefromthebook’shomepage:www.csie.ntu.edu.tw/∼lyuu/Capitals/capitals.htm.TheseprogramscanbeexecutedonWindows,MacOS,orUnixplatforms.Yuh-DauhLyuureceivedhisPh.D.incomputersciencefr
7、omHarvardUniversity.HispastpositionsincludeMemberofTechnicalStaffatBellLabs,ResearchScientistatNECResearchInstitute(Princeton),andAssistantVicePresidentatCiticorpSecurities(NewYork).HeiscurrentlyProfessorofComputerScienceandInformationEngineeringandProfessorofFinance,
8、NationalTaiwanUniversity.HispreviousbookisInformationDispersalandParallelComputation.ProfessorLyuuhaspublishedworksinbothcom
