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1、FINANCIALENGINEERINGANDCOMPUTATIONDuringthepastdecademanysophisticatedmathematicalandcomputationaltechniqueshavebeendevelopedforanalyzingfinancialmarkets.Studentsandprofessionalsintendingtoworkinanyareaoffinancemustnotonlymasteradvancedconceptsandmathematicalmod
2、elsbutmustalsolearnhowtoimplementthesemodelscomputationally.Thiscomprehensivetextcombinesathoroughtreatmentofthetheoryandmathematicsbehindfinancialengineeringwithanemphasisoncomputation,inkeepingwiththewayfinancialengineeringispracticedintoday’scapitalmarkets.Un
3、likemostbooksoninvestments,financialengineering,orderivativesecurities,thebookstartsfrombasicideasinfinanceandgraduallybuildsupthetheory.Theadvancedmathematicalconceptsneededinmodernfinanceareexplainedataccessiblelevels.Thusitoffersathoroughgroundinginthesubjectf
4、orMBAsinfinance,studentsofengineeringandscienceswhoarepursuingacareerinfinance,researchersincomputationalfinance,systemanalysts,andfinancialengineers.Buildingonthetheory,theauthorpresentsalgorithmsforcomputationaltechniquesinpricing,riskmanagement,andportfoliomana
5、gement,togetherwithanalysesoftheirefficiency.Pricingfinancialandderivativesecuritiesisacentralthemeofthebook.Abroadrangeofinstrumentsistreated:bonds,options,futures,forwards,interestratederivatives,mortgage-backedsecurities,bondswithembeddedoptions,andmore.Eachi
6、nstrumentistreatedinashort,self-containedchapterforreadyreferenceuse.ManyofthesealgorithmsarecodedinJavaasprogramsfortheWeb,availablefromthebook’shomepage:www.csie.ntu.edu.tw/∼lyuu/Capitals/capitals.htm.TheseprogramscanbeexecutedonWindows,MacOS,orUnixplatforms
7、.Yuh-DauhLyuureceivedhisPh.D.incomputersciencefromHarvardUniversity.HispastpositionsincludeMemberofTechnicalStaffatBellLabs,ResearchScientistatNECResearchInstitute(Princeton),andAssistantVicePresidentatCiticorpSecurities(NewYork).HeiscurrentlyProfessorofComput
8、erScienceandInformationEngineeringandProfessorofFinance,NationalTaiwanUniversity.HispreviousbookisInformationDispersalandParallelComputation.ProfessorLyuuhaspublishedworksinbothcom
