Name: The mathematics of derivatives securities with applications in MATLAB
ISBN: 9780470683699

Book information

Authors: Mario Cerrato verified identity
First published: 2012
Editions known: 9
Publishers: John Wiley & Sons Inc.
Languages: eng
ISBN-13: 9780470683699, 9781118374405, 9781118374429, 9781118467398, 9781119973409, 9781119973416, 9781119973423, 9781119973430, 9781280591570
Main topics: Options and Volatility, Stochastic Calculus
Also covers: Derivatives Pricing, Risk Management, Fixed Income
Related site topics: Fixed Income & Interest Rates, Options & Derivatives Pricing, Risk Management & Tail Risk, Stochastic Control & Optimal Stopping, Volatility Modeling & Forecasting

Overview

The mathematics of derivatives securities with applications in MATLAB is a book by Mario Cerrato, first published in 2012. In this catalogue it is classified mainly under Options and Volatility and Stochastic Calculus, with secondary coverage of Derivatives Pricing, Risk Management and Fixed Income.

Audience and depth. The rule-based model places its mathematical difficulty at advanced level (8/10); readers are typically expected to know calculus, differential equations, probability theory, statistics and stochastic processes.

Orientation. The metadata points to an implementation-oriented, applied treatment. The archive holds 6 papers whose topics and vocabulary overlap with this book; those links are inferred (see the research connections below).

How to read this page. Topics, difficulty, prerequisites and orientation are model-derived (rule-based, rule_based_v1) from bibliographic metadata such as title, subject headings and edition data. They were not produced by reading the book and are not a review. Relevance confidence is 99% and difficulty confidence is 90%; the catalogue lists no ratings or awards.

Research assessment

Rule-based and model-derived from metadata (title, subject headings, edition data). These are not reviews or ratings; see the evidence below.

Quant-finance relevance	76/100 confidence 99% Score 76.5/100. Strongest: quant_relevance 0.99, technical_depth 0.76; weakest: practical_applicability 0.49. Evidence: title:'derivatives securities', subjects:'derivative securities', ol_description:'interest rate model'.
Mathematical difficulty	Advanced (8/10) confidence 90%
Prerequisites	calculus, differential equations, probability theory, statistics, stochastic processes
Practical orientation	Applied
Metadata quality	98%

Difficulty evidence (7 signals)

mathematical_finance_core matched in ol_description: “stochastic volatility”
probability_basics matched in ol_description: “probability”
probability_basics matched in subjects: “probabilities”
statistical_inference matched in subjects: “statistical methods”
stochastic_calculus matched in ol_description: “stochastic calculus”
stochastic_processes matched in ol_description: “stochastic processes”
stochastic_processes matched in openalex_topics: “stochastic processes”

Research connections

Related papers on this site

Similarity of research area (shared vocabulary, topics and methods). Not citations: the paper does not necessarily cite this book.

If Not Now, Then When? Model Risk in the Optimal Exercise of American Options Topic similarity inferred similarity 0.45
Machine Learning Methods for Pricing Financial Derivatives Topic similarity inferred similarity 0.41
Neural Term Structure of Additive Process for Option Pricing Topic similarity inferred similarity 0.41
Fast Deep Hedging with Second-Order Optimization Topic similarity inferred similarity 0.41
The Volterra Stein-Stein model with stochastic interest rates Topic similarity inferred similarity 0.41
Application of Tensor Neural Networks to Pricing Bermudan Swaptions Topic similarity inferred similarity 0.37

Similar books

Statistics of Financial Markets inferred similarity 0.59
Derivative Security Pricing inferred similarity 0.59
Financial Derivatives Modeling inferred similarity 0.58
The Oxford handbook of credit derivatives inferred similarity 0.57
Introduction to the Mathematics of Financial Derivatives inferred similarity 0.56

Author profiles

Mario Cerrato verified identity

External resources

Open Library
DOI
Search on Amazon (ISBN-13 9781280591570) (search link; may be an affiliate link)

Relationship graph

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