Financial Mathematics, Derivatives and Structured Products
This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to
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Mathematics, Derivatives and Structured Products
Financial Mathematics, Derivatives and Structured Products
Raymond H. Chan • Yves ZY. Guo • Spike T. Lee Xun Li
Financial Mathematics, Derivatives and Structured Products
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Raymond H. Chan City University of Hong Kong Kowloon Tong, Hong Kong
Yves ZY. Guo BNP Paribas CIB Central, Hong Kong
Spike T. Lee The Chinese University of Hong Kong Sha Tin, Hong Kong
Xun Li The Hong Kong Polytechnic University Hung Hom, Hong Kong
ISBN 978-981-13-3695-9 ISBN 978-981-13-3696-6 (eBook) https://doi.org/10.1007/978-981-13-3696-6 Library of Congress Control Number: 2019932819 © Springer Nature Singapore Pte Ltd. 2019 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors, and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. The publisher remains neutral with regard to jurisdictional claims in published maps and institutional affiliations. This Springer imprint is published by the registered company Springer Nature Singapore Pte Ltd. The registered company address is: 152 Beach Road, #21-01/04 Gateway East, Singapore 189721, Singapore
Dedicated to our loved ones, Raymond: to Katharine Yves: to Véronique, Antoine, Céline, and Sophie Spike: to Carie Xun: to Yun
Preface
This book originates from different courses taught by the authors: – “Financial Mathematics” (undergraduate course) at The Chinese University of Hong Kong by the first author – “Financial Mathematics I” (undergraduate course) at the National University of Singapore and Hong Kong Polytechnic University by the fourth author – “Mathematical Financial Modelling” (master’s course) at The Chinese University of Hong Kong by the second and third authors – “Mathematical Investment Models” and “Structured Products and Solutions” (master’s courses) at Hong Kong University of Science and Technology by the second author. Many examples and analysis from industry’s point of view are featured in this book and provided by the second author who has 20+ years banking experience in financial engineering for his work in a large French bank and t
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