Mathematical Finance: Theory Review and Exercises
Springer International Publishing (Verlag)
978-3-319-01356-5 (ISBN)
Carlo SGARRA: Associate Professor of Mathematical Finance, Politecnico di Milano, Italia Emanuela ROSAZZA GIANIN: Associate Professor of Statistics and Quantitative Methods, University of Milano-Bicocca, Italia
1 Short review of Probability and of Stochastic Processes.- 2 Portfolio Optimization in Discrete time Models.- 3 Binomial Model for Option Pricing.- 4 Absence of arbitrage and Completeness of market models.- 5 Itô's Formula and Stochastic Differential Equations.- 6 Partial Differential Equations in Finance.- 7 Black-Scholes model for Option Pricing and Hedging Strategies.- 8 American Options.- 9 Exotic Options.- 10 Interest Rate Models.- 11 Pricing Models beyond Black-Scholes.- 12 Risk Measures: Value at Risk and beyond.
From the book reviews:
"This work is a very useful companion volume to courses in mathematical finance, and it can also be successfully used for self-study." (László Imre Szabó, Acta Scientiarum Mathematicarum (Szeged), Vol. 80 (1-2), 2014)
Erscheint lt. Verlag | 10.9.2013 |
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Reihe/Serie | La Matematica per il 3+2 | UNITEXT |
Zusatzinfo | X, 277 p. |
Verlagsort | Cham |
Sprache | englisch |
Maße | 155 x 235 mm |
Gewicht | 565 g |
Themenwelt | Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik |
Wirtschaft ► Allgemeines / Lexika | |
Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
Schlagworte | arbitrage theory • Finanzmathematik • Option pricing • portfolio optimization • risk measures • Stochastic volatility |
ISBN-10 | 3-319-01356-4 / 3319013564 |
ISBN-13 | 978-3-319-01356-5 / 9783319013565 |
Zustand | Neuware |
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