Financial Mathematics
Autor Yuliya Mishuraen Limba Engleză Hardback – 24 ian 2016
With a focus on portfolio optimization, fair pricing, investment risk, and self-finance, the authors provide numerical methods for solutions and practical financial models, enabling you to solve problems both from mathematical and from financial point of view.
- Calculations of Lower and upper prices, featuring practical examples
- The simplest functional limit theorem proved for transition from discrete to continuous time
- Learn how to optimize portfolio in the presence of risk factors
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Specificații
ISBN-13: 9781785480461
ISBN-10: 1785480464
Pagini: 194
Dimensiuni: 152 x 229 x 15 mm
Greutate: 0.5 kg
Editura: ELSEVIER SCIENCE
ISBN-10: 1785480464
Pagini: 194
Dimensiuni: 152 x 229 x 15 mm
Greutate: 0.5 kg
Editura: ELSEVIER SCIENCE
Public țintă
Academics, researchers, and practitioners in quantitative finance, financial risk management; economics, and other areas of math, science and engineeringCuprins
Chapter 1. Financial Markets with Discrete Time1.1. General description of a market model with discrete time1.2. Arbitrage opportunities, martingale measures and martingale1.3. Contingent claims: complete and incomplete markets1.4. The Cox–Ross–Rubinstein approach to option pricing1.5. The sequence of the discrete-time markets as an intermediate1.6. American contingent claimsChapter 2. Financial Markets with Continuous Time2.1. Transition from discrete to continuous time2.2. Black–Scholes formula for the arbitrage-free price of the2.3. Arbitrage theory for the financial markets with continuous time2.4. American contingent claims in continuous time2.5. Exotic derivatives in the model with continuous time