Mathematical Finance: Theory Review and Exercises: From Binomial Model to Risk Measures de Emanuela Rosazza Gianin

Mathematical Finance: Theory Review and Exercises: From Binomial Model to Risk Measures: UNITEXT, cartea 70

Autor Emanuela Rosazza Gianin, Carlo Sgarra

en Limba Engleză Paperback – 10 sep 2013

The book collects over 120 exercises on different subjects of Mathematical Finance, including Option Pricing, Risk Theory, and Interest Rate Models. Many of the exercises are solved, while others are only proposed. Every chapter contains an introductory section illustrating the main theoretical results necessary to solve the exercises. The book isintended as an exercise textbook to accompany graduate courses in mathematical finance offered at many universities as part of degree programs in Applied and Industrial Mathematics, Mathematical Engineering, and Quantitative Finance.

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Specificații

ISBN-13: 9783319013565
ISBN-10: 3319013564
Pagini: 300
Ilustrații: X, 277 p.
Dimensiuni: 155 x 235 x 20 mm
Greutate: 0.56 kg
Ediția:2013
Editura: Springer International Publishing
Colecția Springer
Seriile UNITEXT, La Matematica per il 3+2

Locul publicării:Cham, Switzerland

Public țintă

Graduate

Cuprins

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.

Recenzii

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)

Notă biografică

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

Textul de pe ultima copertă

The book collects over 120 exercises on different subjects of Mathematical Finance, including Option Pricing, Risk Theory, and Interest Rate Models. Many of the exercises are solved, while others are only proposed. Every chapter contains an introductory section illustrating the main theoretical results necessary to solve the exercises. The book is intended as an exercise textbook to accompany graduate courses in mathematical finance offered at many universities as part of degree programs in Applied and Industrial Mathematics, Mathematical Engineering, and Quantitative Finance.

Caracteristici

Offers substantially more exercises on continuous time than do other textbooks Includes three completely new chapters (one on Arbitrage Theory and Incompleteness, one on Risk Measures, and one on Stochastic Volatility Models and Models with jumps) Presents a middle ground between the stochastic and the analytic approach to option pricing and hedging at a reasonable, but not trivial, mathematical level Includes supplementary material: sn.pub/extras

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