Mathematical Finance: Theory Review and Exercises

From Binomial Model to Risk Measures
 
 
Springer (Verlag)
  • erschienen am 10. September 2013
 
  • Buch
  • |
  • Softcover
  • |
  • X, 277 Seiten
978-3-319-01356-5 (ISBN)
 
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.
Book
2013. 2013
  • Englisch
  • Cham
  • |
  • Schweiz
Springer International Publishing
  • Für Beruf und Forschung
  • |
  • Graduate
Bibliographie
  • Höhe: 233 mm
  • |
  • Breite: 156 mm
  • |
  • Dicke: 20 mm
  • 566 gr
978-3-319-01356-5 (9783319013565)
10.1007/978-3-319-01357-2
weitere Ausgaben werden ermittelt

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." (Laszlo Imre Szabo, Acta Scientiarum Mathematicarum (Szeged), Vol. 80 (1-2), 2014)
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.

Sofort lieferbar

21,39 €
inkl. 7% MwSt.
Sonderpreis bis 30.06.2020
Aktion Yellow Sale | statt 42,79 €
in den Warenkorb