Mathematical Finance: Theory Review and Exercises, 2013 From Binomial Model to Risk Measures La Matematica per il 3+2 Series
Langue : Anglais
Auteurs : Rosazza Gianin Emanuela, Sgarra Carlo
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.
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.
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
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
Date de parution : 09-2013
Ouvrage de 277 p.
15.5x23.5 cm
Thèmes de Mathematical Finance: Theory Review and Exercises :
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