Financial Mathematics A Comprehensive Treatment Chapman and Hall/CRC Financial Mathematics Series
Auteurs : Campolieti Giuseppe, Makarov Roman N.
Versatile for Several Interrelated Courses at the Undergraduate and Graduate Levels
Financial Mathematics: A Comprehensive Treatment provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of the authors? teaching experiences, the book encompasses a breadth of topics, from introductory to more advanced ones.
Accessible to undergraduate students in mathematics, finance, actuarial science, economics, and related quantitative areas, much of the text covers essential material for core curriculum courses on financial mathematics. Some of the more advanced topics, such as formal derivative pricing theory, stochastic calculus, Monte Carlo simulation, and numerical methods, can be used in courses at the graduate level. Researchers and practitioners in quantitative finance will also benefit from the combination of analytical and numerical methods for solving various derivative pricing problems.
With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. The book provides complete coverage of both discrete- and continuous-time financial models that form the cornerstones of financial derivative pricing theory. It also presents a self-contained introduction to stochastic calculus and martingale theory, which are key fundamental elements in quantitative finance.
Introduction to Pricing and Management of Financial Securities. Discrete-Time Modeling. Continuous-Time Modeling. Computational Techniques. Appendix. Glossary of Symbols and Abbreviations. References. Index.
Date de parution : 04-2014
17.8x25.4 cm
Disponible chez l'éditeur (délai d'approvisionnement : 15 jours).
Prix indicatif 123,78 €
Ajouter au panierThèmes de Financial Mathematics :
Mots-clés :
Early Exercise Boundary; CEV Process; Minimum Variance Portfolio; portfolio management; Black Scholes PDE; derivatives; Vg Process; Admissible Portfolios; Transition PDF; pricing and management of financial securities; Early Exercise Premium; stochastic processes; Smooth Pasting Condition; acturial sciences; Local Volatility Model; finance; Standard European Option; Giuseppe Campolieti; Optimal Exercise Boundary; Roman N; Makarov; Compound Poisson Process; CEV Model; Optimal Exercise Time; American Option; GBM Model; Standard Black Scholes Model; Underlying Asset Price Process; Heston Model; Risk Free Asset; Bermudan Option; Local Volatility; Early Exercise Options; Poisson Process