Financial mathematics : a comprehensive treatment
Giuseppe Campolieti; Roman N. Makarov
| Year of publication: |
2014
|
|---|---|
| Authors: | Campolieti, Giuseppe ; Makarov, Roman |
| Publisher: |
Boca Raton, Fla. [u.a.] : CRC, Taylor & Francis |
| Subject: | Finanzmathematik | Mathematical finance | Theorie | Theory |
| Description of contents: | Table of Contents [gbv.de] ; Description [zbmath.org] |
| Extent: | XXVI, 805 S. graph. Darst. |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Literaturverz. S. 795 - 798. - Literaturangaben I. Introduction to pricing and management of financial securites: Mathematics of CompoundingPrimer on Pricing Risky Securities -- Portfolio Management -- Primer on Derivative Securities -- II. Discrete-time modeling: Single-Period Arrow-Debreu Models -- Introduction to Discrete-Time Stochastic Calculus -- Replication and Pricing in the Binomial Tree Model -- General Multi-Asset Multi-Period Model -- III. Continuous-time modeling: Essentials of General Probability Theory -- One-Dimensional Brownian Motion and Related Processes -- Introduction to Continuous-Time Stochastic Calculus -- Risk-Neutral Pricing in the (B, S) Economy: One Underlying Stock -- Risk-Neutral Pricing in a Multi-Asset Economy -- American Options -- Interest-Rate Modelling and Derivative Pricing -- Alternative Models of Asset Price Dynamics -- IV. Computational Techniques -- Introduction to Monte Carlo and Simulation Methods -- Numerical Applications to Derivative Pricing. |
| ISBN: | 978-1-4398-9242-8 |
| Classification: | Methoden und Techniken der Betriebswirtschaft ; Investition, Finanzierung ; Wahrscheinlichkeitsrechnung ; Numerische Mathematik |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010348011