Financial mathematics : Volume II: A comprehensive treatment in continuous time / Giuseppe Campolieti, Roman Makarov

Von:

Campolieti, Giuseppe [VerfasserIn]

Mitwirkende(r):

Makarov, Roman N [VerfasserIn]

Resource type: Ressourcentyp: Buch (Online)Buch (Online)Sprache: Englisch Reihen: Textbooks in mathematicsVerlag: Boca Raton : Chapman & Hall/CRC, 2022Beschreibung: 1 Online-Ressource (1 volume) : illustrations (black and white)ISBN:

9780429468889
0429468881
9780429889080
0429889089
9780429889103
0429889100
0429889097
9780429889097

Weitere Titel:

Comprehensive treatment in continuous time

Schlagwörter:

Andere physische Formen: 9781138603639 | 1138603635 | 9781138603639 | Erscheint auch als: Financial mathematics. Volume II, A comprehensive treatment in continuous time. Druck-Ausgabe Boca Raton : Chapman & Hall/CRC, 2022LOC-Klassifikation:

HG106

Online-Ressourcen:

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Zusammenfassung: Part I: Stochastic Calculus with Brownian Motion 1. One-Dimensional Brownian Motion and Related Processes 2. Introduction to Continuous-Time Stochastic Calculus Part II Continuous-Time Modelling 3. Risk-Neutral Pricing in the (B; S) Economy: One Underlying Stock 4. Risk-Neutral Pricing in a Multi-Asset Economy 5. American Options 6. Interest-Rate Modelling and Derivative Pricing 7. Alternative Models of Asset Price Dynamics A. Essentials of General Probability Theory B. Some Useful Integral (Expectation) Identities and Symmetry Propertiesof Normal Random Variables C. Answers and Hints to Exercises D. Glossary of Symbols and AbbreviationsGreek Alphabet References IndexZusammenfassung: The book has been tested and refined through years of classroom teaching experience. 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. This textbook provides complete coverage of discrete-time financial models that form the cornerstones of financial derivative pricing theory. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. Key features: In-depth coverage of discrete-time theory and methodology Numerous, fully worked out examples and exercises in every chapter Mathematically rigorous and consistent yet bridging various basic and more advanced concepts Judicious balance of financial theory, mathematical, and computational methods Guide to Material This revision contains: Almost 200 pages worth of new material in all chapters A new chapter on elementary probability theory An expanded the set of solved problems and additional exercises Answers to all exercises This book is a comprehensive, self-contained, and unified treatment of the main theory and application of mathematical methods behind modern-day financial mathematics. The text complements Financial Mathematics: A Comprehensive Treatment in Continuous Time, by the same authors, also published by CRC PressPPN: PPN: 1882643925Package identifier: Produktsigel: ZDB-4-NLEBK | BSZ-4-NLEBK-KAUB

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