Mathematical finance : theory review and exercises : from binomial model to risk measures
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 resu...
Đã lưu trong:
| Những tác giả chính: | , |
|---|---|
| Định dạng: | Livre numérique |
| Ngôn ngữ: | Anglais |
| Được phát hành: |
Cham :
Springer International Publishing : Imprint: Springer
[20..].
Cham : Springer Nature |
| Loạt: | UNITEXT
70 La Matematica per il 3+2 70 |
| Truy cập trực tuyến: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Chú thích: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Mathematical Finance: Theory Review and Exercises, From Binomial Model to Risk Measures, Emanuela Rosazza Gianin, Carlo Sgarra., Cham, Springer, 2013, 1 vol. (x, 277 p.), UNITEXT, 978-3-31-901356-5 |
Mục lục:
- 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