Quantitative Methods for Finance with Simulations I

An Introduction to Stochastic Analysis and Option Pricing
Erscheinungsjahr 2026
ISBN: 978-3-032-12326-8
Verlag: Springer Nature Switzerland AG

Buch, Englisch, 626 Seiten, Format (B × H): 155 mm x 235 mm

Reihe: Springer Texts in Business and Economics

This self-contained book is the first of a two-volume set providing a thorough introduction to quantitative finance, covering both theoretical and computational methods.
 
This volume covers stochastic analysis, option pricing theory, optimal portfolio investment, and bond pricing. Computer simulations in Matlab and Python are provided to illustrate theoretical ideas. Background in mathematics is included in the appendices and the level of familiarity with computer programming is kept to a minimum.

Zielgruppe

Graduate

Autoren/Hrsg.

Choe, Geon Ho

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle
• Mathematik | Informatik Mathematik Mathematik Interdisziplinär Finanz- und Versicherungsmathematik
• Mathematik | Informatik Mathematik Stochastik

Inhaltsverzeichnis

Fundamental Concepts.- Financial Derivatives.- The Lebesgue Integral.- Basic Probability Theory.- Conditional Expectation.- Stochastic Processes.- Brownian Motion.- The Reflection Principle of Brownian Motion.- The Itô Integral.- The Itô Formula.- Girsanov’s Theorem.- Stochastic Differential Equations.- The Feynman Kac Theorem.- The Binomial Tree Method for Option Pricing.- The Black Scholes Merton Differential Equation.- The Martingale Method.- Pricing of Vanilla Options.- Pricing of Exotic Options.- American Options.- The Capital Asset Pricing Model.- Dynamic Programming.- Bond Pricing.- Short Rate Models.- Numeraires.

Über Autor(innen)

Geon Ho Choe is Emeritus Professor at the Korea Advanced Institute of Science and Technology (KAIST). He obtained his PhD in Mathematics at the University of California, Berkeley, in 1987. In a career spanning several decades, he supervised 21 PhD students. He is the author of the books  (Springer, 2005) and (Springer, 2016). He received the 2022 Korean Mathematical Society Education Award.