Buch, Englisch, 254 Seiten, Format (B × H): 158 mm x 241 mm, Gewicht: 481 g
Buch, Englisch, 254 Seiten, Format (B × H): 158 mm x 241 mm, Gewicht: 481 g
Reihe: Chapman and Hall/CRC Financial Mathematics Series
ISBN: 978-1-58488-626-6
Verlag: Taylor & Francis Inc
New to the Second Edition
- Complements on discrete models, including Rogers' approach to the fundamental theorem of asset pricing and super-replication in incomplete markets
- Discussions on local volatility, Dupire's formula, the change of numéraire techniques, forward measures, and the forward Libor model
- A new chapter on credit risk modeling
- An extension of the chapter on simulation with numerical experiments that illustrate variance reduction techniques and hedging strategies
- Additional exercises and problems
Providing all of the necessary stochastic calculus theory, the authors cover many key finance topics, including martingales, arbitrage, option pricing, American and European options, the Black-Scholes model, optimal hedging, and the computer simulation of financial models. They succeed in producing a solid introduction to stochastic approaches used in the financial world.
Zielgruppe
Undergraduate
Autoren/Hrsg.
Fachgebiete
- Mathematik | Informatik Mathematik Mathematische Analysis Elementare Analysis und Allgemeine Begriffe
- Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
- Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
- Mathematik | Informatik Mathematik Stochastik Elementare Stochastik
Weitere Infos & Material
Discrete-Time Models. Optimal Stopping Problem and American Options. Brownian Motion and Stochastic Differential Equations. The Black-Scholes Model. Option Pricing and Partial Differential Equations. Interest Rate Models. Asset Models with Jumps. Credit Risk Models. Simulation and Algorithms for Financial Models. Appendix. Bibliography. Index.