Buch, Englisch, 441 Seiten, Format (B × H): 159 mm x 244 mm, Gewicht: 732 g
An Introduction with Market Examples
Buch, Englisch, 441 Seiten, Format (B × H): 159 mm x 244 mm, Gewicht: 732 g
Reihe: Chapman and Hall/CRC Financial Mathematics Series
ISBN: 978-1-4665-9402-9
Verlag: Taylor & Francis Inc
The book discusses a wide range of classical topics including Black–Scholes pricing, exotic and American options, term structure modeling and change of numéraire, as well as models with jumps. The author takes the approach adopted by mainstream mathematical finance in which the computation of fair prices is based on the absence of arbitrage hypothesis, therefore excluding riskless profit based on arbitrage opportunities and basic (buying low/selling high) trading.
With 104 figures and simulations, along with about 20 examples based on actual market data, the book is targeted at the advanced undergraduate and graduate level, either as a course text or for self-study, in applied mathematics, financial engineering, and economics.
Zielgruppe
Senior undergraduate and graduate students in mathematics, statistics, financial engineering, and economics.
Autoren/Hrsg.
Fachgebiete
Weitere Infos & Material
Assets, Portfolios, and Arbitrage, Discrete-Time Model. Pricing and Hedging in Discrete Time. Brownian Motion and Stochastic Calculus. The Black-Scholes PDE. Martingale Approach to Pricing and Hedging. Estimation of Volatility. Exotic Options. American Options. Change of Numéraire and Forward Measures. Forward Rate Modeling. Pricing of Interest Rate Derivatives. Credit Default. Stochastic Calculus for Jump Processes. Pricing and Hedging in Jump Models. Basic Numerical Methods. Appendix. Exercise Solutions. References. Index.