Financial Mathematics A Comprehensive Treatment
Versatile for Several Interrelated Courses at the Undergraduate and Graduate Levels. Financial Mathematics: A Comprehensive Treatment provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of...
| Otros Autores: | , |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Boca Raton, FL :
Taylor and Francis, an imprint of Chapman and Hall/CRC
[2018].
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| Edición: | 1st edition |
| Colección: | Chapman & Hall/CRC financial mathematics series.
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009629045606719 |
Tabla de Contenidos:
- Front Cover; Dedication; Contents; List of Figures and Tables; List of Algorithms; Preface; Part I: Introduction to Pricing and Management of Financial Securities; Chapter 1: Mathematics of Compounding; Chapter 2: Primer on Pricing Risky Securities; Chapter 3: Portfolio Management; Chapter 4: Primer on Derivative Securities; Part II: Discrete-Time Modelling; Chapter 5: Single-Period Arrow-Debreu Models; Chapter 6: Introduction to Discrete-Time Stochastic Calculus; Chapter 7: Replication and Pricing in the Binomial Tree Model; Chapter 8: General Multi-Asset Multi-Period Model
- Part III: Continuous-Time ModellingChapter 9: Essentials of General Probability Theory; Chapter 10: One-Dimensional Brownian Motion and Related Processes; Chapter 11: Introduction to Continuous-Time Stochastic Calculus; Chapter 12: Risk-Neutral Pricing in the (B, S) Economy: One Underlying Stock; Chapter 13: Risk-Neutral Pricing in a Multi-Asset Economy; Chapter 14: American Options; Chapter 15: Interest-Rate Modelling and Derivative Pricing; Chapter 16: Alternative Models of Asset Price Dynamics; Part IV: Computational Techniques
- Chapter 17: Introduction to Monte Carlo and Simulation MethodsChapter 18: Numerical Applications to Derivative Pricing; Appendix: Some Useful Integral Identities and Symmetry Properties of Normal Random Variables; Glossary of Symbols and Abbreviations; References
