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Mathematical Finance

Theory Review and Exercises

Paperback Engels 2023 2e druk 9783031283772
Verwachte levertijd ongeveer 9 werkdagen

Samenvatting

The book is conceived as a guide to solve exercises in Mathematical Finance and a complement to theoretical lectures. The potential audience consists of students in Applied Mathematics, Engineering and Economics, attending courses in Mathematical Finance. The most important subjects covered by this textbook are Pricing and Hedging of different classes of financial derivatives (European, American Exotic options, Fixed Income derivatives) in the most popular modeling frameworks, both in discrete and continuous time setting, like the Binomial and the Black-Scholes models. A Chapter on static portfolio optimization, one on pricing for more advanced models and one on Risk Measures complete the overview on the main issues presented in classical courses on Mathematical Finance. About one hundred exercises are proposed, and a large amount of them provides a detailed solution, while a few are left as an exercise to the reader. Every chapter includes a brief resume of the main theoretical results to apply. This textbook is the result of several years of teaching experience of both the authors.

Specificaties

ISBN13:9783031283772
Taal:Engels
Bindwijze:paperback
Uitgever:Springer Nature Switzerland
Druk:2
Serie:UNITEXT

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Inhoudsopgave

<p>- 1. Short Review of Probability and of Stochastic Processes. - 2.&nbsp;Portfolio Optimization in Discrete-Time Models. - 3.&nbsp;Binomial Model for Option Pricing. - 4.&nbsp;Absence of Arbitrage and Completeness of Market Models. - 5.&nbsp;Itô’s Formula and Stochastic Differential Equations. - 6.&nbsp;Partial Differential Equations in Finance. - 7.&nbsp;Black-Scholes Model for Option Pricing and Hedging Strategies. - 8.&nbsp;American Options. - 9.&nbsp;Exotic Options. - 10.&nbsp;Interest Rate Models. - 11.&nbsp;Pricing Models Beyond Black-Scholes. - 12.&nbsp;Risk Measures: Value at Risk and Beyond.<br></p>

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        Mathematical Finance