Index to Theses with Abstracts Accepted for Higher Degrees by the Universities of Great Britain and Ireland and the Council for National Academic Awards PDF Download
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Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 648
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Book Description
Author:
Publisher:
ISBN:
Category : Dissertations, Academic
Languages : en
Pages : 648
Get Book Here
Book Description
Author:
Publisher:
ISBN:
Category : Mathematics
Languages : en
Pages : 958
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Book Description
Author: Tomas Björk
Publisher: OUP Oxford
ISBN: 0191610291
Category : Business & Economics
Languages : en
Pages : 600
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Book Description
The third edition of this popular introduction to the classical underpinnings of the mathematics behind finance continues to combine sound mathematical principles with economic applications. Concentrating on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory and Merton's fund separation theory, the book is designed for graduate students and combines necessary mathematical background with a solid economic focus. It includes a solved example for every new technique presented, contains numerous exercises, and suggests further reading in each chapter. In this substantially extended new edition Bjork has added separate and complete chapters on the martingale approach to optimal investment problems, optimal stopping theory with applications to American options, and positive interest models and their connection to potential theory and stochastic discount factors. More advanced areas of study are clearly marked to help students and teachers use the book as it suits their needs.
Author: Jürgen Franke
Publisher: Springer Science & Business Media
ISBN: 9783540216759
Category : Business & Economics
Languages : en
Pages : 454
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Book Description
Extreme Value Theory (EVT), GARCH MODELS, Hypothesis Testing, Fitting Probability Distributions to Risk Factors and Portfolios.
Author: Jean-Philippe Bouchaud
Publisher: Cambridge University Press
ISBN: 1139440276
Category : Business & Economics
Languages : en
Pages : 410
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Book Description
Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.
Author:
Publisher:
ISBN:
Category : Statistics
Languages : en
Pages : 1800
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Book Description
Author: Lishang Jiang
Publisher: World Scientific
ISBN: 9812563695
Category : Science
Languages : en
Pages : 344
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Book Description
From the perspective of partial differential equations (PDE), this book introduces the Black-Scholes-Merton's option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs.
Author: ACM Special Interest Group for Algorithms and Computation Theory
Publisher:
ISBN:
Category : Computational complexity
Languages : en
Pages : 790
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Book Description
Author: Stefano M. Iacus
Publisher: John Wiley & Sons
ISBN: 1119990203
Category : Business & Economics
Languages : en
Pages : 402
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Book Description
Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and covariation estimation, change point analysis, asymptotic expansion and classification of financial time series from a statistical viewpoint. The book features problems with solutions and examples. All the examples and R code are available as an additional R package, therefore all the examples can be reproduced.
Author: Uwe Wystup
Publisher: John Wiley & Sons
ISBN: 111847113X
Category : Business & Economics
Languages : en
Pages : 649
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Book Description
Advanced Guidance to Excelling in the FX Market Once you have a textbook understanding of money market and foreign exchange products, turn to FX Options and Structured Products, Second Edition, for the beyond-vanilla options strategies and traded deals proven superior in today’s post-credit crisis trading environment. With the thoroughness and balance of theory and practice only Uwe Wystup can deliver, this fully revised edition offers authoritative solutions for the real world in an easy-to-access format. See how specific products actually work through detailed case studies featuring clear examples of FX options, common structures and custom solutions. This complete resource is both a wellspring of ideas and a hands-on guide to structuring and executing your own strategies. Distinguish yourself with a valued skillset by: Working through practical and thought-provoking challenges in more than six dozen exercises, all with complete solutions in a companion volume Gaining a working knowledge of the latest, most popular products, including accumulators, kikos, target forwards and more Getting close to the everyday realities of the FX derivatives market through new, illuminating case studies for corporates, municipalities and private banking FX Options and Structured Products, Second Edition is your go-to road map to the exotic options in FX derivatives.
