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Author:
Publisher:
ISBN: 9780000991010
Category :
Languages : en
Pages : 0
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Book Description
Author:
Publisher:
ISBN: 9780000991010
Category :
Languages : en
Pages : 0
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Book Description
Author: Albert N Shiryaev
Publisher: World Scientific
ISBN: 9814495662
Category : Mathematics
Languages : en
Pages : 852
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Book Description
This important book provides information necessary for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty; introduces the reader to the main concepts, notions and results of stochastic financial mathematics; and develops applications of these results to various kinds of calculations required in financial engineering. It also answers the requests of teachers of financial mathematics and engineering by making a bias towards probabilistic and statistical ideas and the methods of stochastic calculus in the analysis of market risks.
Author: Alʹbert Nikolaevich Shiri͡aev
Publisher:
ISBN:
Category : Financial engineering
Languages : en
Pages : 834
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Book Description
Author: Richard Durrett
Publisher: Springer
ISBN: 3319456148
Category : Mathematics
Languages : en
Pages : 282
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Book Description
Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding. Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatment of other topics useful for applications has been expanded. In addition, the ordering of topics has been improved; for example, the difficult subject of martingales is delayed until its usefulness can be applied in the treatment of mathematical finance.
Author: Rüdiger U. Seydel
Publisher: Springer Science & Business Media
ISBN: 1447129938
Category : Mathematics
Languages : en
Pages : 440
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Book Description
The disciplines of financial engineering and numerical computation differ greatly, however computational methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering; specifically the use of numerical methods as tools for computational finance. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to the entire field of computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the remainder of the book goes on to detail computational methods using both stochastic and deterministic approaches. Now in its fifth edition, Tools for Computational Finance has been significantly revised and contains: A new chapter on incomplete markets which links to new appendices on Viscosity solutions and the Dupire equation; Several new parts throughout the book such as that on the calculation of sensitivities (Sect. 3.7) and the introduction of penalty methods and their application to a two-factor model (Sect. 6.7) Additional material in the field of analytical methods including Kim’s integral representation and its computation Guidelines for comparing algorithms and judging their efficiency An extended chapter on finite elements that now includes a discussion of two-asset options Additional exercises, figures and references Written from the perspective of an applied mathematician, methods are introduced as tools within the book for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book enabling readers to explore several areas of the financial world. Interdisciplinary in nature, this book will appeal to advanced undergraduate students in mathematics, engineering and other scientific disciplines as well as professionals in financial engineering.
Author: Wolfgang Paul
Publisher: Springer Science & Business Media
ISBN: 3319003275
Category : Science
Languages : en
Pages : 288
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Book Description
This book introduces the theory of stochastic processes with applications taken from physics and finance. Fundamental concepts like the random walk or Brownian motion but also Levy-stable distributions are discussed. Applications are selected to show the interdisciplinary character of the concepts and methods. In the second edition of the book a discussion of extreme events ranging from their mathematical definition to their importance for financial crashes was included. The exposition of basic notions of probability theory and the Brownian motion problem as well as the relation between conservative diffusion processes and quantum mechanics is expanded. The second edition also enlarges the treatment of financial markets. Beyond a presentation of geometric Brownian motion and the Black-Scholes approach to option pricing as well as the econophysics analysis of the stylized facts of financial markets, an introduction to agent based modeling approaches is given.
Author: Leonard C. MacLean
Publisher: World Scientific
ISBN: 9814417351
Category : Business & Economics
Languages : en
Pages : 941
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Book Description
This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2 nd edition published in 2006).
Author: Leonard C Maclean
Publisher: World Scientific Publishing Company
ISBN: 9814759368
Category : Business & Economics
Languages : en
Pages : 212
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Book Description
This book consists of invaluable introductions, tutorials and problems which are helpful for teaching purposes and have a very broad appeal and usage. The problems cover many aspects of static and dynamic portfolio theory as well as other important subjects such as arbitrage and asset pricing, utility theory, stochastic dominance, risk aversion and static portfolio theory, risk measures, dynamic portfolio theory and asset allocation. This material could be used with important books that cover these topics including MacLean-Ziemba's The Handbook of the Fundamentals of Financial Decision Making, and Ziemba-Vickson's Stochastic Optimization Models in Finance.
Author: A.G. Malliaris
Publisher: North Holland
ISBN:
Category : Business & Economics
Languages : en
Pages : 332
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Book Description
Theory and application of a variety of mathematical techniques in economics are presented in this volume. Topics discussed include: martingale methods, stochastic processes, optimal stopping, the modeling of uncertainty using a Wiener process, Itô's Lemma as a tool of stochastic calculus, and basic facts about stochastic differential equations. The notion of stochastic ability and the methods of stochastic control are discussed, and their use in economic theory and finance is illustrated with numerous applications. The applications covered include: futures, pricing, job search, stochastic capital theory, stochastic economic growth, the rational expectations hypothesis, a stochastic macroeconomic model, competitive firm under price uncertainty, the Black-Scholes option pricing theory, optimum consumption and portfolio rules, demand for index bonds, term structure of interest rates, the market risk adjustment in project valuation, demand for cash balances and an asset pricing model.
Author: Nicolas Privault
Publisher: Chapman & Hall CRC Press
ISBN: 9781032288277
Category : Finance
Languages : en
Pages : 0
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Book Description
"Introduction to Stochastic Finance with Market Examples, Second Edition presents an introduction to pricing and hedging in discrete and continuous time financial models, emphasizing both analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of stochastic calculus for finance, and details the techniques required to model the time evolution of risky assets. The book discusses a wide range of classical topics including Black-Scholes pricing, American options, derivatives, term structure modelling, and change of numéraire. It also builds up to special topics, such as exotic options, stochastic volatility and jump processes. New to this Edition: New chapters on Barrier Options, Lookback Options, Asian Options, Optimal Stopping Theorem, and Stochastic Volatility. Contains over 235 exercises, and 16 problems with complete solutions. Added over 150 graphs and figures, for more than 250 in total, to optimize presentation. 57 R coding examples now integrated into the book for implementation of the methods. Substantially class-tested, so ideal for course use or self-study. With abundant exercises, problems with complete solutions, graphs and figures, and R coding examples, the book is primarily aimed at advanced undergraduate and graduate students in applied mathematics, financial engineering, and economics. It could be used as a course text or for self-study and would also be a comprehensive and accessible reference for researchers and practitioners in the field"--
