Mathematical techniques in finance : tools for incomplete markets / Ales Cerny.

Format:

Book

Author/Creator:

Černý, Aleš, 1971-

Language:

English

Subjects (All):

Finance--Mathematical models.

Finance.

Risk management--Mathematical models.

Risk management.

Derivative securities--Mathematics.

Derivative securities.

Pricing--Mathematical models.

Pricing.

Physical Description:

1 online resource (412 p.)

Edition:

2nd ed.

Place of Publication:

Princeton [N.J.] : Princeton University Press, 2009.

Language Note:

English

Summary:

Originally published in 2003, Mathematical Techniques in Finance has become a standard textbook for master's-level finance courses containing a significant quantitative element while also being suitable for finance PhD students. This fully revised second edition continues to offer a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and mathematics, and provides plenty of opportunities for students to practice applied mathematics and cutting-edge finance. Ales Cerný mixes tools from calculus, linear algebra, probability theory, numerical mathematics, and programming to analyze in an accessible way some of the most intriguing problems in financial economics. The textbook is the perfect hands-on introduction to asset pricing, optimal portfolio selection, risk measurement, and investment evaluation. The new edition includes the most recent research in the area of incomplete markets and unhedgeable risks, adds a chapter on finite difference methods, and thoroughly updates all bibliographic references. Eighty figures, over seventy examples, twenty-five simple ready-to-run computer programs, and several spreadsheets enhance the learning experience. All computer codes have been rewritten using MATLAB and online supplementary materials have been completely updated. A standard textbook for graduate finance courses Introduction to asset pricing, portfolio selection, risk measurement, and investment evaluation Detailed examples and MATLAB codes integrated throughout the text Exercises and summaries of main points conclude each chapter

Contents:

pt. 1. The simplest model of financial markets

pt. 2. Arbitrage and pricing in the one-period model

pt. 3. Risk and return in the one-period model

pt. 4. Numerical techniques for optimal portfolio selection in incomplete markets

pt. 5. Pricing in dynamically complete markets

pt. 6. Towards a continuous time

pt. 7. Fast fourier transform.

Notes:

Bibliographic Level Mode of Issuance: Monograph

Includes bibliographical references and index.

ISBN:

9786612608148

9781282608146

1282608142

9781400831487

1400831482

9780691141213

0691141215

OCLC:

642475689