Mathematical finance theory review and exercises : from binomial model to risk measures by Emanuela Rosazza Gianin, Carlo Sgarra

Format:

Book

Author/Creator:

Rosazza Gianin, Emanuela, author.

Sgarra, Carlo, author.

Series:

Unitext v. 70

UNITEXT v. 70

Language:

English

Subjects (All):

Finance--Mathematical models.

Distribution (Probability theory).

Finance.

distribution (statistics-related concept).

finance.

statistics.

Physical Description:

1 online resource

Place of Publication:

Cham Springer 2013

Language Note:

English

System Details:

text file

PDF

Summary:

The book collects over 120 exercises on different subjects of Mathematical Finance, including Option Pricing, Risk Theory, and Interest Rate Models. Many of the exercises are solved, while others are only proposed. Every chapter contains an introductory section illustrating the main theoretical results necessary to solve the exercises. The book is intended as an exercise textbook to accompany graduate courses in mathematical finance offered at many universities as part of degree programs in Applied and Industrial Mathematics, Mathematical Engineering, and Quantitative Finance

Contents:

Short review of Probability and of Stochastic Processes Portfolio Optimization in Discrete-Time Models Binomial Model for Option Pricing Absence of Arbitrage and Completeness of Market Models Itô's Formula and Stochastic Differential Equations Partial Differential Equations in Finance Black-Scholes Model for Option Pricing and Hedging Strategies American Options Exotic Options Interest Rate Models Pricing Models beyond Black-Scholes Risk Measures: Value at Risk and beyond

Notes:

Print version record

Other Format:

Print version Rosazza Gianin, Emanuela. Mathematical finance

ISBN:

9783319013572

3319013572

3319013564

9783319013565

OCLC:

870898992

Access Restriction:

Restricted for use by site license