Please use this identifier to cite or link to this item: http://dl.pgu.ac.ir/handle/Hannan/9947
Title: Mathematical Finance: Theory Review and Exercises;From Binomial Model to Risk Measures /
Authors: Gi Anin, Em Anuel A Ros Azz A
Sgarra, Carlo
Keywords: Mathematics;Distribution (Probability theory);Economics;Statistics;Mathematics;Probability Theory and Stochastic Processes;Finance/Investment/Banking;Statistics for Business/Economics/Mathematical Finance/Insurance;519.2 23;QA274-274.9
Issue Date: 2014
Publisher: Springer International Publishing;Imprint Springer,
place: Cham
Series/Report no.: UNITEXT,;2038-5714 ;;70.;UNITEXT,;2038-5714 ;;70.
Abstract: 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.
Description: Printed edition:;9783319013565.
Table Of Contents: 1 Short review of Probability and of Stochastic Processes -- 2 Portfolio Optimization in Discrete time Models -- 3 Binomial Model for Option Pricing -- 4 Absence of arbitrage and Completeness of market models -- 5 It??'s Formula and Stochastic Differential Equations -- 6 Partial Differential Equations in Finance -- 7 Black-Scholes model for Option Pricing and Hedging Strategies -- 8 American Options -- 9 Exotic Options -- 10 Interest Rate Models -- 11 Pricing Models beyond Black-Scholes -- 12 Risk Measures: Value at Risk and beyond.
URI: http://dl.pgu.ac.ir/handle/Hannan/9947
ISBN: 9783319013572
9783319013565 (print)
Format: [electronic resource] :
Type Of Material: Book
Appears in Collections:Mathematics

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