Financial Mathematics - Couverture rigide

Hastings, Kevin J.

Couverture rigide

ISBN 10 : 1498780407 ISBN 13 : 9781498780407

Editeur : Chapman and Hall/CRC, 2022

Synopsis

Financial Mathematics: From Discrete to Continuous Time is a study of the mathematical ideas and techniques that are important to the two main arms of the area of financial mathematics: portfolio optimization and derivative valuation. The text is authored for courses taken by advanced undergraduates, MBA, or other students in quantitative finance programs.

The approach will be mathematically correct but informal, sometimes omitting proofs of the more difficult results and stressing practical results and interpretation. The text will not be dependent on any particular technology, but it will be laced with examples requiring the numerical and graphical power of the machine.

The text illustrates simulation techniques to stand in for analytical techniques when the latter are impractical. There will be an electronic version of the text that integrates Mathematica functionality into the development, making full use of the computational and simulation tools that this program provides. Prerequisites are good courses in mathematical probability, acquaintance with statistical estimation, and a grounding in matrix algebra.

The highlights of the text are:

• A thorough presentation of the problem of portfolio optimization, leading in a natural way to the Capital Market Theory
• Dynamic programming and the optimal portfolio selection-consumption problem through time
• An intuitive approach to Brownian motion and stochastic integral models for continuous time problems
• The Black-Scholes equation for simple European option values, derived in several different ways
• A chapter on several types of exotic options
• Material on the management of risk in several contexts

A propos du livre

À propos de l?auteur

Kevin J. Hastings is Professor of Mathematics; Rothwell C. Stephens Distinguished Service Chair at Knox College. He holds a Ph.D. from Northwestern University. His interests include applications to real-world problems affected by random inputs or disturbances. He is the author or three other books for CRC Press:

Introduction to Financial Mathematics, CRC Press, 2016. CHOICE Highly Recommended selection and 2017 Top Books for Colleges.

Introduction to Probability with Mathematica, 2nd ed., Chapman & Hall/CRC Press, 2009.

Introduction to the Mathematics of Operations Research with Mathematica, 2nd edition, Taylor & Francis/Marcel Dekker, 2006.

Introduction to Probability with Mathematica. CRC Press/Chapman & Hall, 2000. Also available as an e-book.

Détails de l'édition

• Éditeur: Chapman and Hall/CRC
• Date d'édition: 2022
• Langue: anglais
• ISBN 10: 1498780407
• ISBN 13: 9781498780407
• Reliure: Relié
• Nombre de pages: 430
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible