Probability and Finance Theory - Couverture rigide

Lim, Kian Guan

Couverture rigide

ISBN 10 : 9814307939 ISBN 13 : 9789814307932

Editeur : World Scientific Publishing Co Pte Ltd, 2011

A propos du livre

Présentation de l'éditeur :

This book provides a basic grounding in the use of probability to model random financial phenomena of uncertainty, and is targeted at an advanced undergraduate and graduate level. It should appeal to finance students looking for a firm theoretical guide to the deep end of derivatives and investments. Bankers and finance professionals in the fields of investments, derivatives, and risk management should also find the book useful in bringing probability and finance together. The book contains applications of both discrete time theory and continuous time mathematics, and is extensive in scope. Distribution theory, conditional probability, and conditional expectation are covered comprehensively, and applications to modeling state space securities under market equilibrium are made. Martingale is studied, leading to consideration of equivalent martingale measures, fundamental theorems of asset pricing, change of numeraire and discounting, risk-adjusted and forward-neutral measures, minimal and maximal prices of contingent claims, Markovian models, and the existence of martingale measures preserving the Markov property. Discrete stochastic calculus and multiperiod models leading to no-arbitrage pricing of contingent claims are also to be found in this book, as well as the theory of Markov Chains and appropriate applications in credit modeling. Measure-theoretic probability, moments, characteristic functions, inequalities, and central limit theorems are examined. The theory of risk aversion and utility, and ideas of risk premia are considered. Other application topics include optimal consumption and investment problems and interest rate theory.

Revue de presse :

This book goes beyond many others on similar topics, presenting the connection between probability and topics in the foundations of modern finance, including derivatives, asset pricing, welfare economics and microeconomic marginal analyses. The exercises scattered throughout the book guide the student along the way on the key ideas and methods discussed. This will also be an important companion to any practitioner working in the area of quantitative finance. --Chong Chi Tat, University Professor, Department of Mathematics, National University of Singapore

Based on a lucid introduction to probability theory, the book presents many interesting and important financial problems and results in the language of probability. The book is worth recommending to students in quantitative finance for it will help them develop a probabilistic mindset as one of the key qualities of a quant. --Dr Liu Xiaoqing, Senior Vice President, Treasury and Market, DBS Bank

The best book I have read that provides a solid understanding of asset pricing. Lays the foundation for would-be rocket scientists. --Dr Tee Lim, Director, Barr Rosenberg Research Center, US

À propos de cette édition

• Éditeur: World Scientific Publishing Co Pte Ltd
• Date d'édition: 2011
• ISBN 10: 9814307939
• ISBN 13: 9789814307932
• Reliure: Relié
• Nombre de pages: 404