Option Pricing And Portfolio Optimization. Modern Methods Of Financial Mathematics
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- Nombre de pages260
- PrésentationRelié
- Poids0.7 kg
- Dimensions18,5 cm × 26,5 cm × 1,8 cm
- ISBN0-8218-2123-7
- EAN9780821821237
- Date de parution29/03/2001
- CollectionGraduate Studies in Mathemati
- ÉditeurAmerican Mathematical Society
Résumé
This text covers the typical problems of continuous-time financial mathematics such as option pricing (in particular the Black-Scholes formula and corresponding variants) and portfolio optimization (determination of optimal investment strategies). Further, a separate chapter deals with exotic options and numerical methods. The required mathematical tools which include Brownian motion, Itô calculus, and stochastic control theory will be presented in self-contained excursions. The book is suitable as the basis of a course on financial mathematics building up on a basic course in probability.
This text covers the typical problems of continuous-time financial mathematics such as option pricing (in particular the Black-Scholes formula and corresponding variants) and portfolio optimization (determination of optimal investment strategies). Further, a separate chapter deals with exotic options and numerical methods. The required mathematical tools which include Brownian motion, Itô calculus, and stochastic control theory will be presented in self-contained excursions. The book is suitable as the basis of a course on financial mathematics building up on a basic course in probability.