Emanuela Rosazza Gianin & Carlo Sgarra 
Mathematical Finance: Theory Review and Exercises [PDF ebook] 
From Binomial Model to Risk Measures

Soporte

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.

€41.64
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Tabla de materias

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 Itô’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.

Sobre el autor

Carlo SGARRA: Associate Professor of Mathematical Finance, Politecnico di Milano, Italia Emanuela ROSAZZA GIANIN: Associate Professor of Statistics and Quantitative Methods, University of Milano-Bicocca, Italia

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Idioma Inglés ● Formato PDF ● Páginas 285 ● ISBN 9783319013572 ● Editorial Springer International Publishing ● Ciudad Cham ● País CH ● Publicado 2014 ● Descargable 24 meses ● Divisa EUR ● ID 3162084 ● Protección de copia DRM social

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