Advances In Mathematical Finance

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Advances in Mathematical Finance

Michael C. Fu,Robert A. Jarrow,Ju-Yi Yen,Robert J Elliott
Advances in Mathematical Finance Book PDF

Author : Michael C. Fu,Robert A. Jarrow,Ju-Yi Yen,Robert J Elliott
Publisher : Springer Science & Business Media
Page : 336 pages
File Size : 52,7 Mb
Release : 2007-06-22
Category : Business & Economics
ISBN : 9780817645458

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Advances in Mathematical Finance by Michael C. Fu,Robert A. Jarrow,Ju-Yi Yen,Robert J Elliott Pdf

This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.

Peter Carr Gedenkschrift: Research Advances In Mathematical Finance

Robert A Jarrow,Dilip B Madan
Peter Carr Gedenkschrift Research Advances In Mathematical Finance Book PDF

Author : Robert A Jarrow,Dilip B Madan
Publisher : World Scientific
Page : 866 pages
File Size : 48,9 Mb
Release : 2023-11-10
Category : Business & Economics
ISBN : 9789811280313

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Peter Carr Gedenkschrift: Research Advances In Mathematical Finance by Robert A Jarrow,Dilip B Madan Pdf

This Gedenkschrift for Peter Carr, our dear friend and colleague who suddenly left us on March 1, 2022, was organized to honor the life and lasting contributions of Peter to Quantitative Finance. A group of Peter's co-authors and professional friends contributed chapters for this Gedenkschrift shortly after his passing. The papers were received by September 15, 2022 and some were presented at the Peter Carr Gedenkschrift Conference held at the Robert H Smith School of Business on November 11, 2022. The contributed papers cover a wide range of topics corresponding to the vast range of Peter's interests. Each paper represents new research results in recognition of Peter's scholarly activities. The book serves as an important marker for the research knowledge existing at the time of the Gedenkschrift's publication on a number of topics within quantitative finance. It reflects the diverse interactions between mathematics and finance and illustrates, for those interested, the breadth and depth of this development. The book also presents a collection of tributes to Peter from family and friends including those made at his Memorial Service on March 19, 2022. The result is hopefully a more complete testament to a personal and professional life well lived, and unexpectedly cut short.

Advanced Mathematical Methods for Finance

Julia Di Nunno,Bernt Øksendal
Advanced Mathematical Methods for Finance Book PDF

Author : Julia Di Nunno,Bernt Øksendal
Publisher : Springer Science & Business Media
Page : 532 pages
File Size : 43,6 Mb
Release : 2011-03-29
Category : Mathematics
ISBN : 9783642184123

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Advanced Mathematical Methods for Finance by Julia Di Nunno,Bernt Øksendal Pdf

This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.

Methods of Mathematical Finance

Ioannis Karatzas,Steven Shreve
Methods of Mathematical Finance Book PDF

Author : Ioannis Karatzas,Steven Shreve
Publisher : Springer
Page : 415 pages
File Size : 44,6 Mb
Release : 2017-01-10
Category : Mathematics
ISBN : 9781493968459

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Methods of Mathematical Finance by Ioannis Karatzas,Steven Shreve Pdf

This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.

Recent Developments in Mathematical Finance

Jiongmin Yong
Recent Developments in Mathematical Finance Book PDF

Author : Jiongmin Yong
Publisher : World Scientific
Page : 286 pages
File Size : 47,6 Mb
Release : 2002
Category : Mathematics
ISBN : 9789810247973

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Recent Developments in Mathematical Finance by Jiongmin Yong Pdf

The book deals with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, etc. It also reflects on some recent developments in certain important aspects of mathematical finance.

Advanced Mathematical Methods for Finance

Anonim
Advanced Mathematical Methods for Finance Book PDF

Author : Anonim
Publisher : Unknown
Page : 536 pages
File Size : 42,7 Mb
Release : 2011
Category : Business mathematics
ISBN : 3642184138

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Advanced Mathematical Methods for Finance by Anonim Pdf

"The title of this volume 'Advanced Mathematical Methods for Finance, ' AMaMeF for short, originates from the European network of the European Science Foundation with the same name that started its activity in 2005. The goals of its program have been the development and the use of advanced mathematical tools for finance, from theory to practice. This book was born in the same spirit of the program. It presents innovations in the mathematical methods in various research areas representing the broad spectrum of AMaMeF itself. It covers the mathematical foundations of financial analysis, numerical methods, and the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blending of topics gives a large view of the up-to-date frontiers of the mathematics for finance. This volume represents the joint work of European experts in the various fields and linked to the program AMaMeF."--Preface.

Introduction to Mathematical Finance

David C. Heath Glen Swindle
Introduction to Mathematical Finance Book PDF

Author : David C. Heath Glen Swindle
Publisher : American Mathematical Soc.
Page : 184 pages
File Size : 40,8 Mb
Release : 2000-01-25
Category : Investments
ISBN : 0821867628

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Introduction to Mathematical Finance by David C. Heath Glen Swindle Pdf

The foundation for the subject of mathematical finance was laid nearly 100 years ago by Bachelier in his fundamental work, Theorie de la speculation. In this work, he provided the first treatment of Brownian motion. Since then, the research of Markowitz, and then of Black, Merton, Scholes, and Samuelson brought remarkable and important strides in the field. A few years later, Harrison and Kreps demonstrated the fundamental role of martingales and stochastic analysis in constructing and understanding models for financial markets. The connection opened the door for a flood of mathematical developments and growth. Concurrently with these mathematical advances, markets have grown, and developments in both academia and industry continue to expand. This lively activity inspired an AMS Short Course at the Joint Mathematics Meetings in San Diego (CA). The present volume includes the written results of that course. Articles are featured by an impressive list of recognized researchers and practitioners. Their contributions present deep results, pose challenging questions, and suggest directions for future research. This collection offers compelling introductory articles on this new, exciting, and rapidly growing field.

Recent Developments In Mathematical Finance - Proceedings Of The International Conference On Mathematical Finance

Jiongmin Yong
Recent Developments In Mathematical Finance Proceedings Of The International Conference On Mathematical Finance Book PDF

Author : Jiongmin Yong
Publisher : World Scientific
Page : 286 pages
File Size : 54,8 Mb
Release : 2001-12-28
Category : Mathematics
ISBN : 9789814489690

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Recent Developments In Mathematical Finance - Proceedings Of The International Conference On Mathematical Finance by Jiongmin Yong Pdf

The book deals with topics such as the pricing of various contingent claims within different frameworks, risk-sensitive problems, optimal investment, defaultable term structure, etc. It also reflects on some recent developments in certain important aspects of mathematical finance.

Lectures on the Mathematics of Finance

Ioannis Karatzas
Lectures on the Mathematics of Finance Book PDF

Author : Ioannis Karatzas
Publisher : American Mathematical Soc.
Page : 163 pages
File Size : 55,7 Mb
Release : 1997
Category : Business & Economics
ISBN : 9780821809099

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Lectures on the Mathematics of Finance by Ioannis Karatzas Pdf

In this text, the author discusses the main aspects of mathematical finance. These include, arbitrage, hedging and pricing of contingent claims, portfolio optimization, incomplete and/or constrained markets, equilibrium, and transaction costs. The book outlines advances made possible during the last fifteen years due to the methodologies of stochastic analysis and control. Readers are presented with current research, and open problems are suggested. This tutorial survey of the rapidly expanding field of mathematical finance is addressed primarily to graduate students in mathematics. Familiarity is assumed with stochastic analysis and parabolic partial differential equations. The text makes significant use of students' mathematical skills, but always in connection with interesting applied problems.

Advanced Mathematical Methods for Finance

Julia Di Nunno,Bernt Øksendal
Advanced Mathematical Methods for Finance Book PDF

Author : Julia Di Nunno,Bernt Øksendal
Publisher : Springer
Page : 536 pages
File Size : 47,6 Mb
Release : 2011-03-30
Category : Mathematics
ISBN : 3642184111

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Advanced Mathematical Methods for Finance by Julia Di Nunno,Bernt Øksendal Pdf

This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.

Mathematical Finance: Theories and Tools

Scarlett Morgan
Mathematical Finance Theories and Tools Book PDF

Author : Scarlett Morgan
Publisher : Willford Press
Page : 0 pages
File Size : 43,8 Mb
Release : 2023-09-19
Category : Business & Economics
ISBN : 1647285259

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Mathematical Finance: Theories and Tools by Scarlett Morgan Pdf

Mathematical finance refers to a branch of applied mathematics concerned with the application of mathematics and mathematical modeling for solving financial problems and modeling financial markets. It is also known as quantitative finance and financial mathematics. The field combines tools from probability, statistics and stochastic processes with economic theory. There are various applications of mathematical finance, including risk management, data mining, stock trading, econometrics, forecasting, inventory management, marketing, and investing strategies. Risk management is one of the major applications of mathematical finance that helps in the identification and management of financial risks. Mathematical finance is used to mine financial data, which helps to manage financial risks and reduce expenses by recognizing the anomalies and patterns in data. It is used across several industries, such as manufacturing, banking, retail and technology for making predictions based on data. This book traces the progress of mathematical finance and highlights some of its key theories, tools and applications. It aims to present researches that have transformed this discipline and aided its advancement. With state-of-the-art inputs by acclaimed experts of this field, this book targets students and professionals.

Mathematical Finance

Ernst Eberlein,Jan Kallsen
Mathematical Finance Book PDF

Author : Ernst Eberlein,Jan Kallsen
Publisher : Springer Nature
Page : 774 pages
File Size : 53,7 Mb
Release : 2019-12-03
Category : Mathematics
ISBN : 9783030261061

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Mathematical Finance by Ernst Eberlein,Jan Kallsen Pdf

Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges thegap between introductory texts and the advanced literature in the field. Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance. Graduate students, researchers as well as practitioners will benefit from this monograph.

Contemporary Quantitative Finance

Carl Chiarella,Alexander Novikov
Contemporary Quantitative Finance Book PDF

Author : Carl Chiarella,Alexander Novikov
Publisher : Springer Science & Business Media
Page : 423 pages
File Size : 53,7 Mb
Release : 2010-07-01
Category : Mathematics
ISBN : 9783642034794

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Contemporary Quantitative Finance by Carl Chiarella,Alexander Novikov Pdf

This volume contains a collection of papers dedicated to Professor Eckhard Platen to celebrate his 60th birthday, which occurred in 2009. The contributions have been written by a number of his colleagues and co-authors. All papers have been - viewed and presented as keynote talks at the international conference “Quantitative Methods in Finance” (QMF) in Sydney in December 2009. The QMF Conference Series was initiated by Eckhard Platen in 1993 when he was at the Australian - tional University (ANU) in Canberra. Since joining UTS in 1997 the conference came to be organised on a much larger scale and has grown to become a signi?cant international event in quantitative ?nance. Professor Platen has held the Chair of Quantitative Finance at the University of Technology, Sydney (UTS) jointly in the Faculties of Business and Science since 1997. Prior to this appointment, he was the Founding Head of the Centre for Fin- cial Mathematics at the Institute of Advanced Studies at ANU, a position to which he was appointed in 1994. Eckhard completed a PhD in Mathematics at the Technical University in Dresden in 1975 and in 1985 obtained his Doctor of Science degree (Habilitation degree in the German system) from the Academy of Sciences in Berlin where he headed the Stochastics group at the Weierstrass Institute.

Financial Mathematics, Volatility and Covariance Modelling

Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji
Financial Mathematics Volatility and Covariance Modelling Book PDF

Author : Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji
Publisher : Routledge
Page : 381 pages
File Size : 40,7 Mb
Release : 2019-06-28
Category : Business & Economics
ISBN : 9781351669092

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Financial Mathematics, Volatility and Covariance Modelling by Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji Pdf

This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. Financial Mathematics, Volatility and Covariance Modelling: Volume 2 provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling. The first section is devoted to mathematical finance, stochastic modelling and control optimization. Chapters explore the recent financial crisis, the increase of uncertainty and volatility, and propose an alternative approach to deal with these issues. The second section covers financial volatility and covariance modelling and explores proposals for dealing with recent developments in financial econometrics This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.

Advanced Modelling in Mathematical Finance

Jan Kallsen,Antonis Papapantoleon
Advanced Modelling in Mathematical Finance Book PDF

Author : Jan Kallsen,Antonis Papapantoleon
Publisher : Springer
Page : 496 pages
File Size : 52,9 Mb
Release : 2016-12-01
Category : Mathematics
ISBN : 9783319458755

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Advanced Modelling in Mathematical Finance by Jan Kallsen,Antonis Papapantoleon Pdf

This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.