Mathematical Financial Economics

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Mathematical Financial Economics

Igor V. Evstigneev,Thorsten Hens,Klaus Reiner Schenk-Hoppé
Mathematical Financial Economics Book PDF

Author : Igor V. Evstigneev,Thorsten Hens,Klaus Reiner Schenk-Hoppé
Publisher : Springer
Page : 224 pages
File Size : 55,6 Mb
Release : 2015-05-15
Category : Business & Economics
ISBN : 9783319165714

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Mathematical Financial Economics by Igor V. Evstigneev,Thorsten Hens,Klaus Reiner Schenk-Hoppé Pdf

This textbook is an elementary introduction to the key topics in mathematical finance and financial economics - two realms of ideas that substantially overlap but are often treated separately from each other. Our goal is to present the highlights in the field, with the emphasis on the financial and economic content of the models, concepts and results. The book provides a novel, unified treatment of the subject by deriving each topic from common fundamental principles and showing the interrelations between the key themes. Although the presentation is fully rigorous, with some rare and clearly marked exceptions, the book restricts itself to the use of only elementary mathematical concepts and techniques. No advanced mathematics (such as stochastic calculus) is used.

Introduction to the Economics and Mathematics of Financial Markets

Jaksa Cvitanic,Fernando Zapatero
Introduction to the Economics and Mathematics of Financial Markets Book PDF

Author : Jaksa Cvitanic,Fernando Zapatero
Publisher : MIT Press
Page : 528 pages
File Size : 43,8 Mb
Release : 2004-02-27
Category : Business & Economics
ISBN : 0262033208

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Introduction to the Economics and Mathematics of Financial Markets by Jaksa Cvitanic,Fernando Zapatero Pdf

An innovative textbook for use in advanced undergraduate and graduate courses; accessible to students in financial mathematics, financial engineering and economics. Introduction to the Economics and Mathematics of Financial Markets fills the longstanding need for an accessible yet serious textbook treatment of financial economics. The book provides a rigorous overview of the subject, while its flexible presentation makes it suitable for use with different levels of undergraduate and graduate students. Each chapter presents mathematical models of financial problems at three different degrees of sophistication: single-period, multi-period, and continuous-time. The single-period and multi-period models require only basic calculus and an introductory probability/statistics course, while an advanced undergraduate course in probability is helpful in understanding the continuous-time models. In this way, the material is given complete coverage at different levels; the less advanced student can stop before the more sophisticated mathematics and still be able to grasp the general principles of financial economics. The book is divided into three parts. The first part provides an introduction to basic securities and financial market organization, the concept of interest rates, the main mathematical models, and quantitative ways to measure risks and rewards. The second part treats option pricing and hedging; here and throughout the book, the authors emphasize the Martingale or probabilistic approach. Finally, the third part examines equilibrium models—a subject often neglected by other texts in financial mathematics, but included here because of the qualitative insight it offers into the behavior of market participants and pricing.

Financial Economics and Econometrics

Nikiforos T. Laopodis
Financial Economics and Econometrics Book PDF

Author : Nikiforos T. Laopodis
Publisher : Routledge
Page : 787 pages
File Size : 55,5 Mb
Release : 2021-12-14
Category : Business & Economics
ISBN : 9781000506082

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Financial Economics and Econometrics by Nikiforos T. Laopodis Pdf

Financial Economics and Econometrics provides an overview of the core topics in theoretical and empirical finance, with an emphasis on applications and interpreting results. Structured in five parts, the book covers financial data and univariate models; asset returns; interest rates, yields and spreads; volatility and correlation; and corporate finance and policy. Each chapter begins with a theory in financial economics, followed by econometric methodologies which have been used to explore the theory. Next, the chapter presents empirical evidence and discusses seminal papers on the topic. Boxes offer insights on how an idea can be applied to other disciplines such as management, marketing and medicine, showing the relevance of the material beyond finance. Readers are supported with plenty of worked examples and intuitive explanations throughout the book, while key takeaways, ‘test your knowledge’ and ‘test your intuition’ features at the end of each chapter also aid student learning. Digital supplements including PowerPoint slides, computer codes supplements, an Instructor’s Manual and Solutions Manual are available for instructors. This textbook is suitable for upper-level undergraduate and graduate courses on financial economics, financial econometrics, empirical finance and related quantitative areas.

Finance, Economics, and Mathematics

Oldrich A. Vasicek
Finance Economics and Mathematics Book PDF

Author : Oldrich A. Vasicek
Publisher : John Wiley & Sons
Page : 368 pages
File Size : 43,9 Mb
Release : 2015-11-24
Category : Business & Economics
ISBN : 9781119186212

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Finance, Economics, and Mathematics by Oldrich A. Vasicek Pdf

The compiled works of the man behind the evolution of quantitative finance Finance, Economics, and Mathematics is the complete Vasicek reference work, including published and unpublished work and interviews with the man himself. The name Oldrich A. Vasicek is synonymous with cutting-edge research in the finance fields, and this book comes straight from the source to bring you the undiluted mother lode of quant wisdom from one of the founders of the field. From his early work in yield curve dynamics, to the mean-reverting short-rate model, to his thoughts on derivatives pricing, to his work on credit risk, to his most recent research on the economics of interest rates, this book represents the life's work of an industry leader. Going beyond the papers, you'll also find the more personal side inspirational as Vasicek talks about the academics and professionals who made lasting impressions and collaborated, debated, and ultimately helped spawn some of his greatest thinking. Oldrich Vasicek has won virtually every important award and prize for his groundbreaking research in quantitative finance. You've followed his work for years; this book puts it all in a single volume to give you the definitive reference you'll turn to again and again. Explore Vasicek's insights on topics he helped create Discover his research and ideas that have gone unpublished—until now Understand yield curves and the Vasicek model from the source himself Gain a reference collection of some of the most influential work in quantitative finance Vasicek's research is the foundation of one of the most important innovations in finance. Quants around the world have been influenced by his ideas, and his status as thought leader is cemented in the annals of finance history. Finance, Economics, and Mathematics is the definitive Vasicek reference every finance professional needs.

Mathematical Finance and Probability

Pablo Koch Medina,Sandro Merino
Mathematical Finance and Probability Book PDF

Author : Pablo Koch Medina,Sandro Merino
Publisher : Birkhäuser
Page : 326 pages
File Size : 52,9 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9783034880411

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Mathematical Finance and Probability by Pablo Koch Medina,Sandro Merino Pdf

This self-contained book presents the theory underlying the valuation of derivative financial instruments, which is becoming a standard part of the professional toolbox in the financial industry. It provides great insight into the underlying economic ideas in a very readable form, putting the reader in an excellent position to proceed to the more general continuous-time theory.

Mathematical Modeling in Economics and Finance: Probability, Stochastic Processes, and Differential Equations

Steven R. Dunbar
Mathematical Modeling in Economics and Finance Probability Stochastic Processes and Differential Equations Book PDF

Author : Steven R. Dunbar
Publisher : American Mathematical Soc.
Page : 232 pages
File Size : 47,5 Mb
Release : 2019-04-03
Category : Economics
ISBN : 9781470448394

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Mathematical Modeling in Economics and Finance: Probability, Stochastic Processes, and Differential Equations by Steven R. Dunbar Pdf

Mathematical Modeling in Economics and Finance is designed as a textbook for an upper-division course on modeling in the economic sciences. The emphasis throughout is on the modeling process including post-modeling analysis and criticism. It is a textbook on modeling that happens to focus on financial instruments for the management of economic risk. The book combines a study of mathematical modeling with exposure to the tools of probability theory, difference and differential equations, numerical simulation, data analysis, and mathematical analysis. Students taking a course from Mathematical Modeling in Economics and Finance will come to understand some basic stochastic processes and the solutions to stochastic differential equations. They will understand how to use those tools to model the management of financial risk. They will gain a deep appreciation for the modeling process and learn methods of testing and evaluation driven by data. The reader of this book will be successfully positioned for an entry-level position in the financial services industry or for beginning graduate study in finance, economics, or actuarial science. The exposition in Mathematical Modeling in Economics and Finance is crystal clear and very student-friendly. The many exercises are extremely well designed. Steven Dunbar is Professor Emeritus of Mathematics at the University of Nebraska and he has won both university-wide and MAA prizes for extraordinary teaching. Dunbar served as Director of the MAA's American Mathematics Competitions from 2004 until 2015. His ability to communicate mathematics is on full display in this approachable, innovative text.

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 : 49,6 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.

Mathematical Finance

Silvia Romagnoli
Mathematical Finance Book PDF

Author : Silvia Romagnoli
Publisher : Societa Editrice Esculapio
Page : 294 pages
File Size : 49,6 Mb
Release : 2015
Category : Business & Economics
ISBN : 8874887817

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Mathematical Finance by Silvia Romagnoli Pdf

True to its title, this book is focused on mathematical finance field and it is draft in order to accomplish the level aimed at second or third year undergraduate students, not only of mathematics but also, for example, business management, finance and economics. The aim of this book is to provide the basic concepts concerning the mathematical finance which is unescapable to understand the way modern financial markets operate.Thanks to these fundamental concepts, which are completely concentrated on a deterministic modelization of the markets, students are ready to approach more advanced courses focused on the modern area of financial math. Here the deterministic assumption is left and stochastic assumptions concerning the evolution of the involved variables are included.

Mathematics for Economics and Finance

Martin Anthony,Norman Biggs
Mathematics for Economics and Finance Book PDF

Author : Martin Anthony,Norman Biggs
Publisher : Cambridge University Press
Page : 128 pages
File Size : 45,7 Mb
Release : 1996-07-13
Category : Mathematics
ISBN : 9781139643269

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Mathematics for Economics and Finance by Martin Anthony,Norman Biggs Pdf

Mathematics has become indispensable in the modelling of economics, finance, business and management. Without expecting any particular background of the reader, this book covers the following mathematical topics, with frequent reference to applications in economics and finance: functions, graphs and equations, recurrences (difference equations), differentiation, exponentials and logarithms, optimisation, partial differentiation, optimisation in several variables, vectors and matrices, linear equations, Lagrange multipliers, integration, first-order and second-order differential equations. The stress is on the relation of maths to economics, and this is illustrated with copious examples and exercises to foster depth of understanding. Each chapter has three parts: the main text, a section of further worked examples and a summary of the chapter together with a selection of problems for the reader to attempt. For students of economics, mathematics, or both, this book provides an introduction to mathematical methods in economics and finance that will be welcomed for its clarity and breadth.

Mathematical Finance

Silvia Romagnoli
Mathematical Finance Book PDF

Author : Silvia Romagnoli
Publisher : Società Editrice Esculapio
Page : 416 pages
File Size : 46,9 Mb
Release : 2016-07-18
Category : Business & Economics
ISBN : 9788874889747

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Mathematical Finance by Silvia Romagnoli Pdf

The aim of these two books is to provide the basic theoretical concepts and the best practice concerning the mathematical nance which is unescapable to understand the way modern financial markets operate. Thanks to these fundamental concepts, which are completely concentrated on a deterministic modelization of the markets, students are ready to approach more advanced courses focused on the modern area of financial math where the deterministic assumption is left and stochastic assumptions concerning the evolution of the involved variables are included.

Mathematical Finance

Nikolai Dokuchaev
Mathematical Finance Book PDF

Author : Nikolai Dokuchaev
Publisher : Routledge
Page : 208 pages
File Size : 54,9 Mb
Release : 2007-03-12
Category : Business & Economics
ISBN : 9781134121977

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Mathematical Finance by Nikolai Dokuchaev Pdf

Written in a rigorous yet logical and easy to use style, spanning a range of disciplines, including business, mathematics, finance and economics, this comprehensive textbook offers a systematic, self-sufficient yet concise presentation of the main topics and related parts of stochastic analysis and statistical finance that are covered in the majority of university programmes. Providing all explanations of basic concepts and results with proofs and numerous examples and problems, it includes: an introduction to probability theory a detailed study of discrete and continuous time market models a comprehensive review of Ito calculus and statistical methods as a basis for statistical estimation of models for pricing a detailed discussion of options and their pricing, including American options in a continuous time setting. An excellent introduction to the topic, this textbook is an essential resource for all students on undergraduate and postgraduate courses and advanced degree programs in econometrics, finance, applied mathematics and mathematical modelling as well as academics and practitioners.

Financial Statistics and Mathematical Finance

Ansgar Steland
Financial Statistics and Mathematical Finance Book PDF

Author : Ansgar Steland
Publisher : John Wiley & Sons
Page : 355 pages
File Size : 40,9 Mb
Release : 2012-06-21
Category : Business & Economics
ISBN : 9781118316566

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Financial Statistics and Mathematical Finance by Ansgar Steland Pdf

Mathematical finance has grown into a huge area of research which requires a lot of care and a large number of sophisticated mathematical tools. Mathematically rigorous and yet accessible to advanced level practitioners and mathematicians alike, it considers various aspects of the application of statistical methods in finance and illustrates some of the many ways that statistical tools are used in financial applications. Financial Statistics and Mathematical Finance: Provides an introduction to the basics of financial statistics and mathematical finance. Explains the use and importance of statistical methods in econometrics and financial engineering. Illustrates the importance of derivatives and calculus to aid understanding in methods and results. Looks at advanced topics such as martingale theory, stochastic processes and stochastic integration. Features examples throughout to illustrate applications in mathematical and statistical finance. Is supported by an accompanying website featuring R code and data sets. Financial Statistics and Mathematical Finance introduces the financial methodology and the relevant mathematical tools in a style that is both mathematically rigorous and yet accessible to advanced level practitioners and mathematicians alike, both graduate students and researchers in statistics, finance, econometrics and business administration will benefit from this book.

The Mathematics of Financial Modeling and Investment Management

Sergio M. Focardi,Frank J. Fabozzi, CFA
The Mathematics of Financial Modeling and Investment Management Book PDF

Author : Sergio M. Focardi,Frank J. Fabozzi, CFA
Publisher : John Wiley & Sons
Page : 804 pages
File Size : 52,9 Mb
Release : 2004-03-29
Category : Business & Economics
ISBN : 0471465992

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The Mathematics of Financial Modeling and Investment Management by Sergio M. Focardi,Frank J. Fabozzi, CFA Pdf

the mathematics of financial modeling & investment management The Mathematics of Financial Modeling & Investment Management covers a wide range of technical topics in mathematics and finance-enabling the investment management practitioner, researcher, or student to fully understand the process of financial decision-making and its economic foundations. This comprehensive resource will introduce you to key mathematical techniques-matrix algebra, calculus, ordinary differential equations, probability theory, stochastic calculus, time series analysis, optimization-as well as show you how these techniques are successfully implemented in the world of modern finance. Special emphasis is placed on the new mathematical tools that allow a deeper understanding of financial econometrics and financial economics. Recent advances in financial econometrics, such as tools for estimating and representing the tails of the distributions, the analysis of correlation phenomena, and dimensionality reduction through factor analysis and cointegration are discussed in depth. Using a wealth of real-world examples, Focardi and Fabozzi simultaneously show both the mathematical techniques and the areas in finance where these techniques are applied. They also cover a variety of useful financial applications, such as: * Arbitrage pricing * Interest rate modeling * Derivative pricing * Credit risk modeling * Equity and bond portfolio management * Risk management * And much more Filled with in-depth insight and expert advice, The Mathematics of Financial Modeling & Investment Management clearly ties together financial theory and mathematical techniques.

Aspects of Mathematical Finance

Marc Yor
Aspects of Mathematical Finance Book PDF

Author : Marc Yor
Publisher : Springer Science & Business Media
Page : 80 pages
File Size : 41,7 Mb
Release : 2008-02-13
Category : Mathematics
ISBN : 9783540752653

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Aspects of Mathematical Finance by Marc Yor Pdf

This collection of essays is based on lectures given at the "Académie des Sciences" in Paris by internationally renowned experts in mathematical finance. The collection develops, in simple yet rigorous terms, some challenging topics such as risk measures, the notion of arbitrage, dynamic models involving fundamental stochastic processes like Brownian motion and Lévy processes. The book also features a description of the trainings of French financial analysts.

Mathematics for Economics and Finance

Michael Harrison,Patrick Waldron
Mathematics for Economics and Finance Book PDF

Author : Michael Harrison,Patrick Waldron
Publisher : Routledge
Page : 384 pages
File Size : 48,8 Mb
Release : 2011-03-31
Category : Business & Economics
ISBN : 9781136819223

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Mathematics for Economics and Finance by Michael Harrison,Patrick Waldron Pdf

The aim of this book is to bring students of economics and finance who have only an introductory background in mathematics up to a quite advanced level in the subject, thus preparing them for the core mathematical demands of econometrics, economic theory, quantitative finance and mathematical economics, which they are likely to encounter in their final-year courses and beyond. The level of the book will also be useful for those embarking on the first year of their graduate studies in Business, Economics or Finance. The book also serves as an introduction to quantitative economics and finance for mathematics students at undergraduate level and above. In recent years, mathematics graduates have been increasingly expected to have skills in practical subjects such as economics and finance, just as economics graduates have been expected to have an increasingly strong grounding in mathematics. The authors avoid the pitfalls of many texts that become too theoretical. The use of mathematical methods in the real world is never lost sight of and quantitative analysis is brought to bear on a variety of topics including foreign exchange rates and other macro level issues.