Mathematical Methods For Financial Markets

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Mathematical Methods for Financial Markets

Monique Jeanblanc,Marc Yor,Marc Chesney
Mathematical Methods for Financial Markets Book PDF

Author : Monique Jeanblanc,Marc Yor,Marc Chesney
Publisher : Springer Science & Business Media
Page : 754 pages
File Size : 51,7 Mb
Release : 2009-10-13
Category : Business & Economics
ISBN : 9781852333768

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Mathematical Methods for Financial Markets by Monique Jeanblanc,Marc Yor,Marc Chesney Pdf

Mathematical finance has grown into a huge area of research which requires a large number of sophisticated mathematical tools. This book simultaneously introduces the financial methodology and the relevant mathematical tools in a style that is mathematically rigorous and yet accessible to practitioners and mathematicians alike. It interlaces financial concepts such as arbitrage opportunities, admissible strategies, contingent claims, option pricing and default risk with the mathematical theory of Brownian motion, diffusion processes, and Lévy processes. The first half of the book is devoted to continuous path processes whereas the second half deals with discontinuous processes. The extensive bibliography comprises a wealth of important references and the author index enables readers quickly to locate where the reference is cited within the book, making this volume an invaluable tool both for students and for those at the forefront of research and practice.

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 : 40,7 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.

Mathematical Methods for Finance

Sergio M. Focardi,Frank J. Fabozzi,Turan G. Bali
Mathematical Methods for Finance Book PDF

Author : Sergio M. Focardi,Frank J. Fabozzi,Turan G. Bali
Publisher : John Wiley & Sons
Page : 325 pages
File Size : 45,5 Mb
Release : 2013-09-23
Category : Business & Economics
ISBN : 9781118312636

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Mathematical Methods for Finance by Sergio M. Focardi,Frank J. Fabozzi,Turan G. Bali Pdf

The mathematical and statistical tools needed in the rapidly growing quantitative finance field With the rapid growth in quantitative finance, practitioners must achieve a high level of proficiency in math and statistics. Mathematical Methods and Statistical Tools for Finance, part of the Frank J. Fabozzi Series, has been created with this in mind. Designed to provide the tools needed to apply finance theory to real world financial markets, this book offers a wealth of insights and guidance in practical applications. It contains applications that are broader in scope from what is covered in a typical book on mathematical techniques. Most books focus almost exclusively on derivatives pricing, the applications in this book cover not only derivatives and asset pricing but also risk management—including credit risk management—and portfolio management. Includes an overview of the essential math and statistical skills required to succeed in quantitative finance Offers the basic mathematical concepts that apply to the field of quantitative finance, from sets and distances to functions and variables The book also includes information on calculus, matrix algebra, differential equations, stochastic integrals, and much more Written by Sergio Focardi, one of the world's leading authors in high-level finance Drawing on the author's perspectives as a practitioner and academic, each chapter of this book offers a solid foundation in the mathematical tools and techniques need to succeed in today's dynamic world of finance.

Mathematical Methods for Finance

Sergio M. Focardi,Frank J. Fabozzi,Turan G. Bali
Mathematical Methods for Finance Book PDF

Author : Sergio M. Focardi,Frank J. Fabozzi,Turan G. Bali
Publisher : John Wiley & Sons
Page : 325 pages
File Size : 45,9 Mb
Release : 2013-09-04
Category : Business & Economics
ISBN : 9781118421499

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Mathematical Methods for Finance by Sergio M. Focardi,Frank J. Fabozzi,Turan G. Bali Pdf

The mathematical and statistical tools needed in the rapidly growing quantitative finance field With the rapid growth in quantitative finance, practitioners must achieve a high level of proficiency in math and statistics. Mathematical Methods and Statistical Tools for Finance, part of the Frank J. Fabozzi Series, has been created with this in mind. Designed to provide the tools needed to apply finance theory to real world financial markets, this book offers a wealth of insights and guidance in practical applications. It contains applications that are broader in scope from what is covered in a typical book on mathematical techniques. Most books focus almost exclusively on derivatives pricing, the applications in this book cover not only derivatives and asset pricing but also risk management—including credit risk management—and portfolio management. Includes an overview of the essential math and statistical skills required to succeed in quantitative finance Offers the basic mathematical concepts that apply to the field of quantitative finance, from sets and distances to functions and variables The book also includes information on calculus, matrix algebra, differential equations, stochastic integrals, and much more Written by Sergio Focardi, one of the world's leading authors in high-level finance Drawing on the author's perspectives as a practitioner and academic, each chapter of this book offers a solid foundation in the mathematical tools and techniques need to succeed in today's dynamic world of 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 : 50,8 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.

Mathematics of Financial Markets

Robert J Elliott,P. Ekkehard Kopp
Mathematics of Financial Markets Book PDF

Author : Robert J Elliott,P. Ekkehard Kopp
Publisher : Springer Science & Business Media
Page : 298 pages
File Size : 47,5 Mb
Release : 2013-11-11
Category : Mathematics
ISBN : 9781475771466

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Mathematics of Financial Markets by Robert J Elliott,P. Ekkehard Kopp Pdf

This book explores the mathematics that underpins pricing models for derivative securities such as options, futures and swaps in modern markets. Models built upon the famous Black-Scholes theory require sophisticated mathematical tools drawn from modern stochastic calculus. However, many of the underlying ideas can be explained more simply within a discrete-time framework. This is developed extensively in this substantially revised second edition to motivate the technically more demanding continuous-time theory.

Statistical Models and Methods for Financial Markets

Tze Leung Lai,Haipeng Xing
Statistical Models and Methods for Financial Markets Book PDF

Author : Tze Leung Lai,Haipeng Xing
Publisher : Springer Science & Business Media
Page : 363 pages
File Size : 54,5 Mb
Release : 2008-09-08
Category : Business & Economics
ISBN : 9780387778273

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Statistical Models and Methods for Financial Markets by Tze Leung Lai,Haipeng Xing Pdf

The idea of writing this bookarosein 2000when the ?rst author wasassigned to teach the required course STATS 240 (Statistical Methods in Finance) in the new M. S. program in ?nancial mathematics at Stanford, which is an interdisciplinary program that aims to provide a master’s-level education in applied mathematics, statistics, computing, ?nance, and economics. Students in the programhad di?erent backgroundsin statistics. Some had only taken a basic course in statistical inference, while others had taken a broad spectrum of M. S. - and Ph. D. -level statistics courses. On the other hand, all of them had already taken required core courses in investment theory and derivative pricing, and STATS 240 was supposed to link the theory and pricing formulas to real-world data and pricing or investment strategies. Besides students in theprogram,thecoursealso attractedmanystudentsfromother departments in the university, further increasing the heterogeneity of students, as many of them had a strong background in mathematical and statistical modeling from the mathematical, physical, and engineering sciences but no previous experience in ?nance. To address the diversity in background but common strong interest in the subject and in a potential career as a “quant” in the ?nancialindustry,thecoursematerialwascarefullychosennotonlytopresent basic statistical methods of importance to quantitative ?nance but also to summarize domain knowledge in ?nance and show how it can be combined with statistical modeling in ?nancial analysis and decision making. The course material evolved over the years, especially after the second author helped as the head TA during the years 2004 and 2005.

Mathematical Techniques In Financial Market Trading

Don K Mak
Mathematical Techniques In Financial Market Trading Book PDF

Author : Don K Mak
Publisher : World Scientific
Page : 322 pages
File Size : 53,6 Mb
Release : 2006-04-20
Category : Business & Economics
ISBN : 9789814478434

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Mathematical Techniques In Financial Market Trading by Don K Mak Pdf

The present book contains much more materials than the author's previous book The Science of Financial Market Trading. Spectrum analysis is again emphasized for the characterization of technical indicators employed by traders and investors. New indicators are created. Mathematical analysis is applied to evaluate the trading methodologies practiced by traders to execute a trade transaction. In addition, probability theory is employed to appraise the utility of money management techniques.The book: identifies the faultiness of some of the indicators used by traders and accentuates the potential of wavelets as a trading tool; describes the scientific evidences that the market is non-random, and that the non-randomness can vary with respect to time; demonstrates the validity of the claim by some traders that, with good money management techniques, the market is still profitable even if it were random; and analyzes why a popular trading tactic has a good probability of success and how it can be improved.

Trading Tactics in the Financial Market

Don K. Mak
Trading Tactics in the Financial Market Book PDF

Author : Don K. Mak
Publisher : Springer Nature
Page : 270 pages
File Size : 53,6 Mb
Release : 2021-07-29
Category : Business & Economics
ISBN : 9783030706227

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Trading Tactics in the Financial Market by Don K. Mak Pdf

Financial markets are not predictable, let alone controllable. The one thing traders and investors can control is their trading tactics, where some can have higher probability of profitability than others. This book explains, by using phase analysis, why some of the indicators, and trading tactics would work better than others, and why some indicators and trading tactics would perform poorly. Emphasis is placed on Awesome Oscillator and Accelerator Oscillator, which are based on Simple Moving Average, a popular tool employed by traders. They are then compared to Moving Average Convergence-Divergence (MACD) and MACD Histogram (MACDH), which are based on exponential moving averages. By varying the parameters of MACD and MACDH, one can change the phase or time delay, and possibly make a larger profit. This book is for practitioners, and includes all MATLAB programs used in the book.

Discrete Models of Financial Markets

Marek Capiński,Ekkehard Kopp
Discrete Models of Financial Markets Book PDF

Author : Marek Capiński,Ekkehard Kopp
Publisher : Cambridge University Press
Page : 193 pages
File Size : 55,5 Mb
Release : 2012-02-23
Category : Business & Economics
ISBN : 9781107002630

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Discrete Models of Financial Markets by Marek Capiński,Ekkehard Kopp Pdf

An excellent basis for further study. Suitable even for readers with no mathematical background.

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 : 55,8 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.

The Statistical Mechanics of Financial Markets

Johannes Voit
The Statistical Mechanics of Financial Markets Book PDF

Author : Johannes Voit
Publisher : Springer Science & Business Media
Page : 227 pages
File Size : 49,7 Mb
Release : 2013-06-29
Category : Science
ISBN : 9783662044230

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The Statistical Mechanics of Financial Markets by Johannes Voit Pdf

A careful examination of the interaction between physics and finance. It takes a look at the 100-year-long history of co-operation between the two fields and goes on to provide new research results on capital markets - taken from the field of statistical physics. The random walk model, well known in physics, is one good example of where the two disciplines meet. In the world of finance it is the basic model upon which the Black-Scholes theory of option pricing and hedging has been built. The underlying assumptions are discussed using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion. On this basis, new theories of derivative pricing and risk control can be formulated.

Mathematics of Financial Markets

Robert J. Elliott,P. Ekkehard Kopp
Mathematics of Financial Markets Book PDF

Author : Robert J. Elliott,P. Ekkehard Kopp
Publisher : Springer Science & Business Media
Page : 356 pages
File Size : 49,6 Mb
Release : 2005
Category : Business & Economics
ISBN : 9780387212920

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Mathematics of Financial Markets by Robert J. Elliott,P. Ekkehard Kopp Pdf

This book presents the mathematics that underpins pricing models for derivative securities in modern financial markets, such as options, futures and swaps. This new edition adds substantial material from current areas of active research, such as coherent risk measures with applications to hedging, the arbitrage interval for incomplete discrete-time markets, and risk and return and sensitivity analysis for the Black-Scholes model.

Introduction to Quantitative Methods for Financial Markets

Hansjoerg Albrecher,Andreas Binder,Volkmar Lautscham,Philipp Mayer
Introduction to Quantitative Methods for Financial Markets Book PDF

Author : Hansjoerg Albrecher,Andreas Binder,Volkmar Lautscham,Philipp Mayer
Publisher : Springer Science & Business Media
Page : 191 pages
File Size : 42,6 Mb
Release : 2013-06-28
Category : Mathematics
ISBN : 9783034805193

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Introduction to Quantitative Methods for Financial Markets by Hansjoerg Albrecher,Andreas Binder,Volkmar Lautscham,Philipp Mayer Pdf

Swaps, futures, options, structured instruments - a wide range of derivative products is traded in today's financial markets. Analyzing, pricing and managing such products often requires fairly sophisticated quantitative tools and methods. This book serves as an introduction to financial mathematics with special emphasis on aspects relevant in practice. In addition to numerous illustrative examples, algorithmic implementations are demonstrated using "Mathematica" and the software package "UnRisk" (available for both students and teachers). The content is organized in 15 chapters that can be treated as independent modules. In particular, the exposition is tailored for classroom use in a Bachelor or Master program course, as well as for practitioners who wish to further strengthen their quantitative background.

Martingale Methods in Financial Modelling

Marek Musiela
Martingale Methods in Financial Modelling Book PDF

Author : Marek Musiela
Publisher : Springer Science & Business Media
Page : 521 pages
File Size : 52,8 Mb
Release : 2013-06-29
Category : Mathematics
ISBN : 9783662221327

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Martingale Methods in Financial Modelling by Marek Musiela Pdf

A comprehensive and self-contained treatment of the theory and practice of option pricing. The role of martingale methods in financial modeling is exposed. The emphasis is on using arbitrage-free models already accepted by the market as well as on building the new ones. Standard calls and puts together with numerous examples of exotic options such as barriers and quantos, for example on stocks, indices, currencies and interest rates are analysed. The importance of choosing a convenient numeraire in price calculations is explained. Mathematical and financial language is used so as to bring mathematicians closer to practical problems of finance and presenting to the industry useful maths tools.