Methods Of Mathematical Finance

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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 : 45,9 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.

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 : 43,9 Mb
Release : 2009-10-03
Category : Business & Economics
ISBN : 9781846287374

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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 : 44,6 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.

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.

Computational Methods for Quantitative Finance

Norbert Hilber,Oleg Reichmann,Christoph Schwab,Christoph Winter
Computational Methods for Quantitative Finance Book PDF

Author : Norbert Hilber,Oleg Reichmann,Christoph Schwab,Christoph Winter
Publisher : Springer Science & Business Media
Page : 301 pages
File Size : 50,7 Mb
Release : 2013-02-15
Category : Mathematics
ISBN : 9783642354014

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Computational Methods for Quantitative Finance by Norbert Hilber,Oleg Reichmann,Christoph Schwab,Christoph Winter Pdf

Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used Lévy and stochastic volatility models. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to Lévy, additive and certain classes of Feller processes. This book is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics.​

Mathematical Techniques in Finance

Amir Sadr
Mathematical Techniques in Finance Book PDF

Author : Amir Sadr
Publisher : John Wiley & Sons
Page : 278 pages
File Size : 48,6 Mb
Release : 2022-04-21
Category : Business & Economics
ISBN : 9781119838418

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Mathematical Techniques in Finance by Amir Sadr Pdf

Explore the foundations of modern finance with this intuitive mathematical guide In Mathematical Techniques in Finance: An Introduction, distinguished finance professional Amir Sadr delivers an essential and practical guide to the mathematical foundations of various areas of finance, including corporate finance, investments, risk management, and more. Readers will discover a wealth of accessible information that reveals the underpinnings of business and finance. You’ll learn about: Investment theory, including utility theory, mean-variance theory and asset allocation, and the Capital Asset Pricing Model Derivatives, including forwards, options, the random walk, and Brownian Motion Interest rate curves, including yield curves, interest rate swap curves, and interest rate derivatives Complete with math reviews, useful Excel functions, and a glossary of financial terms, Mathematical Techniques in Finance: An Introduction is required reading for students and professionals in finance.

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 : 50,6 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.

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 : 51,5 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.

The Concepts and Practice of Mathematical Finance

Mark S. Joshi
The Concepts and Practice of Mathematical Finance Book PDF

Author : Mark S. Joshi
Publisher : Cambridge University Press
Page : 0 pages
File Size : 41,9 Mb
Release : 2008-10-30
Category : Business & Economics
ISBN : 9780521514088

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The Concepts and Practice of Mathematical Finance by Mark S. Joshi Pdf

The second edition of a successful text providing the working knowledge needed to become a good quantitative analyst. An ideal introduction to mathematical finance, readers will gain a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice.

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 : 53,8 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.

Methods and Finance

Emiliano Ippoliti,Ping Chen
Methods and Finance Book PDF

Author : Emiliano Ippoliti,Ping Chen
Publisher : Springer
Page : 194 pages
File Size : 54,8 Mb
Release : 2016-12-23
Category : Science
ISBN : 9783319498720

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Methods and Finance by Emiliano Ippoliti,Ping Chen Pdf

The book offers an interdisciplinary perspective on finance, with a special focus on stock markets. It presents new methodologies for analyzing stock markets’ behavior and discusses theories and methods of finance from different angles, such as the mathematical, physical and philosophical ones. The book, which aims at philosophers and economists alike, represents a rare yet important attempt to unify the externalist with the internalist conceptions of finance.

Analysis, Geometry, and Modeling in Finance

Pierre Henry-Labordere
Analysis Geometry and Modeling in Finance Book PDF

Author : Pierre Henry-Labordere
Publisher : CRC Press
Page : 403 pages
File Size : 42,9 Mb
Release : 2008-09-22
Category : Business & Economics
ISBN : 9781420087000

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Analysis, Geometry, and Modeling in Finance by Pierre Henry-Labordere Pdf

Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing is the first book that applies advanced analytical and geometrical methods used in physics and mathematics to the financial field. It even obtains new results when only approximate and partial solutions were previously available.Through the problem of option pricing, th

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 : 49,8 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.

Informal Introduction To Stochastic Calculus With Applications, An (Second Edition)

Ovidiu Calin
Informal Introduction To Stochastic Calculus With Applications An Second Edition Book PDF

Author : Ovidiu Calin
Publisher : World Scientific
Page : 510 pages
File Size : 47,6 Mb
Release : 2021-11-15
Category : Mathematics
ISBN : 9789811247118

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Informal Introduction To Stochastic Calculus With Applications, An (Second Edition) by Ovidiu Calin Pdf

Most branches of science involving random fluctuations can be approached by Stochastic Calculus. These include, but are not limited to, signal processing, noise filtering, stochastic control, optimal stopping, electrical circuits, financial markets, molecular chemistry, population dynamics, etc. All these applications assume a strong mathematical background, which in general takes a long time to develop. Stochastic Calculus is not an easy to grasp theory, and in general, requires acquaintance with the probability, analysis and measure theory.The goal of this book is to present Stochastic Calculus at an introductory level and not at its maximum mathematical detail. The author's goal was to capture as much as possible the spirit of elementary deterministic Calculus, at which students have been already exposed. This assumes a presentation that mimics similar properties of deterministic Calculus, which facilitates understanding of more complicated topics of Stochastic Calculus.The second edition contains several new features that improved the first edition both qualitatively and quantitatively. First, two more chapters have been added, Chapter 12 and Chapter 13, dealing with applications of stochastic processes in Electrochemistry and global optimization methods.This edition contains also a final chapter material containing fully solved review problems and provides solutions, or at least valuable hints, to all proposed problems. The present edition contains a total of about 250 exercises.This edition has also improved presentation from the first edition in several chapters, including new material.

The Financial Mathematics of Market Liquidity

Olivier Gueant
The Financial Mathematics of Market Liquidity Book PDF

Author : Olivier Gueant
Publisher : CRC Press
Page : 302 pages
File Size : 47,5 Mb
Release : 2016-03-30
Category : Business & Economics
ISBN : 9781498725484

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The Financial Mathematics of Market Liquidity by Olivier Gueant Pdf

This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems-inspired from the Almgren-Chriss app