Risk Neutral Pricing And Financial Mathematics

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Risk Neutral Pricing and Financial Mathematics

Peter M. Knopf,John L. Teall
Risk Neutral Pricing and Financial Mathematics Book PDF

Author : Peter M. Knopf,John L. Teall
Publisher : Elsevier
Page : 348 pages
File Size : 53,8 Mb
Release : 2015-07-29
Category : Business & Economics
ISBN : 9780128017272

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Risk Neutral Pricing and Financial Mathematics by Peter M. Knopf,John L. Teall Pdf

Risk Neutral Pricing and Financial Mathematics: A Primer provides a foundation to financial mathematics for those whose undergraduate quantitative preparation does not extend beyond calculus, statistics, and linear math. It covers a broad range of foundation topics related to financial modeling, including probability, discrete and continuous time and space valuation, stochastic processes, equivalent martingales, option pricing, and term structure models, along with related valuation and hedging techniques. The joint effort of two authors with a combined 70 years of academic and practitioner experience, Risk Neutral Pricing and Financial Mathematics takes a reader from learning the basics of beginning probability, with a refresher on differential calculus, all the way to Doob-Meyer, Ito, Girsanov, and SDEs. It can also serve as a useful resource for actuaries preparing for Exams FM and MFE (Society of Actuaries) and Exams 2 and 3F (Casualty Actuarial Society). Includes more subjects than other books, including probability, discrete and continuous time and space valuation, stochastic processes, equivalent martingales, option pricing, term structure models, valuation, and hedging techniques Emphasizes introductory financial engineering, financial modeling, and financial mathematics Suited for corporate training programs and professional association certification programs

Risk-Neutral Valuation

Nicholas H. Bingham,Rüdiger Kiesel
Risk Neutral Valuation Book PDF

Author : Nicholas H. Bingham,Rüdiger Kiesel
Publisher : Springer Science & Business Media
Page : 447 pages
File Size : 40,6 Mb
Release : 2013-06-29
Category : Mathematics
ISBN : 9781447138563

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Risk-Neutral Valuation by Nicholas H. Bingham,Rüdiger Kiesel Pdf

This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives. On the probabilistic side, both discrete- and continuous-time stochastic processes are treated, with special emphasis on martingale theory, stochastic integration and change-of-measure techniques. Based on firm probabilistic foundations, general properties of discrete- and continuous-time financial market models are discussed.

Risk-neutral Valuation

N. H. Bingham,Rüdiger Kiesel
Risk neutral Valuation Book PDF

Author : N. H. Bingham,Rüdiger Kiesel
Publisher : Springer Verlag
Page : 296 pages
File Size : 45,9 Mb
Release : 1998
Category : Mathematics
ISBN : 1852330015

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Risk-neutral Valuation by N. H. Bingham,Rüdiger Kiesel Pdf

With a simple approach accessible to a wide audience, this book aims for the heart of mathematical finance: the fundamental formula of arbitrage pricing theory. This method of pricing discounts everything and takes expected values under the equivalent martingale measure. The authors approach is simple and excludes unnecessary proofs of measure-theoretic probability, instead, it favors techniques and examples of proven interest to financial practitioners.

Stochastic Calculus for Finance I

Steven Shreve
Stochastic Calculus for Finance I Book PDF

Author : Steven Shreve
Publisher : Springer Science & Business Media
Page : 212 pages
File Size : 51,6 Mb
Release : 2005-06-28
Category : Mathematics
ISBN : 0387249680

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Stochastic Calculus for Finance I by Steven Shreve Pdf

Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance

A Benchmark Approach to Quantitative Finance

Eckhard Platen,David Heath
A Benchmark Approach to Quantitative Finance Book PDF

Author : Eckhard Platen,David Heath
Publisher : Springer Science & Business Media
Page : 704 pages
File Size : 46,9 Mb
Release : 2006-10-28
Category : Business & Economics
ISBN : 9783540478560

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A Benchmark Approach to Quantitative Finance by Eckhard Platen,David Heath Pdf

A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. This book presents the necessary mathematical tools, followed by a thorough introduction to financial modeling under the benchmark approach, explaining various quantitative methods for the fair pricing and hedging of derivatives.

An Elementary Introduction to Mathematical Finance

Sheldon M. Ross
An Elementary Introduction to Mathematical Finance Book PDF

Author : Sheldon M. Ross
Publisher : Cambridge University Press
Page : 278 pages
File Size : 50,7 Mb
Release : 2003
Category : Business & Economics
ISBN : 0521814294

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An Elementary Introduction to Mathematical Finance by Sheldon M. Ross Pdf

Table of contents

Introductory Course on Financial Mathematics

M V Tretyakov
Introductory Course on Financial Mathematics Book PDF

Author : M V Tretyakov
Publisher : World Scientific Publishing Company
Page : 276 pages
File Size : 52,6 Mb
Release : 2013-07-23
Category : Mathematics
ISBN : 9781908977403

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Introductory Course on Financial Mathematics by M V Tretyakov Pdf

This book is an elementary introduction to the basic concepts of financial mathematics with a central focus on discrete models and an aim to demonstrate simple, but widely used, financial derivatives for managing market risks. Only a basic knowledge of probability, real analysis, ordinary differential equations, linear algebra and some common sense are required to understand the concepts considered in this book. Financial mathematics is an application of advanced mathematical and statistical methods to financial management and markets, with a main objective of quantifying and hedging risks. Since the book aims to present the basics of financial mathematics to the reader, only essential elements of probability and stochastic analysis are given to explain ideas concerning derivative pricing and hedging. To keep the reader intrigued and motivated, the book has a ‘sandwich’ structure: probability and stochastics are given in situ where mathematics can be readily illustrated by application to finance. The first part of the book introduces one of the main principles in finance — ‘no arbitrage pricing’. It also introduces main financial instruments such as forward and futures contracts, bonds and swaps, and options. The second part deals with pricing and hedging of European- and American-type options in the discrete-time setting. In addition, the concept of complete and incomplete markets is discussed. Elementary probability is briefly revised and discrete-time discrete-space stochastic processes used in financial modelling are considered. The third part introduces the Wiener process, Ito integrals and stochastic differential equations, but its main focus is the famous Black–Scholes formula for pricing European options. Some guidance for further study within this exciting and rapidly changing field is given in the concluding chapter. There are approximately 100 exercises interspersed throughout the book, and solutions for most problems are provided in the appendices.

Financial Mathematics

Giuseppe Campolieti,Roman N. Makarov
Financial Mathematics Book PDF

Author : Giuseppe Campolieti,Roman N. Makarov
Publisher : CRC Press
Page : 511 pages
File Size : 45,6 Mb
Release : 2022-12-21
Category : Business & Economics
ISBN : 9780429889103

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Financial Mathematics by Giuseppe Campolieti,Roman N. Makarov Pdf

The book has been tested and refined through years of classroom teaching experience. With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way. This textbook provides complete coverage of continuous-time financial models that form the cornerstones of financial derivative pricing theory. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. Key features: In-depth coverage of continuous-time theory and methodology Numerous, fully worked out examples and exercises in every chapter Mathematically rigorous and consistent, yet bridging various basic and more advanced concepts Judicious balance of financial theory and mathematical methods Guide to Material This revision contains: Almost 150 pages worth of new material in all chapters A appendix on probability theory An expanded set of solved problems and additional exercises Answers to all exercises This book is a comprehensive, self-contained, and unified treatment of the main theory and application of mathematical methods behind modern-day financial mathematics. The text complements Financial Mathematics: A Comprehensive Treatment in Discrete Time, by the same authors, also published by CRC Press.

Financial Mathematics, Derivatives and Structured Products

Raymond H. Chan,Yves ZY. Guo,Spike T. Lee,Xun Li
Financial Mathematics Derivatives and Structured Products Book PDF

Author : Raymond H. Chan,Yves ZY. Guo,Spike T. Lee,Xun Li
Publisher : Springer
Page : 395 pages
File Size : 53,7 Mb
Release : 2019-02-27
Category : Mathematics
ISBN : 9789811336966

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Financial Mathematics, Derivatives and Structured Products by Raymond H. Chan,Yves ZY. Guo,Spike T. Lee,Xun Li Pdf

This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales or risk managers. As the book seeks to unify the derivatives modelling and the financial engineering practice in the market, it will be of interest to financial practitioners and academic researchers alike. Further, it takes a different route from the existing financial mathematics books, and will appeal to students and practitioners with or without a scientific background. The book can also be used as a textbook for the following courses: • Financial Mathematics (undergraduate level) • Stochastic Modelling in Finance (postgraduate level) • Financial Markets and Derivatives (undergraduate level) • Structured Products and Solutions (undergraduate/postgraduate level)

Stochastic Calculus for Finance II

Steven Shreve
Stochastic Calculus for Finance II Book PDF

Author : Steven Shreve
Publisher : Springer
Page : 0 pages
File Size : 55,6 Mb
Release : 2010-12-13
Category : Mathematics
ISBN : 0387401016

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Stochastic Calculus for Finance II by Steven Shreve Pdf

"A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. In summary, this is a well-written text that treats the key classical models of finance through an applied probability approach....It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance." --SIAM

Introduction to Financial Mathematics

Donald R. Chambers,Qin Lu
Introduction to Financial Mathematics Book PDF

Author : Donald R. Chambers,Qin Lu
Publisher : CRC Press
Page : 581 pages
File Size : 43,6 Mb
Release : 2021-06-16
Category : Computers
ISBN : 9781000370126

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Introduction to Financial Mathematics by Donald R. Chambers,Qin Lu Pdf

This book’s primary objective is to educate aspiring finance professionals about mathematics and computation in the context of financial derivatives. The authors offer a balance of traditional coverage and technology to fill the void between highly mathematical books and broad finance books. The focus of this book is twofold: To partner mathematics with corresponding intuition rather than diving so deeply into the mathematics that the material is inaccessible to many readers. To build reader intuition, understanding and confidence through three types of computer applications that help the reader understand the mathematics of the models. Unlike many books on financial derivatives requiring stochastic calculus, this book presents the fundamental theories based on only undergraduate probability knowledge. A key feature of this book is its focus on applying models in three programming languages –R, Mathematica and EXCEL. Each of the three approaches offers unique advantages. The computer applications are carefully introduced and require little prior programming background. The financial derivative models that are included in this book are virtually identical to those covered in the top financial professional certificate programs in finance. The overlap of financial models between these programs and this book is broad and deep.

Financial Calculus

Martin Baxter,Andrew Rennie
Financial Calculus Book PDF

Author : Martin Baxter,Andrew Rennie
Publisher : Cambridge University Press
Page : 252 pages
File Size : 47,7 Mb
Release : 1996-09-19
Category : Business & Economics
ISBN : 0521552893

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Financial Calculus by Martin Baxter,Andrew Rennie Pdf

A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.

Advanced Asset Pricing Theory

Chenghu Ma
Advanced Asset Pricing Theory Book PDF

Author : Chenghu Ma
Publisher : World Scientific
Page : 818 pages
File Size : 55,7 Mb
Release : 2011
Category : Business & Economics
ISBN : 9781848166325

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Advanced Asset Pricing Theory by Chenghu Ma Pdf

This book provides a broad introduction to modern asset pricing theory. The theory is self-contained and unified in presentation. Both the no-arbitrage and the general equilibrium approaches of asset pricing theory are treated coherently within the general equilibrium framework. It fills a gap in the body of literature on asset pricing for being both advanced and comprehensive. The absence of arbitrage opportunities represents a necessary condition for equilibrium in the financial markets. However, the absence of arbitrage is not a sufficient condition for establishing equilibrium. These interrelationships are overlooked by the proponents of the no-arbitrage approach to asset pricing.This book also tackles recent advancement on inversion problems raised in asset pricing theory, which include the information role of financial options and the information content of term structure of interest rates and interest rates contingent claims.The inclusion of the proofs and derivations to enhance the transparency of the underlying arguments and conditions for the validity of the economic theory made it an ideal advanced textbook or reference book for graduate students specializing in financial economics and quantitative finance. The detailed explanations will capture the interest of the curious reader, and it is complete enough to provide the necessary background material needed to delve deeper into the subject and explore the research literature.Postgraduate students in economics with a good grasp of calculus, linear algebra, and probability and statistics will find themselves ready to tackle topics covered in this book. They will certainly benefit from the mathematical coverage in stochastic processes and stochastic differential equation with applications in finance. Postgraduate students in financial mathematics and financial engineering will also benefit, not only from the mathematical tools introduced in this book, but also from the economic ideas underpinning the economic modeling of financial markets.Both these groups of postgraduate students will learn the economic issues involved in financial modeling. The book can be used as an advanced text for Masters and PhD students in all subjects of financial economics, financial mathematics, mathematical finance, and financial engineering. It is also an ideal reference for practitioners and researchers in the subjects.

Actuarial Finance

Mathieu Boudreault,Jean-François Renaud
Actuarial Finance Book PDF

Author : Mathieu Boudreault,Jean-François Renaud
Publisher : John Wiley & Sons
Page : 597 pages
File Size : 53,6 Mb
Release : 2019-04-09
Category : Mathematics
ISBN : 9781119137009

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Actuarial Finance by Mathieu Boudreault,Jean-François Renaud Pdf

A new textbook offering a comprehensive introduction to models and techniques for the emerging field of actuarial Finance Drs. Boudreault and Renaud answer the need for a clear, application-oriented guide to the growing field of actuarial finance with this volume, which focuses on the mathematical models and techniques used in actuarial finance for the pricing and hedging of actuarial liabilities exposed to financial markets and other contingencies. With roots in modern financial mathematics, actuarial finance presents unique challenges due to the long-term nature of insurance liabilities, the presence of mortality or other contingencies and the structure and regulations of the insurance and pension markets. Motivated, designed and written for and by actuaries, this book puts actuarial applications at the forefront in addition to balancing mathematics and finance at an adequate level to actuarial undergraduates. While the classical theory of financial mathematics is discussed, the authors provide a thorough grounding in such crucial topics as recognizing embedded options in actuarial liabilities, adequately quantifying and pricing liabilities, and using derivatives and other assets to manage actuarial and financial risks. Actuarial applications are emphasized and illustrated with about 300 examples and 200 exercises. The book also comprises end-of-chapter point-form summaries to help the reader review the most important concepts. Additional topics and features include: Compares pricing in insurance and financial markets Discusses event-triggered derivatives such as weather, catastrophe and longevity derivatives and how they can be used for risk management; Introduces equity-linked insurance and annuities (EIAs, VAs), relates them to common derivatives and how to manage mortality for these products Introduces pricing and replication in incomplete markets and analyze the impact of market incompleteness on insurance and risk management; Presents immunization techniques alongside Greeks-based hedging; Covers in detail how to delta-gamma/rho/vega hedge a liability and how to rebalance periodically a hedging portfolio. This text will prove itself a firm foundation for undergraduate courses in financial mathematics or economics, actuarial mathematics or derivative markets. It is also highly applicable to current and future actuaries preparing for the exams or actuary professionals looking for a valuable addition to their reference shelf. As of 2019, the book covers significant parts of the Society of Actuaries’ Exams FM, IFM and QFI Core, and the Casualty Actuarial Society’s Exams 2 and 3F. It is assumed the reader has basic skills in calculus (differentiation and integration of functions), probability (at the level of the Society of Actuaries’ Exam P), interest theory (time value of money) and, ideally, a basic understanding of elementary stochastic processes such as random walks.

Financial Mathematics

Giuseppe Campolieti,Roman N. Makarov
Financial Mathematics Book PDF

Author : Giuseppe Campolieti,Roman N. Makarov
Publisher : CRC Press
Page : 589 pages
File Size : 50,9 Mb
Release : 2021-07-08
Category : Business & Economics
ISBN : 9780429994586

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Financial Mathematics by Giuseppe Campolieti,Roman N. Makarov Pdf

The book has been tested and refined through years of classroom teaching experience. With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way. This textbook provides complete coverage of discrete-time financial models that form the cornerstones of financial derivative pricing theory. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. Key features: In-depth coverage of discrete-time theory and methodology. Numerous, fully worked out examples and exercises in every chapter. Mathematically rigorous and consistent yet bridging various basic and more advanced concepts. Judicious balance of financial theory, mathematical, and computational methods. Guide to Material. This revision contains: Almost 200 pages worth of new material in all chapters. A new chapter on elementary probability theory. An expanded the set of solved problems and additional exercises. Answers to all exercises. This book is a comprehensive, self-contained, and unified treatment of the main theory and application of mathematical methods behind modern-day financial mathematics. Table of Contents List of Figures and Tables Preface I Introduction to Pricing and Management of Financial Securities 1 Mathematics of Compounding 2 Primer on Pricing Risky Securities 3 Portfolio Management 4 Primer on Derivative Securities II Discrete-Time Modelling 5 Single-Period Arrow–Debreu Models 6 Introduction to Discrete-Time Stochastic Calculus 7 Replication and Pricing in the Binomial Tree Model 8 General Multi-Asset Multi-Period Model Appendices A Elementary Probability Theory B Glossary of Symbols and Abbreviations C Answers and Hints to Exercises References Index Biographies Giuseppe Campolieti is Professor of Mathematics at Wilfrid Laurier University in Waterloo, Canada. He has been Natural Sciences and Engineering Research Council postdoctoral research fellow and university research fellow at the University of Toronto. In 1998, he joined the Masters in Mathematical Finance as an instructor and later as an adjunct professor in financial mathematics until 2002. Dr. Campolieti also founded a financial software and consulting company in 1998. He joined Laurier in 2002 as Associate Professor of Mathematics and as SHARCNET Chair in Financial Mathematics. Roman N. Makarov is Associate Professor and Chair of Mathematics at Wilfrid Laurier University. Prior to joining Laurier in 2003, he was an Assistant Professor of Mathematics at Siberian State University of Telecommunications and Informatics and a senior research fellow at the Laboratory of Monte Carlo Methods at the Institute of Computational Mathematics and Mathematical Geophysics in Novosibirsk, Russia.