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Deterministic And Stochastic Topics In Computational Finance
Af: Ovidiu Calin Engelsk Paperback
SPAR
kr 118
Deterministic And Stochastic Topics In Computational Finance
Af: Ovidiu Calin Engelsk Paperback

What distinguishes this book from other texts on mathematical finance is the use of both probabilistic and PDEs tools to price derivatives for both constant and stochastic volatility models, by which the reader has the advantage of computing explicitly a large number of prices for European, American and Asian derivatives.

The book presents continuous time models for financial markets, starting from classical models such as Black–Scholes and evolving towards the most popular models today such as Heston and VAR.

A key feature of the textbook is the large number of exercises, mostly solved, which are designed to help the reader to understand the material.

The book is based on the author's lectures on topics on computational finance for senior and graduate students, delivered in USA (Princeton University and EMU), Taiwan and Kuwait. The prerequisites are an introductory course in stochastic calculus, as well as the usual calculus sequence.

The book is addressed to undergraduate and graduate students in Masters of Finance programs as well as to those who wish to become more efficient in their practical applications.

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What distinguishes this book from other texts on mathematical finance is the use of both probabilistic and PDEs tools to price derivatives for both constant and stochastic volatility models, by which the reader has the advantage of computing explicitly a large number of prices for European, American and Asian derivatives.

The book presents continuous time models for financial markets, starting from classical models such as Black–Scholes and evolving towards the most popular models today such as Heston and VAR.

A key feature of the textbook is the large number of exercises, mostly solved, which are designed to help the reader to understand the material.

The book is based on the author's lectures on topics on computational finance for senior and graduate students, delivered in USA (Princeton University and EMU), Taiwan and Kuwait. The prerequisites are an introductory course in stochastic calculus, as well as the usual calculus sequence.

The book is addressed to undergraduate and graduate students in Masters of Finance programs as well as to those who wish to become more efficient in their practical applications.

Se mere i:
Produktdetaljer
Sprog: Engelsk
Sider: 484
ISBN-13: 9789813203082
Indbinding: Paperback
Udgave:
ISBN-10: 9813203080
Kategori: Finans
Udg. Dato: 24 jan 2017
Længde: 0mm
Bredde: 0mm
Højde: 0mm
Oplagsdato: 24 jan 2017
Forfatter(e): Ovidiu Calin
Forfatter(e) Ovidiu Calin


Kategori Finans


Sprog Engelsk


Indbinding Paperback


Sider 484


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