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Stochastic Financial Models
Af: Douglas Kennedy Engelsk Paperback
SPAR
kr 103
Stochastic Financial Models
Af: Douglas Kennedy Engelsk Paperback

Filling the void between surveys of the field with relatively light mathematical content and books with a rigorous, formal approach to stochastic integration and probabilistic ideas, Stochastic Financial Models provides a sound introduction to mathematical finance. The author takes a classical applied mathematical approach, focusing on calculations rather than seeking the greatest generality.

Developed from the esteemed author’s advanced undergraduate and graduate courses at the University of Cambridge, the text begins with the classical topics of utility and the mean-variance approach to portfolio choice. The remainder of the book deals with derivative pricing. The author fully explains the binomial model since it is central to understanding the pricing of derivatives by self-financing hedging portfolios. He then discusses the general discrete-time model, Brownian motion and the Black–Scholes model. The book concludes with a look at various interest-rate models. Concepts from measure-theoretic probability and solutions to the end-of-chapter exercises are provided in the appendices.

By exploring the important and exciting application area of mathematical finance, this text encourages students to learn more about probability, martingales and stochastic integration. It shows how mathematical concepts, such as the Black–Scholes and Gaussian random-field models, are used in financial situations.

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Filling the void between surveys of the field with relatively light mathematical content and books with a rigorous, formal approach to stochastic integration and probabilistic ideas, Stochastic Financial Models provides a sound introduction to mathematical finance. The author takes a classical applied mathematical approach, focusing on calculations rather than seeking the greatest generality.

Developed from the esteemed author’s advanced undergraduate and graduate courses at the University of Cambridge, the text begins with the classical topics of utility and the mean-variance approach to portfolio choice. The remainder of the book deals with derivative pricing. The author fully explains the binomial model since it is central to understanding the pricing of derivatives by self-financing hedging portfolios. He then discusses the general discrete-time model, Brownian motion and the Black–Scholes model. The book concludes with a look at various interest-rate models. Concepts from measure-theoretic probability and solutions to the end-of-chapter exercises are provided in the appendices.

By exploring the important and exciting application area of mathematical finance, this text encourages students to learn more about probability, martingales and stochastic integration. It shows how mathematical concepts, such as the Black–Scholes and Gaussian random-field models, are used in financial situations.

Produktdetaljer
Sprog: Engelsk
Sider: 264
ISBN-13: 9781138381452
Indbinding: Paperback
Udgave:
ISBN-10: 1138381454
Kategori: Finans
Udg. Dato: 10 sep 2018
Længde: 0mm
Bredde: 234mm
Højde: 156mm
Oplagsdato: 10 sep 2018
Forfatter(e): Douglas Kennedy
Forfatter(e) Douglas Kennedy


Kategori Finans


Sprog Engelsk


Indbinding Paperback


Sider 264


Udgave


Længde 0mm


Bredde 234mm


Højde 156mm


Udg. Dato 10 sep 2018


Oplagsdato 10 sep 2018

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