DETERMINISTIC AND STOCHASTIC TOPICS IN COMPUTATIONAL FINANCE
Ovidiu Calin
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DETERMINISTIC AND STOCHASTIC TOPICS IN COMPUTATIONAL FINANCE

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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...