Emanuela Rosazza Gianin, Carlo Sgarra

Mathematical Finance: Theory Review and Exercises

From Binomial Model to Risk Measures

• Broschiertes Buch

Produktbeschreibung

The book collects over 120 exercises on different subjects of Mathematical Finance, including Option Pricing, Risk Theory, and Interest Rate Models. Many of the exercises are solved, while others are only proposed. Every chapter contains an introductory section illustrating the main theoretical results necessary to solve the exercises. The book isintended as an exercise textbook to accompany graduate courses in mathematical finance offered at many universities as part of degree programs in Applied and Industrial Mathematics, Mathematical Engineering, and Quantitative Finance.

Produktdetails

• UNITEXT 70
• Verlag: Springer / Springer International Publishing / Springer, Berlin
• Artikelnr. des Verlages: 86284122, 978-3-319-01356-5
• 2013
• Seitenzahl: 296
• Erscheinungstermin: 10. September 2013
• Englisch
• Abmessung: 235mm x 155mm x 17mm
• Gewicht: 561g
• ISBN-13: 9783319013565
• ISBN-10: 3319013564
• Artikelnr.: 38607982

Autorenporträt

Carlo SGARRA: Associate Professor of Mathematical Finance, Politecnico di Milano, Italia Emanuela ROSAZZA GIANIN: Associate Professor of Statistics and Quantitative Methods, University of Milano-Bicocca, Italia

Inhaltsangabe

1 Short review of Probability and of Stochastic Processes.- 2 Portfolio Optimization in Discrete time Models.- 3 Binomial Model for Option Pricing.- 4 Absence of arbitrage and Completeness of market models.- 5 Itô's Formula and Stochastic Differential Equations.- 6 Partial Differential Equations in Finance.- 7 Black-Scholes model for Option Pricing and Hedging Strategies.- 8 American Options.- 9 Exotic Options.- 10 Interest Rate Models.- 11 Pricing Models beyond Black-Scholes.- 12 Risk Measures: Value at Risk and beyond.

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1 Short review of Probability and of Stochastic Processes.- 2 Portfolio Optimization in Discrete time Models.- 3 Binomial Model for Option Pricing.- 4 Absence of arbitrage and Completeness of market models.- 5 Itô’s Formula and Stochastic Differential Equations.- 6 Partial Differential Equations in Finance.- 7 Black-Scholes model for Option Pricing and Hedging Strategies.- 8 American Options.- 9 Exotic Options.- 10 Interest Rate Models.- 11 Pricing Models beyond Black-Scholes.- 12 Risk Measures: Value at Risk and beyond.

Rezensionen

From the book reviews:

"This work is a very useful companion volume to courses in mathematical finance, and it can also be successfully used for self-study." (László Imre Szabó, Acta Scientiarum Mathematicarum (Szeged), Vol. 80 (1-2), 2014)