Giuseppe Campolieti, Roman N. Makarov

Financial Mathematics (eBook, PDF)

A Comprehensive Treatment in Continuous Time Volume II

• Format: PDF

Produktbeschreibung

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.

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Produktdetails

• Verlag: Taylor & Francis
• Seitenzahl: 510
• Erscheinungstermin: 21. Dezember 2022
• Englisch
• ISBN-13: 9780429889103
• Artikelnr.: 66653248

Autorenporträt

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.

Inhaltsangabe

Part I: Stochastic Calculus with Brownian Motion. 1. One-Dimensional
Brownian Motion and Related Processes. 2. Introduction to Continuous-Time
Stochastic Calculus. Part II Continuous-Time Modelling. 3. Risk-Neutral
Pricing in the (B; S) Economy: One Underlying Stock. 4. Risk-Neutral
Pricing in a Multi-Asset Economy. 5. American Options. 6. Interest-Rate
Modelling and Derivative Pricing. 7. Alternative Models of Asset Price
Dynamics. A. Essentials of General Probability Theory. B. Some Useful
Integral (Expectation) Identities and Symmetry Properties of Normal Random
Variables. C. Answers and Hints to Exercises. D. Glossary of Symbols and
Abbreviations. Greek Alphabet. References. Index.