Advanced Mathematical Methods For Finance
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Advanced Mathematical Methods For Finance
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Author : Julia Di Nunno
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-03-29
Advanced Mathematical Methods For Finance written by Julia Di Nunno and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-29 with Mathematics categories.
This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.
Advanced Mathematical Methods For Finance
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Author :
language : en
Publisher:
Release Date : 2011
Advanced Mathematical Methods For Finance written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Business mathematics categories.
"The title of this volume 'Advanced Mathematical Methods for Finance, ' AMaMeF for short, originates from the European network of the European Science Foundation with the same name that started its activity in 2005. The goals of its program have been the development and the use of advanced mathematical tools for finance, from theory to practice. This book was born in the same spirit of the program. It presents innovations in the mathematical methods in various research areas representing the broad spectrum of AMaMeF itself. It covers the mathematical foundations of financial analysis, numerical methods, and the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blending of topics gives a large view of the up-to-date frontiers of the mathematics for finance. This volume represents the joint work of European experts in the various fields and linked to the program AMaMeF."--Preface.
Advanced Mathematical Methods For Finance
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Author : Julia Di Nunno
language : en
Publisher: Springer
Release Date : 2011-03-30
Advanced Mathematical Methods For Finance written by Julia Di Nunno and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-30 with Mathematics categories.
This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.
Methods Of Mathematical Finance
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Author : Ioannis Karatzas
language : en
Publisher: Springer
Release Date : 2017-01-10
Methods Of Mathematical Finance written by Ioannis Karatzas and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-10 with Mathematics categories.
This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.
Mathematical Methods For Finance
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Author : Sergio M. Focardi
language : en
Publisher: John Wiley & Sons
Release Date : 2013-09-04
Mathematical Methods For Finance written by Sergio M. Focardi and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-04 with Business & Economics categories.
The mathematical and statistical tools needed in the rapidly growing quantitative finance field With the rapid growth in quantitative finance, practitioners must achieve a high level of proficiency in math and statistics. Mathematical Methods and Statistical Tools for Finance, part of the Frank J. Fabozzi Series, has been created with this in mind. Designed to provide the tools needed to apply finance theory to real world financial markets, this book offers a wealth of insights and guidance in practical applications. It contains applications that are broader in scope from what is covered in a typical book on mathematical techniques. Most books focus almost exclusively on derivatives pricing, the applications in this book cover not only derivatives and asset pricing but also risk management—including credit risk management—and portfolio management. Includes an overview of the essential math and statistical skills required to succeed in quantitative finance Offers the basic mathematical concepts that apply to the field of quantitative finance, from sets and distances to functions and variables The book also includes information on calculus, matrix algebra, differential equations, stochastic integrals, and much more Written by Sergio Focardi, one of the world's leading authors in high-level finance Drawing on the author's perspectives as a practitioner and academic, each chapter of this book offers a solid foundation in the mathematical tools and techniques need to succeed in today's dynamic world of finance.
Mathematical Methods And Quantum Mathematics For Economics And Finance
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Author : Belal Ehsan Baaquie
language : en
Publisher: Springer Nature
Release Date : 2020-08-10
Mathematical Methods And Quantum Mathematics For Economics And Finance written by Belal Ehsan Baaquie and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-08-10 with Business & Economics categories.
Given the rapid pace of development in economics and finance, a concise and up-to-date introduction to mathematical methods has become a prerequisite for all graduate students, even those not specializing in quantitative finance. This book offers an introductory text on mathematical methods for graduate students of economics and finance–and leading to the more advanced subject of quantum mathematics. The content is divided into five major sections: mathematical methods are covered in the first four sections, and can be taught in one semester. The book begins by focusing on the core subjects of linear algebra and calculus, before moving on to the more advanced topics of probability theory and stochastic calculus. Detailed derivations of the Black-Scholes and Merton equations are provided – in order to clarify the mathematical underpinnings of stochastic calculus. Each chapter of the first four sections includes a problem set, chiefly drawn from economics and finance. In turn, section five addresses quantum mathematics. The mathematical topics covered in the first four sections are sufficient for the study of quantum mathematics; Black-Scholes option theory and Merton’s theory of corporate debt are among topics analyzed using quantum mathematics.
Advanced Modelling In Mathematical Finance
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Author : Jan Kallsen
language : en
Publisher: Springer
Release Date : 2016-12-01
Advanced Modelling In Mathematical Finance written by Jan Kallsen and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-12-01 with Mathematics categories.
This Festschrift resulted from a workshop on “Advanced Modelling in Mathematical Finance” held in honour of Ernst Eberlein’s 70th birthday, from 20 to 22 May 2015 in Kiel, Germany. It includes contributions by several invited speakers at the workshop, including several of Ernst Eberlein’s long-standing collaborators and former students. Advanced mathematical techniques play an ever-increasing role in modern quantitative finance. Written by leading experts from academia and financial practice, this book offers state-of-the-art papers on the application of jump processes in mathematical finance, on term-structure modelling, and on statistical aspects of financial modelling. It is aimed at graduate students and researchers interested in mathematical finance, as well as practitioners wishing to learn about the latest developments.
Financial Mathematics
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Author : Giuseppe Campolieti
language : en
Publisher: CRC Press
Release Date : 2022-12-21
Financial Mathematics written by Giuseppe Campolieti and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-12-21 with Business & Economics categories.
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. This textbook provides complete coverage of continuous-time financial models that form the cornerstones of financial derivative pricing theory. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. Key features: In-depth coverage of continuous-time theory and methodology Numerous, fully worked out examples and exercises in every chapter Mathematically rigorous and consistent, yet bridging various basic and more advanced concepts Judicious balance of financial theory and mathematical methods Guide to Material This revision contains: Almost 150 pages worth of new material in all chapters A appendix on probability theory An expanded set of solved problems and additional exercises Answers to all exercises This book is a comprehensive, self-contained, and unified treatment of the main theory and application of mathematical methods behind modern-day financial mathematics. The text complements Financial Mathematics: A Comprehensive Treatment in Discrete Time, by the same authors, also published by CRC Press.
Problems And Solutions In Mathematical Finance
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Author : Eric Chin
language : en
Publisher: John Wiley & Sons
Release Date : 2014-11-20
Problems And Solutions In Mathematical Finance written by Eric Chin and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-20 with Business & Economics categories.
Mathematical finance requires the use of advanced mathematicaltechniques drawn from the theory of probability, stochasticprocesses and stochastic differential equations. These areas aregenerally introduced and developed at an abstract level, making itproblematic when applying these techniques to practical issues infinance. Problems and Solutions in Mathematical Finance Volume I:Stochastic Calculus is the first of a four-volume set ofbooks focusing on problems and solutions in mathematicalfinance. This volume introduces the reader to the basic stochasticcalculus concepts required for the study of this important subject,providing a large number of worked examples which enable the readerto build the necessary foundation for more practical orientatedproblems in the later volumes. Through this application and byworking through the numerous examples, the reader will properlyunderstand and appreciate the fundamentals that underpinmathematical finance. Written mainly for students, industry practitioners and thoseinvolved in teaching in this field of study, StochasticCalculus provides a valuable reference book to complementone’s further understanding of mathematical finance.
Mathematical Modelling And Numerical Methods In Finance
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Author :
language : en
Publisher: Elsevier
Release Date : 2009-06-16
Mathematical Modelling And Numerical Methods In Finance written by and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-16 with Mathematics categories.
Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. Coverage of all aspects of quantitative finance including models, computational methods and applications Provides an overview of new ideas and results Contributors are leaders of the field