Lectures On Mathematical Finance And Related Topics
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Lectures On Mathematical Finance And Related Topics
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Author : Yuri Kifer
language : en
Publisher: World Scientific
Release Date : 2019-12-19
Lectures On Mathematical Finance And Related Topics written by Yuri Kifer and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-12-19 with Business & Economics categories.
Rigorous mathematical finance relies strongly on two additional fields: optimal stopping and stochastic analysis. This book is the first one which presents not only main results in the mathematical finance but also these 'related topics' with all proofs and in a self-contained form. The book treats both discrete and continuous time mathematical finance. Some topics, such as Israeli (game) contingent claims, and several proofs have not appeared before in a self-contained book form. The book contains exercises with solutions at the end of it and it can be used for a yearlong advanced graduate course for mathematical students.
Paris Princeton Lectures On Mathematical Finance 2002
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Author : Peter Bank
language : en
Publisher: Springer
Release Date : 2003-12-10
Paris Princeton Lectures On Mathematical Finance 2002 written by Peter Bank and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-12-10 with Mathematics categories.
The Paris-Princeton Lectures in Financial Mathematics, of which this is the first volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is to produce a series of articles that can serve as an introductory reference for research in the field. It arises as a result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with articles by P. Bank/H. Föllmer, F. Baudoin, L.C.G. Rogers, and M. Soner/N. Touzi.
Paris Princeton Lectures On Mathematical Finance 2004
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Author : René Carmona
language : en
Publisher: Springer
Release Date : 2007-08-10
Paris Princeton Lectures On Mathematical Finance 2004 written by René Carmona and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-08-10 with Mathematics categories.
This is the third volume in the Paris-Princeton Lectures in Financial Mathematics, which publishes, on an annual basis, cutting-edge research in self-contained, expository articles from outstanding specialists, both established and upcoming. Coverage includes articles by René Carmona, Ivar Ekeland/Erik Taflin, Arturo Kohatsu-Higa, Pierre-Louis Lions/Jean-Michel Lasry, and Huyên Pham.
Paris Princeton Lectures On Mathematical Finance 2013
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Author : Fred Espen Benth
language : en
Publisher: Springer
Release Date : 2013-07-11
Paris Princeton Lectures On Mathematical Finance 2013 written by Fred Espen Benth and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-07-11 with Mathematics categories.
The current volume presents four chapters touching on some of the most important and modern areas of research in Mathematical Finance: asset price bubbles (by Philip Protter); energy markets (by Fred Espen Benth); investment under transaction costs (by Paolo Guasoni and Johannes Muhle-Karbe); and numerical methods for solving stochastic equations (by Dan Crisan, K. Manolarakis and C. Nee).The Paris-Princeton Lecture Notes on Mathematical Finance, of which this is the fifth volume, publish cutting-edge research in self-contained, expository articles from renowned specialists. The aim is to produce a series of articles that can serve as an introductory reference source for research in the field.
Statistics Of Financial Markets
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Author : Jürgen Franke
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-01-08
Statistics Of Financial Markets written by Jürgen Franke 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 2008-01-08 with Business & Economics categories.
Readers will find that, refreshingly, this text presents in a vivid yet concise style the necessary statistical and mathematical background for financial engineers. The focus is both on fundamentals of mathematical finance and financial time series analysis and on applications to given problems of financial markets, making the book the ideal basis for lectures, seminars and crash courses on the topic. For the second edition the book has been updated and extensively revised. Several new topics have been included, such as a chapter on credit risk management.
Stochastic Calculus For Finance
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Author : Marek Capiński
language : en
Publisher: Cambridge University Press
Release Date : 2012-08-23
Stochastic Calculus For Finance written by Marek Capiński and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-23 with Business & Economics categories.
This book focuses specifically on the key results in stochastic processes that have become essential for finance practitioners to understand. The authors study the Wiener process and Itô integrals in some detail, with a focus on results needed for the Black–Scholes option pricing model. After developing the required martingale properties of this process, the construction of the integral and the Itô formula (proved in detail) become the centrepiece, both for theory and applications, and to provide concrete examples of stochastic differential equations used in finance. Finally, proofs of the existence, uniqueness and the Markov property of solutions of (general) stochastic equations complete the book. Using careful exposition and detailed proofs, this book is a far more accessible introduction to Itô calculus than most texts. Students, practitioners and researchers will benefit from its rigorous, but unfussy, approach to technical issues. Solutions to the exercises are available online.
Stochastic Calculus Of Variations In Mathematical Finance
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Author : Paul Malliavin
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-02-25
Stochastic Calculus Of Variations In Mathematical Finance written by Paul Malliavin 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 2006-02-25 with Business & Economics categories.
Highly esteemed author Topics covered are relevant and timely
Lectures On Corporate Finance 2nd Edition
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Author : Peter L Bossaerts
language : en
Publisher: World Scientific Publishing Company
Release Date : 2006-10-16
Lectures On Corporate Finance 2nd Edition written by Peter L Bossaerts and has been published by World Scientific Publishing Company this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-10-16 with Business & Economics categories.
This course of lectures introduces students to elementary concepts of corporate finance using a more systematic approach than is generally found in other textbooks.Axioms are first highlighted and the implications of these important concepts are studied afterwards. These implications are used to answer questions about corporate finance, including issues related to derivatives pricing, state-price probabilities, dynamic hedging, dividends, capital structure decisions, and risk and incentive management. Numerical examples are provided, and the mathematics is kept simple throughout.In this second edition, explanations have been improved, based on the authors' experience teaching the material, especially concerning the scope of state-price probabilities in Chapter 12. There is also a new Chapter 22: Fourteen Insights./a
Paris Princeton Lectures On Mathematical Finance 2010
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Author : Areski Cousin
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-06-29
Paris Princeton Lectures On Mathematical Finance 2010 written by Areski Cousin 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 2011-06-29 with Mathematics categories.
The Paris-Princeton Lectures in Financial Mathematics, of which this is the fourth volume, publish cutting-edge research in self-contained, expository articles from outstanding specialists - established or on the rise! The aim is to produce a series of articles that can serve as an introductory reference source for research in the field. The articles are the result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with five articles by: 1. Areski Cousin, Monique Jeanblanc and Jean-Paul Laurent, 2. Stéphane Crépey, 3. Olivier Guéant, Jean-Michel Lasry and Pierre-Louis Lions, 4. David Hobson and 5. Peter Tankov.
Stochastic Finance
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Author : Nicolas Privault
language : en
Publisher: CRC Press
Release Date : 2013-12-20
Stochastic Finance written by Nicolas Privault and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-20 with Business & Economics categories.
Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of finance and stochastic calculus, and builds up to special topics, such as options, derivatives, and credit default and jump processes. It details the techniques required to model the time evolution of risky assets. The book discusses a wide range of classical topics including Black–Scholes pricing, exotic and American options, term structure modeling and change of numéraire, as well as models with jumps. The author takes the approach adopted by mainstream mathematical finance in which the computation of fair prices is based on the absence of arbitrage hypothesis, therefore excluding riskless profit based on arbitrage opportunities and basic (buying low/selling high) trading. With 104 figures and simulations, along with about 20 examples based on actual market data, the book is targeted at the advanced undergraduate and graduate level, either as a course text or for self-study, in applied mathematics, financial engineering, and economics.