Probability And Finance
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Probability And Finance
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Author : Glenn Shafer
language : en
Publisher: John Wiley & Sons
Release Date : 2005-02-25
Probability And Finance written by Glenn Shafer 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 2005-02-25 with Business & Economics categories.
Provides a foundation for probability based on game theory rather than measure theory. A strong philosophical approach with practical applications. Presents in-depth coverage of classical probability theory as well as new theory.
Probability For Finance
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Author : Jan Malczak
language : en
Publisher: Cambridge University Press
Release Date : 2014
Probability For Finance written by Jan Malczak 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 2014 with Business & Economics categories.
A rigorous, unfussy introduction to modern probability theory that focuses squarely on applications in finance.
Probability And Statistics For Finance
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Author : Svetlozar T. Rachev
language : en
Publisher: John Wiley & Sons
Release Date : 2010-07-30
Probability And Statistics For Finance written by Svetlozar T. Rachev 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 2010-07-30 with Business & Economics categories.
A comprehensive look at how probability and statistics is applied to the investment process Finance has become increasingly more quantitative, drawing on techniques in probability and statistics that many finance practitioners have not had exposure to before. In order to keep up, you need a firm understanding of this discipline. Probability and Statistics for Finance addresses this issue by showing you how to apply quantitative methods to portfolios, and in all matter of your practices, in a clear, concise manner. Informative and accessible, this guide starts off with the basics and builds to an intermediate level of mastery. • Outlines an array of topics in probability and statistics and how to apply them in the world of finance • Includes detailed discussions of descriptive statistics, basic probability theory, inductive statistics, and multivariate analysis • Offers real-world illustrations of the issues addressed throughout the text The authors cover a wide range of topics in this book, which can be used by all finance professionals as well as students aspiring to enter the field of finance.
Probability And Finance Theory
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Author : Kian Guan Lim
language : en
Publisher: World Scientific Publishing Company
Release Date : 2011-05-26
Probability And Finance Theory written by Kian Guan Lim 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 2011-05-26 with Business & Economics categories.
This book provides a basic grounding in the use of probability to model random financial phenomena of uncertainty, and is targeted at an advanced undergraduate and graduate level. It should appeal to finance students looking for a firm theoretical guide to the deep end of derivatives and investments. Bankers and finance professionals in the fields of investments, derivatives, and risk management should also find the book useful in bringing probability and finance together.The book contains applications of both discrete time theory and continuous time mathematics, and is extensive in scope. Distribution theory, conditional probability, and conditional expectation are covered comprehensively, and applications to modeling state space securities under market equilibrium are made. Martingale is studied, leading to consideration of equivalent martingale measures, fundamental theorems of asset pricing, change of numeraire and discounting, risk-adjusted and forward-neutral measures, minimal and maximal prices of contingent claims, Markovian models, and the existence of martingale measures preserving the Markov property. Discrete stochastic calculus and multiperiod models leading to no-arbitrage pricing of contingent claims are also to be found in this book, as well as the theory of Markov Chains and appropriate applications in credit modeling. Measure-theoretic probability, moments, characteristic functions, inequalities, and central limit theorems are examined. The theory of risk aversion and utility, and ideas of risk premia are considered. Other application topics include optimal consumption and investment problems and interest rate theory.
Measure Probability And Mathematical Finance
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Author : Guojun Gan
language : en
Publisher: John Wiley & Sons
Release Date : 2014-04-07
Measure Probability And Mathematical Finance written by Guojun Gan 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 2014-04-07 with Mathematics categories.
An introduction to the mathematical theory and financial models developed and used on Wall Street Providing both a theoretical and practical approach to the underlying mathematical theory behind financial models, Measure, Probability, and Mathematical Finance: A Problem-Oriented Approach presents important concepts and results in measure theory, probability theory, stochastic processes, and stochastic calculus. Measure theory is indispensable to the rigorous development of probability theory and is also necessary to properly address martingale measures, the change of numeraire theory, and LIBOR market models. In addition, probability theory is presented to facilitate the development of stochastic processes, including martingales and Brownian motions, while stochastic processes and stochastic calculus are discussed to model asset prices and develop derivative pricing models. The authors promote a problem-solving approach when applying mathematics in real-world situations, and readers are encouraged to address theorems and problems with mathematical rigor. In addition, Measure, Probability, and Mathematical Finance features: A comprehensive list of concepts and theorems from measure theory, probability theory, stochastic processes, and stochastic calculus Over 500 problems with hints and select solutions to reinforce basic concepts and important theorems Classic derivative pricing models in mathematical finance that have been developed and published since the seminal work of Black and Scholes Measure, Probability, and Mathematical Finance: A Problem-Oriented Approach is an ideal textbook for introductory quantitative courses in business, economics, and mathematical finance at the upper-undergraduate and graduate levels. The book is also a useful reference for readers who need to build their mathematical skills in order to better understand the mathematical theory of derivative pricing models.
Numerical Probability
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Author : Gilles Pagès
language : en
Publisher: Springer
Release Date : 2018-07-31
Numerical Probability written by Gilles Pagès and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-31 with Mathematics categories.
This textbook provides a self-contained introduction to numerical methods in probability with a focus on applications to finance. Topics covered include the Monte Carlo simulation (including simulation of random variables, variance reduction, quasi-Monte Carlo simulation, and more recent developments such as the multilevel paradigm), stochastic optimization and approximation, discretization schemes of stochastic differential equations, as well as optimal quantization methods. The author further presents detailed applications to numerical aspects of pricing and hedging of financial derivatives, risk measures (such as value-at-risk and conditional value-at-risk), implicitation of parameters, and calibration. Aimed at graduate students and advanced undergraduate students, this book contains useful examples and over 150 exercises, making it suitable for self-study.
Probability Theory In Finance
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Author : Seán Dineen
language : en
Publisher: American Mathematical Soc.
Release Date : 2013-05-22
Probability Theory In Finance written by Seán Dineen and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-22 with Mathematics categories.
The use of the Black-Scholes model and formula is pervasive in financial markets. There are very few undergraduate textbooks available on the subject and, until now, almost none written by mathematicians. Based on a course given by the author, the goal of
Mathematical Finance And Probability
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Author : Pablo Koch Medina
language : en
Publisher: Birkhäuser
Release Date : 2012-12-06
Mathematical Finance And Probability written by Pablo Koch Medina and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
On what grounds can one reasonably expect that a complex financial contract solving a complex real-world issue does not deserve the same thorough scientific treatment as an aeroplane wing or a micro-proces sor? Only ignorance would suggest such an idea. E. Briys and F. De Varenne The objective of this book is to give a self-contained presentation of that part of mathematical finance devoted to the pricing of derivative instruments. During the past two decades the pricing of financial derivatives - or more generally: mathematical finance - has steadily won in importance both within the financial services industry and within the academic world. The complexity of the mathemat ics needed to master derivatives techniques naturally resulted in a high demand for quantitatively oriented professionals (mostly mathematicians and physicists) in the banking and insurance world. This in turn triggered a demand for university courses on the relevant topics and at the same time confronted the mathematical community with an interesting field of application for many techniques that had originally been developed for other purposes. Most probably this development was accelerated by an ever more applied orientation of the mathematics curriculum and the fact that finance institutions were often willing to generously support research in this field.
Elementary Probability Theory
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Author : K. L. Chung
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-07-14
Elementary Probability Theory written by K. L. Chung 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 2006-07-14 with Mathematics categories.
This book provides an introduction to probability theory and its applications. The emphasis is on essential probabilistic reasoning, which is illustrated with a large number of samples. The fourth edition adds material related to mathematical finance as well as expansions on stable laws and martingales. From the reviews: "Almost thirty years after its first edition, this charming book continues to be an excellent text for teaching and for self study." -- STATISTICAL PAPERS
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.