Financial mathematics :
Campolieti, Giuseppe (Mathematics professor)
Financial mathematics : a comprehensive treatment / Giuseppe Campolieti, Roman N. Makarov. - Boca Raton ; London : CRC Press, 2014 - xxvi, 805 p. : ill. ; 26 cm. - Chapman & Hall/CRC financial mathematics series .
Includes bibliographical references and index.
I. Introduction to pricing and management of financial securites: Mathematics of Compounding -- Primer on Pricing Risky Securities -- Portfolio Management -- Primer on Derivative Securities -- II. Discrete-time modeling: Single-Period Arrow-Debreu Models -- Introduction to Discrete-Time Stochastic Calculus -- Replication and Pricing in the Binomial Tree Model -- General Multi-Asset Multi-Period Model -- III. Continuous-time modeling: Essentials of General Probability Theory -- One-Dimensional Brownian Motion and Related Processes -- Introduction to Continuous-Time Stochastic Calculus -- Risk-Neutral Pricing in the (B, S) Economy: One Underlying Stock -- Risk-Neutral Pricing in a Multi-Asset Economy -- American Options -- Interest-Rate Modelling and Derivative Pricing -- Alternative Models of Asset Price Dynamics -- IV. Computational Techniques -- Introduction to Monte Carlo and Simulation Methods -- Numerical Applications to Derivative Pricing.
This book provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. It encompasses a breadth of topics, from introductory to more advanced ones.
9781439892428 (hbk.) 1439892423 (hbk.)
2014-397342
Finance--Mathematical models.
Business mathematics
HG106 / .C35 2014
650.0151 / CAM
Financial mathematics : a comprehensive treatment / Giuseppe Campolieti, Roman N. Makarov. - Boca Raton ; London : CRC Press, 2014 - xxvi, 805 p. : ill. ; 26 cm. - Chapman & Hall/CRC financial mathematics series .
Includes bibliographical references and index.
I. Introduction to pricing and management of financial securites: Mathematics of Compounding -- Primer on Pricing Risky Securities -- Portfolio Management -- Primer on Derivative Securities -- II. Discrete-time modeling: Single-Period Arrow-Debreu Models -- Introduction to Discrete-Time Stochastic Calculus -- Replication and Pricing in the Binomial Tree Model -- General Multi-Asset Multi-Period Model -- III. Continuous-time modeling: Essentials of General Probability Theory -- One-Dimensional Brownian Motion and Related Processes -- Introduction to Continuous-Time Stochastic Calculus -- Risk-Neutral Pricing in the (B, S) Economy: One Underlying Stock -- Risk-Neutral Pricing in a Multi-Asset Economy -- American Options -- Interest-Rate Modelling and Derivative Pricing -- Alternative Models of Asset Price Dynamics -- IV. Computational Techniques -- Introduction to Monte Carlo and Simulation Methods -- Numerical Applications to Derivative Pricing.
This book provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. It encompasses a breadth of topics, from introductory to more advanced ones.
9781439892428 (hbk.) 1439892423 (hbk.)
2014-397342
Finance--Mathematical models.
Business mathematics
HG106 / .C35 2014
650.0151 / CAM