Martingale methods in financial modelling / Marek Musiela and Marek Ruthowski
Material type: TextSeries: Stochastic modelling and applied probabilityPublication details: Heidelberg : Springer, 2005Edition: 2nd edDescription: xvi, 636p, 24cmISBN:- 3540209662
- 332.6 MUS
Item type | Current library | Call number | Status | Date due | Barcode | Item holds | |
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Book | Calcutta | 332.6 MUS (Browse shelf(Opens below)) | Available | IIMC-121012 |
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332.6 MON Behavioural investing : | 332.6 MUR The Visual investor : | 332.6 MUR The Visual investor : | 332.6 MUS Martingale methods in financial modelling / | 332.6 OBE Dynamic portfolio theory and management : | 332.6 ORG Capital markets study: | 332.6 PAL Private and public investment analysis / |
Covering both static and dynamic portfolio optimization, Portfolio Optimization and Performance Analysis makes the literature of stochastic optimization applied to mathematical finance accessible to readers. This book contains an overview of active and passive portfolio optimization. With modern risk analysis, it summarizes results of portfolio optimization and shows how theoretical results can be applied to practical and operational portfolio management and optimization. It illustrates the main results through numerical and empirical studies. This text is appropriate for financial engineers, investment professionals, and graduate students and researchers in financial mathematics
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