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Financial mathematics : a comprehensive treatment / Giuseppe Campolieti, Roman N. Makarov.

By: Contributor(s): Material type: TextTextSeries: Chapman & Hall/CRC financial mathematics seriesPublication details: Boca Raton ; London : CRC Press, 2014Description: xxvi, 805 p. : ill. ; 26 cmContent type:
  • text
Media type:
  • unmediated
Carrier type:
  • volume
ISBN:
  • 9781439892428 (hbk.)
  • 1439892423 (hbk.)
Subject(s): DDC classification:
  • 650.0151 CAM 22
LOC classification:
  • HG106 .C35 2014
Contents:
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.
Summary: 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.
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Holdings
Item type Current library Call number Status Date due Barcode Item holds
Book Book Calcutta 650.0151 CAM (Browse shelf(Opens below)) Available IIMC-141305
Total holds: 0

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.

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