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 Online-Ressource
Verfasst von:Mariani, Maria C. [VerfasserIn]   i
 Florescu, Ionuţ [VerfasserIn]   i
Titel:Quantitative finance
Verf.angabe:Maria C. Mariani, University of Texas at El Paso, Texas, United States, Ionut Florescu, Stevens Intistute of Technology, Hoboken, United States
Verlagsort:Hoboken, NJ
Verlag:Wiley
Jahr:2020
Umfang:1 online resource (xvii, 470 pages)
Fussnoten:Includes bibliographical references and index. - Online resource; title from digital title page (viewed on January 02, 2020)
ISBN:978-1-118-62996-3
 1-118-62996-5
 978-1-118-63000-6
 1-118-63000-9
 978-1-118-62988-8
 1-118-62988-4
 978-1-118-62995-6
Abstract:"This book falls broadly in the area of financial mathematics. It presents a multitude of topics that are relevant to the quantitative finance community. Experts in teaching and active in research, the authors aim to discuss theory in the context of applications to specific practical problems. The book is complete with different coding techniques in R and MATLAB and generic pseudo-algorithms to modern finance. Starting with the theoretical backdrop needed from probability and stochastic processes and the description of financial instruments priced throughout the book, the classical Black-Scholes-Merton model is, then, presented in a uniquely accessible and understandable way. Implied volatility, local volatility surfaces, and general methods of inverting partial differential equations (PDE's) are, then, discussed. Two fundamental ways of calculating the price of options and other derivatives are showcased along with a solid presentation of the usual topics in fixed income derivatives, classical models, portfolio management, and hedging portfolios. The book concludes with several new and advanced models from current literature such as nonlinear PDE's for stochastic volatility models in a transaction fee market and PDE's in a jump-diffusion with stochastic volatility models. There are over 300 examples and exercises that are appropriate for the beginning learner and the practicing financier"--
URL:Aggregator: https://learning.oreilly.com/library/view/-/9781118629956/?ar
Datenträger:Online-Ressource
Sprache:eng
Bibliogr. Hinweis:Erscheint auch als : Druck-Ausgabe
Sach-SW:Mathématiques financières
 Finances ; Modèles mathématiques
 Finances ; Modèles économétriques
 Business mathematics
 Finance ; Econometric models
 Finance ; Mathematical models
K10plus-PPN:190389512X
 
 
Lokale URL UB: Zum Volltext
 
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