Stochastic Analysis for Finance with Simulations (Universitext) - Tapa blanda

Libro 197 de 261: Universitext

Choe, Geon Ho

 
9783319255873: Stochastic Analysis for Finance with Simulations (Universitext)
Tapa blanda
ISBN 10: 3319255878 ISBN 13: 9783319255873
Editorial: Springer, 2016

Sinopsis

This book is an introduction to stochastic analysis and quantitative finance; it includes both theoretical and computational methods. Topics covered are stochastic calculus, option pricing, optimal portfolio investment, and interest rate models. Also included are simulations of stochastic phenomena, numerical solutions of the Black-Scholes-Merton equation, Monte Carlo methods, and time series. Basic measure theory is used as a tool to describe probabilistic phenomena. 

The level of familiarity with computer programming is kept to a minimum. To make the book accessible to a wider audience, some background mathematical facts are included in the first part of the book and also in the appendices. This work attempts to bridge the gap between mathematics and finance by using diagrams, graphs and simulations in addition to rigorous theoretical exposition. Simulations are not only used as the computational method in quantitative finance, but they can also facilitate an intuitive and deeper understanding of theoretical concepts.  

Stochastic Analysis for Finance with Simulations is designed for readers who want to have a deeper understanding of the delicate theory of quantitative finance by doing computer simulations in addition to theoretical study. It will particularly appeal to advanced undergraduate and graduate students in mathematics and business, but not excluding practitioners in finance industry.  

"Sinopsis" puede pertenecer a otra edición de este libro.

Acerca del autor

The author's main interests are simulations of random phenomena in the areas of quantitative finance, random number generators, dynamical systems theory, and information theory. He has published a book titled "Computational Ergodic Theory".  

De la contraportada

This book is an introduction to stochastic analysis and quantitative finance; it includes both theoretical and computational methods. Topics covered are stochastic calculus, option pricing, optimal portfolio investment, and interest rate models. Also included are simulations of stochastic phenomena, numerical solutions of the Black–Scholes–Merton equation, Monte Carlo methods, and time series. Basic measure theory is used as a tool to describe probabilistic phenomena.  

The level of familiarity with computer programming is kept to a minimum. To make the book accessible to a wider audience, some background mathematical facts are included in the first part of the book and also in the appendices. This work attempts to bridge the gap between mathematics and finance by using diagrams, graphs and simulations in addition to rigorous theoretical exposition. Simulations are not only used as the computational method in quantitative finance, but they can also facilitate an intuitive and deeper understanding of theoretical concepts.  

Stochastic Analysis for Finance with Simulations is designed for readers who want to have a deeper understanding of the delicate theory of quantitative finance by doing computer simulations in addition to theoretical study. It will particularly appeal to advanced undergraduate and graduate students in mathematics and business, but not excluding practitioners in finance industry.  

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Springer
Año de publicación
2016
Idioma
Inglés
ISBN 10 
3319255878
ISBN 13 
9783319255873
Encuadernación
Tapa blanda
Número de edición
1
Número de páginas
692
Contacto del fabricante
no disponible
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