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DETERMINISTIC AND STOCHASTIC TOPICS IN COMPUTATIONAL FINANCE - Tapa dura

Calin Ovidiu

 
9789813203075: DETERMINISTIC AND STOCHASTIC TOPICS IN COMPUTATIONAL FINANCE
Tapa dura
ISBN 10: 9813203072 ISBN 13: 9789813203075
Editorial: World Scientific, 2016

Sinopsis

What distinguishes this book from other texts on mathematical finance is the use of both probabilistic and PDEs tools to price derivatives for both constant and stochastic volatility models, by which the reader has the advantage of computing explicitly a large number of prices for European, American and Asian derivatives.

The book presents continuous time models for financial markets, starting from classical models such as Black-Scholes and evolving towards the most popular models today such as Heston and VAR.

A key feature of the textbook is the large number of exercises, mostly solved, which are designed to help the reader to understand the material.

The book is based on the author's lectures on topics on computational finance for senior and graduate students, delivered in USA (Princeton University and EMU), Taiwan and Kuwait. The prerequisites are an introductory course in stochastic calculus, as well as the usual calculus sequence.

The book is addressed to undergraduate and graduate students in Masters of Finance programs as well as to those who wish to become more efficient in their practical applications.

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

Reseña del editor

What distinguishes this book from other texts on mathematical finance is the use of both probabilistic and PDEs tools to price derivatives for both constant and stochastic volatility models, by which the reader has the advantage of computing explicitly a large number of prices for European, American and Asian derivatives.The book presents continuous time models for financial markets, starting from classical models such as Black-Scholes and evolving towards the most popular models today such as Heston and VAR.A key feature of the textbook is the large number of exercises, mostly solved, which are designed to help the reader to understand the material.The book is based on the author's lectures on topics on computational finance for senior and graduate students, delivered in USA (Princeton University and EMU), Taiwan and Kuwait. The prerequisites are an introductory course in stochastic calculus, as well as the usual calculus sequence.The book is addressed to undergraduate and graduate students in Masters of Finance programs as well as to those who wish to become more efficient in their practical applications.Topics covered:

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

Editorial
World Scientific
Año de publicación
2016
Idioma
Inglés
ISBN 10 
9813203072
ISBN 13 
9789813203075
Encuadernación
Tapa dura
Número de páginas
484
Contacto del fabricante
no disponible
Persona responsable
gpsr@libri.de
gpsr@libri.de

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