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Mathematical Finance: Theory Review and Exercises

From Binomial Model to Risk Measures

Emanuela Rosazza Gianin, Carlo Sgarra (Autoren)

Buch | Softcover

X, 277 Seiten

2013
Springer International Publishing (Verlag)
978-3-319-01356-5 (ISBN)

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The book collects over 120 exercises on different subjects of Mathematical Finance, including Option Pricing, Risk Theory, and Interest Rate Models. Many of the exercises are solved, while others are only proposed. Every chapter contains an introductory section illustrating the main theoretical results necessary to solve the exercises. The book is
intended as an exercise textbook to accompany graduate courses in mathematical finance offered at many universities as part of degree programs in Applied and Industrial Mathematics, Mathematical Engineering, and Quantitative Finance.

Carlo SGARRA: Associate Professor of Mathematical Finance, Politecnico di Milano, Italia Emanuela ROSAZZA GIANIN: Associate Professor of Statistics and Quantitative Methods, University of Milano-Bicocca, Italia

1 Short review of Probability and of Stochastic Processes.- 2 Portfolio Optimization in Discrete time Models.- 3 Binomial Model for Option Pricing.- 4 Absence of arbitrage and Completeness of market models.- 5 Itô's Formula and Stochastic Differential Equations.- 6 Partial Differential Equations in Finance.- 7 Black-Scholes model for Option Pricing and Hedging Strategies.- 8 American Options.- 9 Exotic Options.- 10 Interest Rate Models.- 11 Pricing Models beyond Black-Scholes.- 12 Risk Measures: Value at Risk and beyond.

From the book reviews:

"This work is a very useful companion volume to courses in mathematical finance, and it can also be successfully used for self-study." (László Imre Szabó, Acta Scientiarum Mathematicarum (Szeged), Vol. 80 (1-2), 2014)

Erscheint lt. Verlag	10.9.2013
Reihe/Serie	La Matematica per il 3+2
Reihe/Serie	UNITEXT
Zusatzinfo	X, 277 p.
Verlagsort	Cham
Sprache	englisch
Maße	155 x 235 mm
Gewicht	565 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
	Wirtschaft ► Allgemeines / Lexika
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
Schlagworte	arbitrage theory • Finanzmathematik • Option pricing • portfolio optimization • risk measures • Stochastic volatility
ISBN-10	3-319-01356-4 / 3319013564
ISBN-13	978-3-319-01356-5 / 9783319013565
Zustand	Neuware