Del i serien Springer Finance

Financial Modeling

A Backward Stochastic Differential Equations Perspective

Inbunden, Engelska, 2013

AvStephane Crepey

1 119 kr

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This book examines financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes as well as a review of quantitative finance tools.

Produktinformation

Utgivningsdatum2013-06-19
Mått155 x 235 x 31 mm
Vikt850 g
FormatInbunden
SpråkEngelska
SerieSpringer Finance
Antal sidor459
Upplaga2013
FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN9783642371127

Tillhör följande kategorier

Part I: An Introductory Course in Stochastic Processes.- 1.Some classes of Discrete-Time Stochastic Processes.-2.Some Classes of Continuous-Time Stochastic Processes.- 3.Elements of Stochastic Analysis.- Part II: Pricing Equations.- 4.Martingale Modeling.- 5.Benchmark Models.- Part III: Numerical Solutions.- 6.Monte Carlo Methods.- 7.Tree Methods.- 8.Finite Differences.- 9.Callibration Methods.- Part IV: Applications.- 10.Simulation/ Regression Pricing Schemes in Diffusive Setups.- 11.Simulation/ Regression Pricing Schemes in Pure Jump Setups.- Part V: Jump-Diffusion Setup with Regime Switching (**).- 12.Backward Stochastic Differential Equations.- 13.Analytic Approach.- 14.Extensions.- Part VI: Appendix.- A.Technical Proofs (**).- B.Exercises.- C.Corrected Problem Sets.

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