Del 8 i serien Mathematics, Finance and Risk
The Concepts and Practice of Mathematical Finance
Inbunden, Engelska, 2008
1 299 kr
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An ideal introduction for those starting out as practitioners of mathematical finance, this book provides a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice. Strengths and weaknesses of different models, e.g. Black-Scholes, stochastic volatility, jump-diffusion and variance gamma, are examined. Both the theory and the implementation of the industry-standard LIBOR market model are considered in detail. Each pricing problem is approached using multiple techniques including the well-known PDE and martingale approaches. This second edition contains many more worked examples and over 200 exercises with detailed solutions. Extensive appendices provide a guide to jargon, a recap of the elements of probability theory, and a collection of computer projects. The author brings to this book a blend of practical experience and rigorous mathematical background and supplies here the working knowledge needed to become a good quantitative analyst.
Produktinformation
- Utgivningsdatum2008-10-30
- Mått178 x 253 x 30 mm
- Vikt1 300 g
- FormatInbunden
- SpråkEngelska
- SerieMathematics, Finance and Risk
- Antal sidor558
- Upplaga2
- FörlagCambridge University Press
- ISBN9780521514088
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