Quantitative Methods for Finance with Simulations I
An Introduction to Stochastic Analysis and Option Pricing
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Beschreibung
This self-contained book is the first of a two-volume set providing a thorough introduction to quantitative finance, covering both theoretical and computational methods.
This volume covers stochastic analysis, option pricing theory, optimal portfolio investment, and bond pricing. Computer simulations in Matlab and Python are provided to illustrate theoretical ideas. Background in mathematics is included in the appendices and the level of familiarity with computer programming is kept to a minimum.
This self-contained book is the first of a two-volume set providing a thorough introduction to quantitative finance, covering both theoretical and computational methods.
This volume covers stochastic analysis, option pricing theory, optimal portfolio investment, and bond pricing. Computer simulations in Matlab and Python are provided to illustrate theoretical ideas. Background in mathematics is included in the appendices and the level of familiarity with computer programming is kept to a minimum.
An introduction to mathematical finance with background provided Provides simulations of most concepts, with theoretical statements coded exactly as they appear Includes many figures and diagrams to enhance understanding Delivers a hands-on experience with little computing experience required
Autor*in
Geon Ho Choe
Themen in »Quantitative Methods for Finance with Simulations I«
Brownian motion stochastic calculus option pricing Black-Scholes partial differential equation the martingale method Heston model computer simulation interest rate modeling