Mathematical Finance: Theory Review and Exercises
From Binomial Model to Risk Measures
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Beschreibung
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.
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.
Offers substantially more exercises on continuous time than do other textbooks Includes three completely new chapters (one on Arbitrage Theory and Incompleteness, one on Risk Measures, and one on Stochastic Volatility Models and Models with jumps) Presents a middle ground between the stochastic and the analytic approach to option pricing and hedging at a reasonable, but not trivial, mathematical level Includes supplementary material: sn.pub/extras
Autor*in
Emanuela Rosazza Gianin
Themen in »Mathematical Finance: Theory Review and Exercises«
arbitrage theory option pricing portfolio optimization risk measures stochastic volatility
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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)
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