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Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics (Graduate Studies in Mathematics) - Hardcover

Buch 22 von 190: Graduate Studies in Mathematics

Korn, Ralf; Korn, Elke

 
9780821821237: Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics (Graduate Studies in Mathematics)
Hardcover
ISBN 10: 0821821237 ISBN 13: 9780821821237
Verlag: American Mathematical Society, 2001

Inhaltsangabe

Introduces Ito calculus, concentrating on applications in financial mathematics. Builds the standard diffusion type security market model, then treats the pricing of options in detail, introducing the method of option pricing via replication and no arbitrage. Presents a method of pricing options with partial differential equations, and presents examples of exotic options. Describes basics of Monte Carlo methods, tree methods, and finite difference methods, and deals with the martingale method and the stochastic control method for portfolio optimization. Assumes a previous basic course in probability theory. Author information is not given. Annotation c. Book News, Inc., Portland, OR (booknews.com)

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Verlag
American Mathematical Society
Erscheinungsdatum
2001
Sprache
Englisch
ISBN 10 
0821821237
ISBN 13 
9780821821237
Einband
Gebundene Ausgabe
Auflage
1
Anzahl der Seiten
253
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Verantwortliche Person
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