Deterministic and Stochastic Topics in Computational Finance

Ovidiu Calin ,

ISBN 10: 9813203080 / ISBN 13: 9789813203082

Verlag: World Scientific Pub Co Inc, 2017

Beschreibung

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Bestandsnummer des Verkäufers ABEJUNE24-292756

Bibliografische Details

• Titel: Deterministic and Stochastic Topics in Computational Finance
• Verlag: World Scientific Pub Co Inc
• Erscheinungsjahr: 2017
• Sprache: Englisch
• ISBN-10: 9813203080
• ISBN-13: 9789813203082
• Einband: Softcover
• Zustand: Brand New

Über diesen Titel

Inhaltsangabe

What distinguishes this book from other texts on mathematical finance is the use of both probabilistic and PDEs tools to price derivatives for both constant and stochastic volatility models, by which the reader has the advantage of computing explicitly a large number of prices for European, American and Asian derivatives.

The book presents continuous time models for financial markets, starting from classical models such as Black–Scholes and evolving towards the most popular models today such as Heston and VAR.

A key feature of the textbook is the large number of exercises, mostly solved, which are designed to help the reader to understand the material.

The book is based on the author's lectures on topics on computational finance for senior and graduate students, delivered in USA (Princeton University and EMU), Taiwan and Kuwait. The prerequisites are an introductory course in stochastic calculus, as well as the usual calculus sequence.

The book is addressed to undergraduate and graduate students in Masters of Finance programs as well as to those who wish to become more efficient in their practical applications.

Über die Autorin bzw. den Autor

Charlotte y Peter Fiell son dos autoridades en historia, teoría y crítica del diseño y han escrito más de sesenta libros sobre la materia, muchos de los cuales se han convertido en éxitos de ventas. También han impartido conferencias y cursos como profesores invitados, han comisariado exposiciones y asesorado a fabricantes, museos, salas de subastas y grandes coleccionistas privados de todo el mundo. Los Fiell han escrito numerosos libros para TASCHEN, entre los que se incluyen 1000 Chairs, Diseño del siglo XX, El diseño industrial de la A a la Z, Scandinavian Design y Diseño del siglo XXI.