Mathematical Finance: Theory Review and Exercises From Binomial Model to Risk Measures
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 resu...
| Main Authors: | , |
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| Format: | eBook |
| Language: | English |
| Published: |
Cham
Springer International Publishing
2013, 2013
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| Edition: | 1st ed. 2013 |
| Series: | La Matematica per il 3+2
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- 1 Short review of Probability and of Stochastic Processes
- 2 Portfolio Optimization in Discrete time Models
- 3 Binomial Model for Option Pricing
- 4 Absence of arbitrage and Completeness of market models
- 5 Itô’s Formula and Stochastic Differential Equations
- 6 Partial Differential Equations in Finance
- 7 Black-Scholes model for Option Pricing and Hedging Strategies
- 8 American Options
- 9 Exotic Options
- 10 Interest Rate Models
- 11 Pricing Models beyond Black-Scholes
- 12 Risk Measures: Value at Risk and beyond