Stochastic Calculus for Quantitative Finance Book

Stochastic Calculus for Quantitative Finance


  • Author : Alexander A Gushchin
  • Publisher : Elsevier
  • Release Date : 2015-08-26
  • Genre: Mathematics
  • Pages : 208
  • ISBN 10 : 9780081004760

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Stochastic Calculus for Quantitative Finance Excerpt :

In 1994 and 1998 F. Delbaen and W. Schachermayer published two breakthrough papers where they proved continuous-time versions of the Fundamental Theorem of Asset Pricing. This is one of the most remarkable achievements in modern Mathematical Finance which led to intensive investigations in many applications of the arbitrage theory on a mathematically rigorous basis of stochastic calculus. Mathematical Basis for Finance: Stochastic Calculus for Finance provides detailed knowledge of all necessary attributes in stochastic calculus that are required for applications of the theory of stochastic integration in Mathematical Finance, in particular, the arbitrage theory. The exposition follows the traditions of the Strasbourg school. This book covers the general theory of stochastic processes, local martingales and processes of bounded variation, the theory of stochastic integration, definition and properties of the stochastic exponential; a part of the theory of Lévy processes. Finally, the reader gets acquainted with some facts concerning stochastic differential equations. Contains the most popular applications of the theory of stochastic integration Details necessary facts from probability and analysis which are not included in many standard university courses such as theorems on monotone classes and uniform integrability Written by experts in the field of modern mathematical finance

An Introduction to Mathematical Finance with Applications Book

An Introduction to Mathematical Finance with Applications


  • Author : Arlie O. Petters
  • Publisher : Springer
  • Release Date : 2016-06-17
  • Genre: Mathematics
  • Pages : 483
  • ISBN 10 : 9781493937837

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An Introduction to Mathematical Finance with Applications Excerpt :

This textbook aims to fill the gap between those that offer a theoretical treatment without many applications and those that present and apply formulas without appropriately deriving them. The balance achieved will give readers a fundamental understanding of key financial ideas and tools that form the basis for building realistic models, including those that may become proprietary. Numerous carefully chosen examples and exercises reinforce the student’s conceptual understanding and facility with applications. The exercises are divided into conceptual, application-based, and theoretical problems, which probe the material deeper. The book is aimed toward advanced undergraduates and first-year graduate students who are new to finance or want a more rigorous treatment of the mathematical models used within. While no background in finance is assumed, prerequisite math courses include multivariable calculus, probability, and linear algebra. The authors introduce additional mathematical tools as needed. The entire textbook is appropriate for a single year-long course on introductory mathematical finance. The self-contained design of the text allows for instructor flexibility in topics courses and those focusing on financial derivatives. Moreover, the text is useful for mathematicians, physicists, and engineers who want to learn finance via an approach that builds their financial intuition and is explicit about model building, as well as business school students who want a treatment of finance that is deeper but not overly theoretical.

Problems and Solutions in Mathematical Finance Book

Problems and Solutions in Mathematical Finance


  • Author : Eric Chin
  • Publisher : John Wiley & Sons
  • Release Date : 2014-11-20
  • Genre: Business & Economics
  • Pages : 400
  • ISBN 10 : 9781119966081

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Problems and Solutions in Mathematical Finance Excerpt :

Mathematical finance requires the use of advanced mathematical techniques drawn from the theory of probability, stochastic processes and stochastic differential equations. These areas are generally introduced and developed at an abstract level, making it problematic when applying these techniques to practical issues in finance. Problems and Solutions in Mathematical Finance Volume I: Stochastic Calculus is the first of a four-volume set of books focusing on problems and solutions in mathematical finance. This volume introduces the reader to the basic stochastic calculus concepts required for the study of this important subject, providing a large number of worked examples which enable the reader to build the necessary foundation for more practical orientated problems in the later volumes. Through this application and by working through the numerous examples, the reader will properly understand and appreciate the fundamentals that underpin mathematical finance. Written mainly for students, industry practitioners and those involved in teaching in this field of study, Stochastic Calculus provides a valuable reference book to complement one’s further understanding of mathematical finance.

Introductory Mathematical Analysis for Quantitative Finance Book

Introductory Mathematical Analysis for Quantitative Finance


  • Author : Daniele Ritelli
  • Publisher : CRC Press
  • Release Date : 2020-04-13
  • Genre: Mathematics
  • Pages : 310
  • ISBN 10 : 9781351245104

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Introductory Mathematical Analysis for Quantitative Finance Excerpt :

Introductory Mathematical Analysis for Quantitative Finance is a textbook designed to enable students with little knowledge of mathematical analysis to fully engage with modern quantitative finance. A basic understanding of dimensional Calculus and Linear Algebra is assumed. The exposition of the topics is as concise as possible, since the chapters are intended to represent a preliminary contact with the mathematical concepts used in Quantitative Finance. The aim is that this book can be used as a basis for an intensive one-semester course. Features: Written with applications in mind, and maintaining mathematical rigor. Suitable for undergraduate or master's level students with an Economics or Management background. Complemented with various solved examples and exercises, to support the understanding of the subject.

Mathematical Finance Book

Mathematical Finance


  • Author : Nikolai Dokuchaev
  • Publisher : Routledge
  • Release Date : 2007-03-12
  • Genre: Business & Economics
  • Pages : 208
  • ISBN 10 : 9781134121977

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Mathematical Finance Excerpt :

Written in a rigorous yet logical and easy to use style, spanning a range of disciplines, including business, mathematics, finance and economics, this comprehensive textbook offers a systematic, self-sufficient yet concise presentation of the main topics and related parts of stochastic analysis and statistical finance that are covered in the majority of university programmes. Providing all explanations of basic concepts and results with proofs and numerous examples and problems, it includes: an introduction to probability theory a detailed study of discrete and continuous time market models a comprehensive review of Ito calculus and statistical methods as a basis for statistical estimation of models for pricing a detailed discussion of options and their pricing, including American options in a continuous time setting. An excellent introduction to the topic, this textbook is an essential resource for all students on undergraduate and postgraduate courses and advanced degree programs in econometrics, finance, applied mathematics and mathematical modelling as well as academics and practitioners.

An Elementary Introduction to Mathematical Finance Book
Score: 2
From 1 Ratings

An Elementary Introduction to Mathematical Finance


  • Author : Sheldon M. Ross
  • Publisher : Cambridge University Press
  • Release Date : 2011-02-28
  • Genre: Mathematics
  • Pages : null
  • ISBN 10 : 9781139498036

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An Elementary Introduction to Mathematical Finance Excerpt :

This textbook on the basics of option pricing is accessible to readers with limited mathematical training. It is for both professional traders and undergraduates studying the basics of finance. Assuming no prior knowledge of probability, Sheldon M. Ross offers clear, simple explanations of arbitrage, the Black-Scholes option pricing formula, and other topics such as utility functions, optimal portfolio selections, and the capital assets pricing model. Among the many new features of this third edition are new chapters on Brownian motion and geometric Brownian motion, stochastic order relations and stochastic dynamic programming, along with expanded sets of exercises and references for all the chapters.

An Introduction to the Mathematics of Finance Book

An Introduction to the Mathematics of Finance


  • Author : Stephen Garrett
  • Publisher : Butterworth-Heinemann
  • Release Date : 2013-05-28
  • Genre: Mathematics
  • Pages : 464
  • ISBN 10 : 9780080982755

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An Introduction to the Mathematics of Finance Excerpt :

An Introduction to the Mathematics of Finance: A Deterministic Approach, 2e, offers a highly illustrated introduction to mathematical finance, with a special emphasis on interest rates. This revision of the McCutcheon-Scott classic follows the core subjects covered by the first professional exam required of UK actuaries, the CT1 exam. It realigns the table of contents with the CT1 exam and includes sample questions from past exams of both The Actuarial Profession and the CFA Institute. With a wealth of solved problems and interesting applications, An Introduction to the Mathematics of Finance stands alone in its ability to address the needs of its primary target audience, the actuarial student. Closely follows the syllabus for the CT1 exam of The Institute and Faculty of Actuaries Features new content and more examples Online supplements available: http://booksite.elsevier.com/9780080982403/ Includes past exam questions from The Institute and Faculty of Actuaries and the CFA Institute

An Introduction to the Mathematics of Financial Derivatives Book
Score: 4
From 9 Ratings

An Introduction to the Mathematics of Financial Derivatives


  • Author : Salih N. Neftci
  • Publisher : Academic Press
  • Release Date : 2000-06-02
  • Genre: Business & Economics
  • Pages : 527
  • ISBN 10 : 9780125153928

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An Introduction to the Mathematics of Financial Derivatives Excerpt :

A step-by-step explanation of the mathematical models used to price derivatives. For this second edition, Salih Neftci has expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He does not assume that the reader has a thorough mathematical background. His explanations of financial calculus seek to be simple and perceptive.

Mathematical Asset Management Book

Mathematical Asset Management


  • Author : Thomas Höglund
  • Publisher : John Wiley & Sons
  • Release Date : 2008-05-23
  • Genre: Mathematics
  • Pages : 232
  • ISBN 10 : 9780470293553

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Mathematical Asset Management Excerpt :

A practical approach to the mathematical tools needed to increase portfolio growth, learn successful trading strategies, and manage the risks associated with market fluctuation Mathematical Asset Management presents an accessible and practical introduction to financial derivatives and portfolio selection while also acting as a basis for further study in mathematical finance. Assuming a fundamental background in calculus, real analysis, and linear algebra, the book uses mathematical tools only as needed and provides comprehensive, yet concise, coverage of various topics, such as: Interest rates and the connection between present value and arbitrage Financial instruments beyond bonds that serve as building blocks for portfolios Trading strategies and risk performance measures Stochastic properties of stock prices The difference between expected return and expected growth and the geometric Brownian motion Diversification through the creation of optimal portfolios under various constraints The use of the Capital Asset Pricing Model to accurately estimate the difference between the return of the market and the short rate To further demonstrate the reality of the discussed concepts, the author analyzes five active stocks over a four-year period and highlights the different methods and portfolios that exist in today's economic world. Exercises are also provided throughout the text, along with the solutions, allowing readers to measure their understanding of presented techniques as well as see how the methods work in real life. Mathematical Asset Management is an excellent book for courses in mathematical finance, actuarial mathematics, financial derivatives, and financial engineering at the upper-undergraduate and graduate levels. It is also a valuable reference for practitioners in banking, insurance, and asset management industries.

Mathematical Basis for Finance Book

Mathematical Basis for Finance


  • Author : Alexander A. Gushchin
  • Publisher : Elsevier
  • Release Date : 2015-08-01
  • Genre: Uncategoriezed
  • Pages : 208
  • ISBN 10 : 1785480340

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Mathematical Basis for Finance Excerpt :

In 1994 and 1998 F. Delbaen and W. Schachermayer published two breakthrough papers where they proved continuous-time versions of the Fundamental Theorem of Asset Pricing. This is one of the most remarkable achievements in modern Mathematical Finance which led to intensive investigations in many applications of the arbitrage theory on a mathematically rigorous basis of stochastic calculus. Mathematical Basis for Finance: Stochastic Calculus for Finance provides detailed knowledge of all necessary attributes in stochastic calculus that are required for applications of the theory of stochastic integration in Mathematical Finance, in particular, the arbitrage theory. The exposition follows the traditions of the Strasbourg school. This book covers the general theory of stochastic processes, local martingales and processes of bounded variation, the theory of stochastic integration, definition and properties of the stochastic exponential; a part of the theory of Lévy processes. Finally, the reader gets acquainted with some facts concerning stochastic differential equations. Contains the most popular applications of the theory of stochastic integration Details necessary facts from probability and analysis which are not included in many standard university courses such as theorems on monotone classes and uniform integrability Written by experts in the field of modern mathematical finance

Discrete Models of Financial Markets Book

Discrete Models of Financial Markets


  • Author : Marek Capiński
  • Publisher : Cambridge University Press
  • Release Date : 2012-02-23
  • Genre: Business & Economics
  • Pages : 192
  • ISBN 10 : 9781107002630

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Discrete Models of Financial Markets Excerpt :

An excellent basis for further study. Suitable even for readers with no mathematical background.

Mathematical Finance  Practice Book

Mathematical Finance Practice


  • Author : Silvia Romagnoli
  • Publisher : Società Editrice Esculapio
  • Release Date : 2017-07-27
  • Genre: Business & Economics
  • Pages : 288
  • ISBN 10 : 9788893850346

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Mathematical Finance Practice Excerpt :

The aim of these two books is to provide the basic theoretical concepts and the best practice concerning the mathematical finance which is unescapable to understand the way modern financial markets operate. Thanks to these fundamental concepts, which are completely concentrated on a deterministic modelization of the markets, students are ready to approach more advanced courses focused on the modern area of financial math where the deterministic assumption is left and stochastic assumptions concerning the evolution of the involved variables are included.

Mastering Financial Mathematics in Microsoft Excel Book

Mastering Financial Mathematics in Microsoft Excel


  • Author : Alastair Day
  • Publisher : Pearson UK
  • Release Date : 2015-10-08
  • Genre: Business & Economics
  • Pages : 392
  • ISBN 10 : 9781292067537

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Mastering Financial Mathematics in Microsoft Excel Excerpt :

Fully updated and compliant with Excel 2013, this clearly explains the basic calculations for mathematical finance, backed up with simple templates for further use and development, and a workbook with exercises and solutions at the end of each chapter. The examples used are relevant to both managers and students in the UK and overseas. New to this edition Updated glossary of key terms Functions list in English and Euro languages Continuity check on all formats, layouts and charts More worked examples Additional exercises at the end of each chapter to help build models Templates and models available online.

Introduction to the Economics and Mathematics of Financial Markets Book
Score: 4
From 2 Ratings

Introduction to the Economics and Mathematics of Financial Markets


  • Author : Jaksa Cvitanic
  • Publisher : MIT Press
  • Release Date : 2004-02-27
  • Genre: Business & Economics
  • Pages : 516
  • ISBN 10 : 0262033208

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Introduction to the Economics and Mathematics of Financial Markets Excerpt :

An innovative textbook for use in advanced undergraduate and graduate courses; accessible to students in financial mathematics, financial engineering and economics. Introduction to the Economics and Mathematics of Financial Markets fills the longstanding need for an accessible yet serious textbook treatment of financial economics. The book provides a rigorous overview of the subject, while its flexible presentation makes it suitable for use with different levels of undergraduate and graduate students. Each chapter presents mathematical models of financial problems at three different degrees of sophistication: single-period, multi-period, and continuous-time. The single-period and multi-period models require only basic calculus and an introductory probability/statistics course, while an advanced undergraduate course in probability is helpful in understanding the continuous-time models. In this way, the material is given complete coverage at different levels; the less advanced student can stop before the more sophisticated mathematics and still be able to grasp the general principles of financial economics. The book is divided into three parts. The first part provides an introduction to basic securities and financial market organization, the concept of interest rates, the main mathematical models, and quantitative ways to measure risks and rewards. The second part treats option pricing and hedging; here and throughout the book, the authors emphasize the Martingale or probabilistic approach. Finally, the third part examines equilibrium models—a subject often neglected by other texts in financial mathematics, but included here because of the qualitative insight it offers into the behavior of market participants and pricing.