Mathematical finance: core theory, problems and statistical algorithms
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London [u.a.]
Routledge
2007
|
| Edition: | 1. publ. |
| Series: | Routledge advanced texts in economics and finance
7 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis Klappentext |
| Physical Description: | X, 196 S. graph. Darst. |
| ISBN: | 0415414474 0415414482 9780415414470 9780415414487 |
Staff View
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Record in the Search Index
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| adam_text | Contents
Preface
1
/. 1
1.2
1.3
1.4
1.5
1.6
1.7
1.8
1.9
Basics of stochastic processes
2.1
2.2
2.3
2.4
2.5
3
3.1
3.2
3.3
3.4
3.5
3.6
3.7
3.8
3.9
vi
3.10
3.11
3.12
3.13
3.14
3.15
4
4.1
4.2
4.3
4.4
4.4.1
4.4.2
4.4.3
4.4.4
4.5
equations
4.6
4.7
4.8
5
5.1
5.2
5.3
5.4
5.5
5.6
5.7
5.8
5.9
5.9.1
5.9.2
5.9.3
5.9.4
5.9.5
5.10
5.11
5.11.1
5.11.2
5.12
5.13
Contents
5.14
5.15 Problems 112
6
6.1
6.1.1
6.1.2
6.1.3
6.2
6.3
6.4
6.5
same price
6.6
6.7
6.8
7
7.1
7.2
7.3
7.4
8
8.1
8.2
8.3
8.4
8.5
8.6
8.7
8.8
8.9
8.10
8.10.1
8.10.2
8.10.3
8.10.4
8.11
viii
9
9.1
9.2
9.3
9.3.1
9.3.2
9.4
9
9.4.2
9.4.3
9.5
Legend of notations and abbreviations
Selected answers and key figures
Bibliography
Index
Nikolai Dokuchaev s
self-sufficient and yet short presentation of the mainstream topics of
mathematical finance and related parts of stochastic analysis and statistical
finance that covers typical university programs. It can be used as either a
point of reference or to provide fundamentals for further research.
Starting with an introduction to probability theory, the book offers a detailed
study of discrete and continuous time market models, a comprehensive
review of
estimation of models for pricing, and a detailed discussion of options and
their pricing, including American options in continuous time setting. All
basic concepts and results are given with proofs and with numerous
examples and problems.
This handy introduction to the topic is a useful counterpart to other
Routledge books including Barry Goss s Models of Futures Markets and
Advanced Mathematical Economics by Rakesh Vohra. It is suitable for
undergraduate and postgraduate courses and advanced degree programs,
as well as academics and practitioners.
Nikolai Dokuchaev is Associate Professor in the Department of
Mathematics. Trent University. Ontario. Canada.
|
| adam_txt |
Contents
Preface
1
/. 1
1.2
1.3
1.4
1.5
1.6
1.7
1.8
1.9
Basics of stochastic processes
2.1
2.2
2.3
2.4
2.5
3
3.1
3.2
3.3
3.4
3.5
3.6
3.7
3.8
3.9
vi
3.10
3.11
3.12
3.13
3.14
3.15
4
4.1
4.2
4.3
4.4
4.4.1
4.4.2
4.4.3
4.4.4
4.5
equations
4.6
4.7
4.8
5
5.1
5.2
5.3
5.4
5.5
5.6
5.7
5.8
5.9
5.9.1
5.9.2
5.9.3
5.9.4
5.9.5
5.10
5.11
5.11.1
5.11.2
5.12
5.13
Contents
5.14
5.15 Problems 112
6
6.1
6.1.1
6.1.2
6.1.3
6.2
6.3
6.4
6.5
same price
6.6
6.7
6.8
7
7.1
7.2
7.3
7.4
8
8.1
8.2
8.3
8.4
8.5
8.6
8.7
8.8
8.9
8.10
8.10.1
8.10.2
8.10.3
8.10.4
8.11
viii
9
9.1
9.2
9.3
9.3.1
9.3.2
9.4
9
9.4.2
9.4.3
9.5
Legend of notations and abbreviations
Selected answers and key figures
Bibliography
Index
Nikolai Dokuchaev's
self-sufficient and yet short presentation of the mainstream topics of
mathematical finance and related parts of stochastic analysis and statistical
finance that covers typical university programs. It can be used as either a
point of reference or to provide fundamentals for further research.
Starting with an introduction to probability theory, the book offers a detailed
study of discrete and continuous time market models, a comprehensive
review of
estimation of models for pricing, and a detailed discussion of options and
their pricing, including American options in continuous time setting. All
basic concepts and results are given with proofs and with numerous
examples and problems.
This handy introduction to the topic is a useful counterpart to other
Routledge books including Barry Goss's Models of Futures Markets and
Advanced Mathematical Economics by Rakesh Vohra. It is suitable for
undergraduate and postgraduate courses and advanced degree programs,
as well as academics and practitioners.
Nikolai Dokuchaev is Associate Professor in the Department of
Mathematics. Trent University. Ontario. Canada. |
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| index_date | 2024-07-02T15:57:26Z |
| indexdate | 2024-07-09T20:45:39Z |
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| spelling | Dokučaev, Nikolaj G. Verfasser (DE-588)124293263 aut Mathematical finance core theory, problems and statistical algorithms Nikolai Dokuchaev 1. publ. London [u.a.] Routledge 2007 X, 196 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Routledge advanced texts in economics and finance 7 Mathematisches Modell Finance Mathematical models Finanzmathematik (DE-588)4017195-4 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Finanzmathematik (DE-588)4017195-4 s DE-604 Erscheint auch als Online-Ausgabe 0-203-96472-1 Erscheint auch als Online-Ausgabe 978-0-203-96472-9 Routledge advanced texts in economics and finance 7 (DE-604)BV037241432 7 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015043510&sequence=000007&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015043510&sequence=000008&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Dokučaev, Nikolaj G. Mathematical finance core theory, problems and statistical algorithms Routledge advanced texts in economics and finance Mathematisches Modell Finance Mathematical models Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4123623-3 |
| title | Mathematical finance core theory, problems and statistical algorithms |
| title_auth | Mathematical finance core theory, problems and statistical algorithms |
| title_exact_search | Mathematical finance core theory, problems and statistical algorithms |
| title_exact_search_txtP | Mathematical finance core theory, problems and statistical algorithms |
| title_full | Mathematical finance core theory, problems and statistical algorithms Nikolai Dokuchaev |
| title_fullStr | Mathematical finance core theory, problems and statistical algorithms Nikolai Dokuchaev |
| title_full_unstemmed | Mathematical finance core theory, problems and statistical algorithms Nikolai Dokuchaev |
| title_short | Mathematical finance |
| title_sort | mathematical finance core theory problems and statistical algorithms |
| title_sub | core theory, problems and statistical algorithms |
| topic | Mathematisches Modell Finance Mathematical models Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Mathematisches Modell Finance Mathematical models Finanzmathematik Lehrbuch |
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