Methods of Mathematical Finance:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New York, NY
Springer New York
1998
|
| Schriftenreihe: | Applications of Mathematics, Stochastic Modelling and Applied Probability
39 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | This book is intended for readers who are quite familiar with probability and stochastic processes but know little or nothing about finance. It is written in the definition/theorem/proof style of modern mathematics and attempts to explain as much of the ?nance motivation and terminology as possible. A mathematical monograph on finance can be written today only - cause of two revolutions that have taken place on Wall Street in the latter half of the twentieth century. Both these revolutions began at universities, albeit in economics departments and business schools, not in departments of mathematicsor statistics. They have led inexorably, however, to an escalation in the level of mathematics (including probability, statistics, partial differential equations and their numerical analysis) used in finance, to a point where genuine research problems in the former fields are now deeply intertwined with the theory and practice of the latter. The first revolution in finance began with the 1952 publication of "Portfolio Selection," an early version of the doctoral dissertation of Harry Markowitz. This publication began a shift away from the concept of trying to identify the "best" stock for an investor, and towards the concept of trying to understand and quantify the trade-offs between risk and return inherent in an entire portfolio of stocks. The vehicle for this so-called mean–variance analysis of portfolios is linear regression; once this analysis is complete, one can then address the optimization problem of choosing the portfolio with the largest mean return, subject to keeping the risk (i. e |
| Beschreibung: | 1 Online-Ressource (XVI, 416 p) |
| ISBN: | 9780387227054 9781441928528 |
| ISSN: | 0172-4568 |
| DOI: | 10.1007/b98840 |
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Datensatz im Suchindex
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| any_adam_object | |
| author | Karatzas, Ioannis 1952- |
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| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519 |
| dewey-search | 519 |
| dewey-sort | 3519 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| doi_str_mv | 10.1007/b98840 |
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| id | DE-604.BV042419075 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:21:04Z |
| institution | BVB |
| isbn | 9780387227054 9781441928528 |
| issn | 0172-4568 |
| language | English |
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| series | Applications of Mathematics, Stochastic Modelling and Applied Probability |
| series2 | Applications of Mathematics, Stochastic Modelling and Applied Probability |
| spelling | Karatzas, Ioannis 1952- Verfasser (DE-588)140840346 aut Methods of Mathematical Finance by Ioannis Karatzas, Steven E. Shreve New York, NY Springer New York 1998 1 Online-Ressource (XVI, 416 p) txt rdacontent c rdamedia cr rdacarrier Applications of Mathematics, Stochastic Modelling and Applied Probability 39 0172-4568 This book is intended for readers who are quite familiar with probability and stochastic processes but know little or nothing about finance. It is written in the definition/theorem/proof style of modern mathematics and attempts to explain as much of the ?nance motivation and terminology as possible. A mathematical monograph on finance can be written today only - cause of two revolutions that have taken place on Wall Street in the latter half of the twentieth century. Both these revolutions began at universities, albeit in economics departments and business schools, not in departments of mathematicsor statistics. They have led inexorably, however, to an escalation in the level of mathematics (including probability, statistics, partial differential equations and their numerical analysis) used in finance, to a point where genuine research problems in the former fields are now deeply intertwined with the theory and practice of the latter. The first revolution in finance began with the 1952 publication of "Portfolio Selection," an early version of the doctoral dissertation of Harry Markowitz. This publication began a shift away from the concept of trying to identify the "best" stock for an investor, and towards the concept of trying to understand and quantify the trade-offs between risk and return inherent in an entire portfolio of stocks. The vehicle for this so-called mean–variance analysis of portfolios is linear regression; once this analysis is complete, one can then address the optimization problem of choosing the portfolio with the largest mean return, subject to keeping the risk (i. e Mathematics Finance Distribution (Probability theory) Economics Quantitative Finance Probability Theory and Stochastic Processes Economic Theory Mathematik Wirtschaft Kontingenztheorie (DE-588)4247907-1 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s Stochastischer Prozess (DE-588)4057630-9 s 1\p DE-604 Kontingenztheorie (DE-588)4247907-1 s Mathematisches Modell (DE-588)4114528-8 s 2\p DE-604 3\p DE-604 Shreve, Steven E. Sonstige (DE-588)140840451 oth Applications of Mathematics, Stochastic Modelling and Applied Probability 39 (DE-604)BV000895226 39 https://doi.org/10.1007/b98840 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Karatzas, Ioannis 1952- Methods of Mathematical Finance Applications of Mathematics, Stochastic Modelling and Applied Probability Mathematics Finance Distribution (Probability theory) Economics Quantitative Finance Probability Theory and Stochastic Processes Economic Theory Mathematik Wirtschaft Kontingenztheorie (DE-588)4247907-1 gnd Mathematisches Modell (DE-588)4114528-8 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4247907-1 (DE-588)4114528-8 (DE-588)4057630-9 (DE-588)4017195-4 |
| title | Methods of Mathematical Finance |
| title_auth | Methods of Mathematical Finance |
| title_exact_search | Methods of Mathematical Finance |
| title_full | Methods of Mathematical Finance by Ioannis Karatzas, Steven E. Shreve |
| title_fullStr | Methods of Mathematical Finance by Ioannis Karatzas, Steven E. Shreve |
| title_full_unstemmed | Methods of Mathematical Finance by Ioannis Karatzas, Steven E. Shreve |
| title_short | Methods of Mathematical Finance |
| title_sort | methods of mathematical finance |
| topic | Mathematics Finance Distribution (Probability theory) Economics Quantitative Finance Probability Theory and Stochastic Processes Economic Theory Mathematik Wirtschaft Kontingenztheorie (DE-588)4247907-1 gnd Mathematisches Modell (DE-588)4114528-8 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Mathematics Finance Distribution (Probability theory) Economics Quantitative Finance Probability Theory and Stochastic Processes Economic Theory Mathematik Wirtschaft Kontingenztheorie Mathematisches Modell Stochastischer Prozess Finanzmathematik |
| url | https://doi.org/10.1007/b98840 |
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