A course in Financial calculus:
Finance provides a dramatic example of the successful application of advanced mathematical techniques to the practical problem of pricing financial derivatives. This self-contained 2002 text is designed for first courses in financial calculus aimed at students with a good background in mathematics....
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2002
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| Schlagworte: | |
| Online-Zugang: | BSB01 FHN01 Volltext |
| Zusammenfassung: | Finance provides a dramatic example of the successful application of advanced mathematical techniques to the practical problem of pricing financial derivatives. This self-contained 2002 text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus: proofs in the continuous-time world follow naturally. The Black-Scholes pricing formula is first derived in the simplest financial context. The second half of the book is then devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A valuable feature is the large number of exercises and examples, designed to test technique and illustrate how the methods and concepts can be applied to realistic financial questions |
| Beschreibung: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Beschreibung: | 1 online resource (viii, 196 pages) |
| ISBN: | 9780511810107 |
| DOI: | 10.1017/CBO9780511810107 |
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| 520 | |a Finance provides a dramatic example of the successful application of advanced mathematical techniques to the practical problem of pricing financial derivatives. This self-contained 2002 text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus: proofs in the continuous-time world follow naturally. The Black-Scholes pricing formula is first derived in the simplest financial context. The second half of the book is then devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A valuable feature is the large number of exercises and examples, designed to test technique and illustrate how the methods and concepts can be applied to realistic financial questions | ||
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Datensatz im Suchindex
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| author | Etheridge, Alison |
| author_facet | Etheridge, Alison |
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| author_sort | Etheridge, Alison |
| author_variant | a e ae |
| building | Verbundindex |
| bvnumber | BV043944777 |
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| dewey-full | 332.63/221 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/221 |
| dewey-search | 332.63/221 |
| dewey-sort | 3332.63 3221 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1017/CBO9780511810107 |
| format | Electronic eBook |
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T07:39:22Z |
| institution | BVB |
| isbn | 9780511810107 |
| language | English |
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| physical | 1 online resource (viii, 196 pages) |
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| publishDate | 2002 |
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| publisher | Cambridge University Press |
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| spelling | Etheridge, Alison Verfasser aut A course in Financial calculus Alison Etheridge Cambridge Cambridge University Press 2002 1 online resource (viii, 196 pages) txt rdacontent c rdamedia cr rdacarrier Title from publisher's bibliographic system (viewed on 05 Oct 2015) Finance provides a dramatic example of the successful application of advanced mathematical techniques to the practical problem of pricing financial derivatives. This self-contained 2002 text is designed for first courses in financial calculus aimed at students with a good background in mathematics. Key concepts such as martingales and change of measure are introduced in the discrete time framework, allowing an accessible account of Brownian motion and stochastic calculus: proofs in the continuous-time world follow naturally. The Black-Scholes pricing formula is first derived in the simplest financial context. The second half of the book is then devoted to increasing the financial sophistication of the models and instruments. The final chapter introduces more advanced topics including stock price models with jumps, and stochastic volatility. A valuable feature is the large number of exercises and examples, designed to test technique and illustrate how the methods and concepts can be applied to realistic financial questions Mathematik Derivative securities / Prices / Mathematics Business mathematics Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s Derivat Wertpapier (DE-588)4381572-8 s 1\p DE-604 Optionspreistheorie (DE-588)4135346-8 s 2\p DE-604 Baxter, Martin 1968- Sonstige oth Erscheint auch als Druckausgabe 978-0-521-81385-3 Erscheint auch als Druckausgabe 978-0-521-89077-9 https://doi.org/10.1017/CBO9780511810107 Verlag URL des Erstveröffentlichers 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 |
| spellingShingle | Etheridge, Alison A course in Financial calculus Mathematik Derivative securities / Prices / Mathematics Business mathematics Finanzmathematik (DE-588)4017195-4 gnd Optionspreistheorie (DE-588)4135346-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4135346-8 (DE-588)4381572-8 |
| title | A course in Financial calculus |
| title_auth | A course in Financial calculus |
| title_exact_search | A course in Financial calculus |
| title_full | A course in Financial calculus Alison Etheridge |
| title_fullStr | A course in Financial calculus Alison Etheridge |
| title_full_unstemmed | A course in Financial calculus Alison Etheridge |
| title_short | A course in Financial calculus |
| title_sort | a course in financial calculus |
| topic | Mathematik Derivative securities / Prices / Mathematics Business mathematics Finanzmathematik (DE-588)4017195-4 gnd Optionspreistheorie (DE-588)4135346-8 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Mathematik Derivative securities / Prices / Mathematics Business mathematics Finanzmathematik Optionspreistheorie Derivat Wertpapier |
| url | https://doi.org/10.1017/CBO9780511810107 |
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