Principles of infinitesimal stochastic and financial analysis:
"There has been a tremendous growth in the volume of financial transactions based on mathematics, reflecting the confidence in the Nobel-Prize-winning Black-Scholes option theory. Risks emanating from obligatory future payments are covered by a strategy of trading with amounts not determined by...
Gespeichert in:
1. Verfasser: | |
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Singapore
World Scientific Pub. Co.
c2000
|
Schlagworte: | |
Online-Zugang: | FHN01 Volltext |
Zusammenfassung: | "There has been a tremendous growth in the volume of financial transactions based on mathematics, reflecting the confidence in the Nobel-Prize-winning Black-Scholes option theory. Risks emanating from obligatory future payments are covered by a strategy of trading with amounts not determined by guessing, but by solving equations, and with prices not resulting from offer and demand, but from computation. However, the mathematical theory behind that suffers from inaccessibility. This is due to the complexity of the mathematical foundation of the Black-Scholes model, which is the theory of continuous-time stochastic processes: a thorough study of mathematical finance is considered to be possible only at postgraduate level.The setting of this book is the discrete-time version of the Black-Scholes model, namely the Cox-Ross-Rubinstein model. The book gives a complete description of its background, which is now only the theory of finite stochastic processes. The novelty lies in the fact that orders of magnitude — in the sense of nonstandard analysis — are imposed on the parameters of the model. This not only makes the model more economically sound (such as rapid fluctuations of the market being represented by infinitesimal trading periods), but also leads to a significant simplification: the fundamental results of Black-Scholes theory are derived in full generality and with mathematical rigour, now at graduate level. The material has been repeatedly taught in a third-year course to econometricians." |
Beschreibung: | xii, 136 p. ill |
ISBN: | 9789812779229 |
Internformat
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Datensatz im Suchindex
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any_adam_object | |
author | Berg, Imme van den |
author_facet | Berg, Imme van den |
author_role | aut |
author_sort | Berg, Imme van den |
author_variant | i v d b ivd ivdb |
building | Verbundindex |
bvnumber | BV044635287 |
classification_rvk | SK 980 |
collection | ZDB-124-WOP |
ctrlnum | (ZDB-124-WOP)00004367 (OCoLC)1012714037 (DE-599)BVBBV044635287 |
dewey-full | 332.645 |
dewey-hundreds | 300 - Social sciences |
dewey-ones | 332 - Financial economics |
dewey-raw | 332.645 |
dewey-search | 332.645 |
dewey-sort | 3332.645 |
dewey-tens | 330 - Economics |
discipline | Mathematik Wirtschaftswissenschaften |
format | Electronic eBook |
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id | DE-604.BV044635287 |
illustrated | Not Illustrated |
indexdate | 2024-07-10T07:57:46Z |
institution | BVB |
isbn | 9789812779229 |
language | English |
oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030033259 |
oclc_num | 1012714037 |
open_access_boolean | |
owner | DE-92 |
owner_facet | DE-92 |
physical | xii, 136 p. ill |
psigel | ZDB-124-WOP ZDB-124-WOP FHN_PDA_WOP |
publishDate | 2000 |
publishDateSearch | 2000 |
publishDateSort | 2000 |
publisher | World Scientific Pub. Co. |
record_format | marc |
spelling | Berg, Imme van den Verfasser aut Principles of infinitesimal stochastic and financial analysis Imme van den Berg Singapore World Scientific Pub. Co. c2000 xii, 136 p. ill txt rdacontent c rdamedia cr rdacarrier "There has been a tremendous growth in the volume of financial transactions based on mathematics, reflecting the confidence in the Nobel-Prize-winning Black-Scholes option theory. Risks emanating from obligatory future payments are covered by a strategy of trading with amounts not determined by guessing, but by solving equations, and with prices not resulting from offer and demand, but from computation. However, the mathematical theory behind that suffers from inaccessibility. This is due to the complexity of the mathematical foundation of the Black-Scholes model, which is the theory of continuous-time stochastic processes: a thorough study of mathematical finance is considered to be possible only at postgraduate level.The setting of this book is the discrete-time version of the Black-Scholes model, namely the Cox-Ross-Rubinstein model. The book gives a complete description of its background, which is now only the theory of finite stochastic processes. The novelty lies in the fact that orders of magnitude — in the sense of nonstandard analysis — are imposed on the parameters of the model. This not only makes the model more economically sound (such as rapid fluctuations of the market being represented by infinitesimal trading periods), but also leads to a significant simplification: the fundamental results of Black-Scholes theory are derived in full generality and with mathematical rigour, now at graduate level. The material has been repeatedly taught in a third-year course to econometricians." Options (Finance) / Prices / Mathematical models Stochastic analysis Stochastische Analysis (DE-588)4132272-1 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s Stochastische Analysis (DE-588)4132272-1 s 1\p DE-604 Erscheint auch als Druck-Ausgabe 9789810243586 Erscheint auch als Druck-Ausgabe 9810243588 http://www.worldscientific.com/worldscibooks/10.1142/4468#t=toc Verlag URL des Erstveroeffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
spellingShingle | Berg, Imme van den Principles of infinitesimal stochastic and financial analysis Options (Finance) / Prices / Mathematical models Stochastic analysis Stochastische Analysis (DE-588)4132272-1 gnd Finanzmathematik (DE-588)4017195-4 gnd |
subject_GND | (DE-588)4132272-1 (DE-588)4017195-4 |
title | Principles of infinitesimal stochastic and financial analysis |
title_auth | Principles of infinitesimal stochastic and financial analysis |
title_exact_search | Principles of infinitesimal stochastic and financial analysis |
title_full | Principles of infinitesimal stochastic and financial analysis Imme van den Berg |
title_fullStr | Principles of infinitesimal stochastic and financial analysis Imme van den Berg |
title_full_unstemmed | Principles of infinitesimal stochastic and financial analysis Imme van den Berg |
title_short | Principles of infinitesimal stochastic and financial analysis |
title_sort | principles of infinitesimal stochastic and financial analysis |
topic | Options (Finance) / Prices / Mathematical models Stochastic analysis Stochastische Analysis (DE-588)4132272-1 gnd Finanzmathematik (DE-588)4017195-4 gnd |
topic_facet | Options (Finance) / Prices / Mathematical models Stochastic analysis Stochastische Analysis Finanzmathematik |
url | http://www.worldscientific.com/worldscibooks/10.1142/4468#t=toc |
work_keys_str_mv | AT bergimmevanden principlesofinfinitesimalstochasticandfinancialanalysis |