Quantitative finance:
"This book falls broadly in the area of financial mathematics. It presents a multitude of topics that are relevant to the quantitative finance community. Experts in teaching and active in research, the authors aim to discuss theory in the context of applications to specific practical problems....
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ
Wiley
2020
|
| Schriftenreihe: | Wiley series in statistics in practice
|
| Schlagworte: | |
| Online-Zugang: | BFB01 UBY01 URL des Erstveröffentlichers Buchcover |
| Zusammenfassung: | "This book falls broadly in the area of financial mathematics. It presents a multitude of topics that are relevant to the quantitative finance community. Experts in teaching and active in research, the authors aim to discuss theory in the context of applications to specific practical problems. The book is complete with different coding techniques in R and MATLAB and generic pseudo-algorithms to modern finance. Starting with the theoretical backdrop needed from probability and stochastic processes and the description of financial instruments priced throughout the book, the classical Black-Scholes-Merton model is, then, presented in a uniquely accessible and understandable way. Implied volatility, local volatility surfaces, and general methods of inverting partial differential equations (PDE's) are, then, discussed. Two fundamental ways of calculating the price of options and other derivatives are showcased along with a solid presentation of the usual topics in fixed income derivatives, classical models, portfolio management, and hedging portfolios. The book concludes with several new and advanced models from current literature such as nonlinear PDE's for stochastic volatility models in a transaction fee market and PDE's in a jump-diffusion with stochastic volatility models. There are over 300 examples and exercises that are appropriate for the beginning learner and the practicing financier"-- |
| Beschreibung: | Includes index 1911 |
| Beschreibung: | 1 Online-Ressource Illustrationen |
| ISBN: | 9781118629956 9781118630006 |
Internformat
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Datensatz im Suchindex
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| adam_txt | |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Mariani, Maria C. Florescu, Ionuţ 1973- |
| author_GND | (DE-588)1212811283 (DE-588)1045740780 |
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| ctrlnum | (OCoLC)1146066162 (DE-599)BVBBV046632282 |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.01/5195 |
| dewey-search | 332.01/5195 |
| dewey-sort | 3332.01 45195 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| discipline_str_mv | Mathematik Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV046632282 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T14:11:35Z |
| indexdate | 2024-07-10T08:49:46Z |
| institution | BVB |
| isbn | 9781118629956 9781118630006 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-032043802 |
| oclc_num | 1146066162 |
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| owner_facet | DE-522 DE-706 |
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| publishDate | 2020 |
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| publisher | Wiley |
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| series2 | Wiley series in statistics in practice |
| spelling | Mariani, Maria C. Verfasser (DE-588)1212811283 aut Quantitative finance Maria C. Mariani (University of Texas at El Paso, Texas, United States) Ionut Florescu (Stevens Intistute of Technology, Hoboken, United States) Hoboken, NJ Wiley 2020 1 Online-Ressource Illustrationen txt rdacontent c rdamedia cr rdacarrier Wiley series in statistics in practice Includes index 1911 "This book falls broadly in the area of financial mathematics. It presents a multitude of topics that are relevant to the quantitative finance community. Experts in teaching and active in research, the authors aim to discuss theory in the context of applications to specific practical problems. The book is complete with different coding techniques in R and MATLAB and generic pseudo-algorithms to modern finance. Starting with the theoretical backdrop needed from probability and stochastic processes and the description of financial instruments priced throughout the book, the classical Black-Scholes-Merton model is, then, presented in a uniquely accessible and understandable way. Implied volatility, local volatility surfaces, and general methods of inverting partial differential equations (PDE's) are, then, discussed. Two fundamental ways of calculating the price of options and other derivatives are showcased along with a solid presentation of the usual topics in fixed income derivatives, classical models, portfolio management, and hedging portfolios. The book concludes with several new and advanced models from current literature such as nonlinear PDE's for stochastic volatility models in a transaction fee market and PDE's in a jump-diffusion with stochastic volatility models. There are over 300 examples and exercises that are appropriate for the beginning learner and the practicing financier"-- Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Business mathematics Finance / Mathematical models Finance / Econometric models Finanzmathematik (DE-588)4017195-4 s Ökonometrisches Modell (DE-588)4043212-9 s DE-604 Florescu, Ionuţ 1973- Verfasser (DE-588)1045740780 aut Erscheint auch als Online-Ausgabe, PDF 978-1-118-62996-3 Erscheint auch als Online-Ausgabe, EPUB 978-1-118-62988-8 Erscheint auch als Druck-Ausgabe 978-1-118-62995-6 https://onlinelibrary.wiley.com/doi/book/10.1002/9781118630006 URL des Erstveröffentlichers Volltext SWB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032043802&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Buchcover |
| spellingShingle | Mariani, Maria C. Florescu, Ionuţ 1973- Quantitative finance Finanzmathematik (DE-588)4017195-4 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4043212-9 |
| title | Quantitative finance |
| title_auth | Quantitative finance |
| title_exact_search | Quantitative finance |
| title_exact_search_txtP | Quantitative finance |
| title_full | Quantitative finance Maria C. Mariani (University of Texas at El Paso, Texas, United States) Ionut Florescu (Stevens Intistute of Technology, Hoboken, United States) |
| title_fullStr | Quantitative finance Maria C. Mariani (University of Texas at El Paso, Texas, United States) Ionut Florescu (Stevens Intistute of Technology, Hoboken, United States) |
| title_full_unstemmed | Quantitative finance Maria C. Mariani (University of Texas at El Paso, Texas, United States) Ionut Florescu (Stevens Intistute of Technology, Hoboken, United States) |
| title_short | Quantitative finance |
| title_sort | quantitative finance |
| topic | Finanzmathematik (DE-588)4017195-4 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| topic_facet | Finanzmathematik Ökonometrisches Modell |
| url | https://onlinelibrary.wiley.com/doi/book/10.1002/9781118630006 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032043802&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT marianimariac quantitativefinance AT florescuionut quantitativefinance |