Computational Financial Mathematics using MATHEMATICA: Optimal Trading in Stocks and Options
Given the explosion of interest in mathematical methods for solving problems in finance and trading, a great deal of research and development is taking place in universities, large brokerage firms, and in the supporting trading software industry. Mathematical advances have been made both analyticall...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Boston, MA
Birkhäuser Boston
2003
|
| Ausgabe: | 1st ed. 2003 |
| Schlagworte: | |
| Online-Zugang: | BTU01 Volltext |
| Zusammenfassung: | Given the explosion of interest in mathematical methods for solving problems in finance and trading, a great deal of research and development is taking place in universities, large brokerage firms, and in the supporting trading software industry. Mathematical advances have been made both analytically and numerically in finding practical solutions. This book provides a comprehensive overview of existing and original material, about what mathematics when allied with Mathematica can do for finance. Sophisticated theories are presented systematically in a user-friendly style, and a powerful combination of mathematical rigor and Mathematica programming. Three kinds of solution methods are emphasized: symbolic, numerical, and Monte-- Carlo. Nowadays, only good personal computers are required to handle the symbolic and numerical methods that are developed in this book. Key features: * No previous knowledge of Mathematica programming is required * The symbolic, numeric, data management and graphic capabilities of Mathematica are fully utilized * Monte--Carlo solutions of scalar and multivariable SDEs are developed and utilized heavily in discussing trading issues such as Black--Scholes hedging * Black--Scholes and Dupire PDEs are solved symbolically and numerically * Fast numerical solutions to free boundary problems with details of their Mathematica realizations are provided * Comprehensive study of optimal portfolio diversification, including an original theory of optimal portfolio hedging under non-Log-Normal asset price dynamics is presented The book is designed for the academic community of instructors and students, and most importantly, will meet the everyday trading needs of quantitatively inclined professional and individual investors |
| Beschreibung: | 1 Online-Ressource (XI, 481 p) |
| ISBN: | 9781461200437 |
| DOI: | 10.1007/978-1-4612-0043-7 |
Internformat
MARC
| LEADER | 00000nmm a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV046873079 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 200828s2003 |||| o||u| ||||||eng d | ||
| 020 | |a 9781461200437 |9 978-1-4612-0043-7 | ||
| 024 | 7 | |a 10.1007/978-1-4612-0043-7 |2 doi | |
| 035 | |a (ZDB-2-SBE)978-1-4612-0043-7 | ||
| 035 | |a (OCoLC)863700566 | ||
| 035 | |a (DE-599)BVBBV046873079 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-634 | ||
| 082 | 0 | |a 332 |2 23 | |
| 084 | |a SK 980 |0 (DE-625)143277: |2 rvk | ||
| 084 | |a ST 601 |0 (DE-625)143682: |2 rvk | ||
| 100 | 1 | |a Stojanovic, Srdjan |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Computational Financial Mathematics using MATHEMATICA |b Optimal Trading in Stocks and Options |c by Srdjan Stojanovic |
| 250 | |a 1st ed. 2003 | ||
| 264 | 1 | |a Boston, MA |b Birkhäuser Boston |c 2003 | |
| 300 | |a 1 Online-Ressource (XI, 481 p) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 520 | |a Given the explosion of interest in mathematical methods for solving problems in finance and trading, a great deal of research and development is taking place in universities, large brokerage firms, and in the supporting trading software industry. Mathematical advances have been made both analytically and numerically in finding practical solutions. This book provides a comprehensive overview of existing and original material, about what mathematics when allied with Mathematica can do for finance. Sophisticated theories are presented systematically in a user-friendly style, and a powerful combination of mathematical rigor and Mathematica programming. Three kinds of solution methods are emphasized: symbolic, numerical, and Monte-- Carlo. Nowadays, only good personal computers are required to handle the symbolic and numerical methods that are developed in this book. Key features: * No previous knowledge of Mathematica programming is required * The symbolic, numeric, data management and graphic capabilities of Mathematica are fully utilized * Monte--Carlo solutions of scalar and multivariable SDEs are developed and utilized heavily in discussing trading issues such as Black--Scholes hedging * Black--Scholes and Dupire PDEs are solved symbolically and numerically * Fast numerical solutions to free boundary problems with details of their Mathematica realizations are provided * Comprehensive study of optimal portfolio diversification, including an original theory of optimal portfolio hedging under non-Log-Normal asset price dynamics is presented The book is designed for the academic community of instructors and students, and most importantly, will meet the everyday trading needs of quantitatively inclined professional and individual investors | ||
| 650 | 4 | |a Finance, general | |
| 650 | 4 | |a Mathematical Software | |
| 650 | 4 | |a Quantitative Finance | |
| 650 | 4 | |a Computer Applications | |
| 650 | 4 | |a Partial Differential Equations | |
| 650 | 4 | |a Probability Theory and Stochastic Processes | |
| 650 | 4 | |a Finance | |
| 650 | 4 | |a Computer software | |
| 650 | 4 | |a Economics, Mathematical | |
| 650 | 4 | |a Application software | |
| 650 | 4 | |a Partial differential equations | |
| 650 | 4 | |a Probabilities | |
| 650 | 0 | 7 | |a Finanzmathematik |0 (DE-588)4017195-4 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Mathematica |g Programm |0 (DE-588)4268208-3 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Finanzmathematik |0 (DE-588)4017195-4 |D s |
| 689 | 0 | 1 | |a Mathematica |g Programm |0 (DE-588)4268208-3 |D s |
| 689 | 0 | |5 DE-604 | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |z 9781461265863 |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |z 9780817641979 |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |z 9781461200444 |
| 856 | 4 | 0 | |u https://doi.org/10.1007/978-1-4612-0043-7 |x Verlag |z URL des Erstveröffentlichers |3 Volltext |
| 912 | |a ZDB-2-SBE |a ZDB-2-BAE | ||
| 940 | 1 | |q ZDB-2-SBE_Archiv | |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-032283211 | ||
| 966 | e | |u https://doi.org/10.1007/978-1-4612-0043-7 |l BTU01 |p ZDB-2-SBE |q ZDB-2-SBE_Archiv |x Verlag |3 Volltext | |
Datensatz im Suchindex
| _version_ | 1804181722806353920 |
|---|---|
| adam_txt | |
| any_adam_object | |
| any_adam_object_boolean | |
| author | Stojanovic, Srdjan |
| author_facet | Stojanovic, Srdjan |
| author_role | aut |
| author_sort | Stojanovic, Srdjan |
| author_variant | s s ss |
| building | Verbundindex |
| bvnumber | BV046873079 |
| classification_rvk | SK 980 ST 601 |
| collection | ZDB-2-SBE ZDB-2-BAE |
| ctrlnum | (ZDB-2-SBE)978-1-4612-0043-7 (OCoLC)863700566 (DE-599)BVBBV046873079 |
| dewey-full | 332 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332 |
| dewey-search | 332 |
| dewey-sort | 3332 |
| dewey-tens | 330 - Economics |
| discipline | Informatik Mathematik Wirtschaftswissenschaften |
| discipline_str_mv | Informatik Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1007/978-1-4612-0043-7 |
| edition | 1st ed. 2003 |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>04046nmm a2200625zc 4500</leader><controlfield tag="001">BV046873079</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">200828s2003 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781461200437</subfield><subfield code="9">978-1-4612-0043-7</subfield></datafield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1007/978-1-4612-0043-7</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-2-SBE)978-1-4612-0043-7</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)863700566</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV046873079</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-634</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332</subfield><subfield code="2">23</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 980</subfield><subfield code="0">(DE-625)143277:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">ST 601</subfield><subfield code="0">(DE-625)143682:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Stojanovic, Srdjan</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Computational Financial Mathematics using MATHEMATICA</subfield><subfield code="b">Optimal Trading in Stocks and Options</subfield><subfield code="c">by Srdjan Stojanovic</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">1st ed. 2003</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Boston, MA</subfield><subfield code="b">Birkhäuser Boston</subfield><subfield code="c">2003</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (XI, 481 p)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">Given the explosion of interest in mathematical methods for solving problems in finance and trading, a great deal of research and development is taking place in universities, large brokerage firms, and in the supporting trading software industry. Mathematical advances have been made both analytically and numerically in finding practical solutions. This book provides a comprehensive overview of existing and original material, about what mathematics when allied with Mathematica can do for finance. Sophisticated theories are presented systematically in a user-friendly style, and a powerful combination of mathematical rigor and Mathematica programming. Three kinds of solution methods are emphasized: symbolic, numerical, and Monte-- Carlo. Nowadays, only good personal computers are required to handle the symbolic and numerical methods that are developed in this book. Key features: * No previous knowledge of Mathematica programming is required * The symbolic, numeric, data management and graphic capabilities of Mathematica are fully utilized * Monte--Carlo solutions of scalar and multivariable SDEs are developed and utilized heavily in discussing trading issues such as Black--Scholes hedging * Black--Scholes and Dupire PDEs are solved symbolically and numerically * Fast numerical solutions to free boundary problems with details of their Mathematica realizations are provided * Comprehensive study of optimal portfolio diversification, including an original theory of optimal portfolio hedging under non-Log-Normal asset price dynamics is presented The book is designed for the academic community of instructors and students, and most importantly, will meet the everyday trading needs of quantitatively inclined professional and individual investors</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Finance, general</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematical Software</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Quantitative Finance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Computer Applications</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Partial Differential Equations</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Probability Theory and Stochastic Processes</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Finance</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Computer software</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Economics, Mathematical </subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Application software</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Partial differential equations</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Probabilities</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Mathematica</subfield><subfield code="g">Programm</subfield><subfield code="0">(DE-588)4268208-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Mathematica</subfield><subfield code="g">Programm</subfield><subfield code="0">(DE-588)4268208-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe</subfield><subfield code="z">9781461265863</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe</subfield><subfield code="z">9780817641979</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe</subfield><subfield code="z">9781461200444</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.1007/978-1-4612-0043-7</subfield><subfield code="x">Verlag</subfield><subfield code="z">URL des Erstveröffentlichers</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-2-SBE</subfield><subfield code="a">ZDB-2-BAE</subfield></datafield><datafield tag="940" ind1="1" ind2=" "><subfield code="q">ZDB-2-SBE_Archiv</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-032283211</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1007/978-1-4612-0043-7</subfield><subfield code="l">BTU01</subfield><subfield code="p">ZDB-2-SBE</subfield><subfield code="q">ZDB-2-SBE_Archiv</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| id | DE-604.BV046873079 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T15:15:38Z |
| indexdate | 2024-07-10T08:56:11Z |
| institution | BVB |
| isbn | 9781461200437 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-032283211 |
| oclc_num | 863700566 |
| open_access_boolean | |
| owner | DE-634 |
| owner_facet | DE-634 |
| physical | 1 Online-Ressource (XI, 481 p) |
| psigel | ZDB-2-SBE ZDB-2-BAE ZDB-2-SBE_Archiv ZDB-2-SBE ZDB-2-SBE_Archiv |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | Birkhäuser Boston |
| record_format | marc |
| spelling | Stojanovic, Srdjan Verfasser aut Computational Financial Mathematics using MATHEMATICA Optimal Trading in Stocks and Options by Srdjan Stojanovic 1st ed. 2003 Boston, MA Birkhäuser Boston 2003 1 Online-Ressource (XI, 481 p) txt rdacontent c rdamedia cr rdacarrier Given the explosion of interest in mathematical methods for solving problems in finance and trading, a great deal of research and development is taking place in universities, large brokerage firms, and in the supporting trading software industry. Mathematical advances have been made both analytically and numerically in finding practical solutions. This book provides a comprehensive overview of existing and original material, about what mathematics when allied with Mathematica can do for finance. Sophisticated theories are presented systematically in a user-friendly style, and a powerful combination of mathematical rigor and Mathematica programming. Three kinds of solution methods are emphasized: symbolic, numerical, and Monte-- Carlo. Nowadays, only good personal computers are required to handle the symbolic and numerical methods that are developed in this book. Key features: * No previous knowledge of Mathematica programming is required * The symbolic, numeric, data management and graphic capabilities of Mathematica are fully utilized * Monte--Carlo solutions of scalar and multivariable SDEs are developed and utilized heavily in discussing trading issues such as Black--Scholes hedging * Black--Scholes and Dupire PDEs are solved symbolically and numerically * Fast numerical solutions to free boundary problems with details of their Mathematica realizations are provided * Comprehensive study of optimal portfolio diversification, including an original theory of optimal portfolio hedging under non-Log-Normal asset price dynamics is presented The book is designed for the academic community of instructors and students, and most importantly, will meet the everyday trading needs of quantitatively inclined professional and individual investors Finance, general Mathematical Software Quantitative Finance Computer Applications Partial Differential Equations Probability Theory and Stochastic Processes Finance Computer software Economics, Mathematical Application software Partial differential equations Probabilities Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Mathematica Programm (DE-588)4268208-3 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s Mathematica Programm (DE-588)4268208-3 s DE-604 Erscheint auch als Druck-Ausgabe 9781461265863 Erscheint auch als Druck-Ausgabe 9780817641979 Erscheint auch als Druck-Ausgabe 9781461200444 https://doi.org/10.1007/978-1-4612-0043-7 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Stojanovic, Srdjan Computational Financial Mathematics using MATHEMATICA Optimal Trading in Stocks and Options Finance, general Mathematical Software Quantitative Finance Computer Applications Partial Differential Equations Probability Theory and Stochastic Processes Finance Computer software Economics, Mathematical Application software Partial differential equations Probabilities Finanzmathematik (DE-588)4017195-4 gnd Mathematica Programm (DE-588)4268208-3 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4268208-3 |
| title | Computational Financial Mathematics using MATHEMATICA Optimal Trading in Stocks and Options |
| title_auth | Computational Financial Mathematics using MATHEMATICA Optimal Trading in Stocks and Options |
| title_exact_search | Computational Financial Mathematics using MATHEMATICA Optimal Trading in Stocks and Options |
| title_exact_search_txtP | Computational Financial Mathematics using MATHEMATICA Optimal Trading in Stocks and Options |
| title_full | Computational Financial Mathematics using MATHEMATICA Optimal Trading in Stocks and Options by Srdjan Stojanovic |
| title_fullStr | Computational Financial Mathematics using MATHEMATICA Optimal Trading in Stocks and Options by Srdjan Stojanovic |
| title_full_unstemmed | Computational Financial Mathematics using MATHEMATICA Optimal Trading in Stocks and Options by Srdjan Stojanovic |
| title_short | Computational Financial Mathematics using MATHEMATICA |
| title_sort | computational financial mathematics using mathematica optimal trading in stocks and options |
| title_sub | Optimal Trading in Stocks and Options |
| topic | Finance, general Mathematical Software Quantitative Finance Computer Applications Partial Differential Equations Probability Theory and Stochastic Processes Finance Computer software Economics, Mathematical Application software Partial differential equations Probabilities Finanzmathematik (DE-588)4017195-4 gnd Mathematica Programm (DE-588)4268208-3 gnd |
| topic_facet | Finance, general Mathematical Software Quantitative Finance Computer Applications Partial Differential Equations Probability Theory and Stochastic Processes Finance Computer software Economics, Mathematical Application software Partial differential equations Probabilities Finanzmathematik Mathematica Programm |
| url | https://doi.org/10.1007/978-1-4612-0043-7 |
| work_keys_str_mv | AT stojanovicsrdjan computationalfinancialmathematicsusingmathematicaoptimaltradinginstocksandoptions |