Language:
English
繁體中文
Help
Login
Back
Switch To:
Labeled
|
MARC Mode
|
ISBD
Mathematical Finance
~
SpringerLink (Online service)
Mathematical Finance
Record Type:
Language materials, printed : Monograph/item
Title/Author:
Mathematical Finance/ by Ernst Eberlein, Jan Kallsen.
Author:
Eberlein, Ernst.
other author:
Kallsen, Jan.
Description:
XVII, 772 p. 34 illus., 32 illus. in color.online resource. :
Contained By:
Springer Nature eBook
Subject:
Economics, Mathematical . -
Online resource:
https://doi.org/10.1007/978-3-030-26106-1
ISBN:
9783030261061
Mathematical Finance
Eberlein, Ernst.
Mathematical Finance
[electronic resource] /by Ernst Eberlein, Jan Kallsen. - 1st ed. 2019. - XVII, 772 p. 34 illus., 32 illus. in color.online resource. - Springer Finance,1616-0533. - Springer Finance,.
Part I -- Stochastic Calculus -- Overview -- Discrete Stochastic Calculus -- Lévy Processes -- Stochastic Integration -- Semimartingale Characteristics -- Markov Processes -- Affine and Polynomial Processes -- Optimal Control -- Mathematical Finance -- Overview and Notation -- Equity models -- Markets, Strategies, Arbitrage -- Optimal Investment -- Arbitrage-Based Valuation and Hedging of Derivatives -- Mean-Variance Hedging -- Utility-Based Valuation and Hedging of Derivatives -- Interest Rate Models.
Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges thegap between introductory texts and the advanced literature in the field. Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance. Graduate students, researchers as well as practitioners will benefit from this monograph. .
ISBN: 9783030261061
Standard No.: 10.1007/978-3-030-26106-1doiSubjects--Topical Terms:
1253712
Economics, Mathematical .
LC Class. No.: HB135-147
Dewey Class. No.: 519
Mathematical Finance
LDR
:02851nam a22004095i 4500
001
1015125
003
DE-He213
005
20200701060057.0
007
cr nn 008mamaa
008
210106s2019 gw | s |||| 0|eng d
020
$a
9783030261061
$9
978-3-030-26106-1
024
7
$a
10.1007/978-3-030-26106-1
$2
doi
035
$a
978-3-030-26106-1
050
4
$a
HB135-147
072
7
$a
KF
$2
bicssc
072
7
$a
MAT003000
$2
bisacsh
072
7
$a
KF
$2
thema
082
0 4
$a
519
$2
23
100
1
$a
Eberlein, Ernst.
$e
author.
$4
aut
$4
http://id.loc.gov/vocabulary/relators/aut
$3
1309277
245
1 0
$a
Mathematical Finance
$h
[electronic resource] /
$c
by Ernst Eberlein, Jan Kallsen.
250
$a
1st ed. 2019.
264
1
$a
Cham :
$b
Springer International Publishing :
$b
Imprint: Springer,
$c
2019.
300
$a
XVII, 772 p. 34 illus., 32 illus. in color.
$b
online resource.
336
$a
text
$b
txt
$2
rdacontent
337
$a
computer
$b
c
$2
rdamedia
338
$a
online resource
$b
cr
$2
rdacarrier
347
$a
text file
$b
PDF
$2
rda
490
1
$a
Springer Finance,
$x
1616-0533
505
0
$a
Part I -- Stochastic Calculus -- Overview -- Discrete Stochastic Calculus -- Lévy Processes -- Stochastic Integration -- Semimartingale Characteristics -- Markov Processes -- Affine and Polynomial Processes -- Optimal Control -- Mathematical Finance -- Overview and Notation -- Equity models -- Markets, Strategies, Arbitrage -- Optimal Investment -- Arbitrage-Based Valuation and Hedging of Derivatives -- Mean-Variance Hedging -- Utility-Based Valuation and Hedging of Derivatives -- Interest Rate Models.
520
$a
Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges thegap between introductory texts and the advanced literature in the field. Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance. Graduate students, researchers as well as practitioners will benefit from this monograph. .
650
0
$a
Economics, Mathematical .
$3
1253712
650
0
$a
Probabilities.
$3
527847
650
0
$a
Financial engineering.
$3
591542
650
0
$a
Risk management.
$3
559158
650
0
$a
Finance—Mathematics.
$3
1280894
650
1 4
$a
Quantitative Finance.
$3
669372
650
2 4
$a
Probability Theory and Stochastic Processes.
$3
593945
650
2 4
$a
Financial Engineering.
$3
1107684
650
2 4
$a
Risk Management.
$3
569483
650
2 4
$a
Financial Mathematics.
$3
1204870
700
1
$a
Kallsen, Jan.
$4
aut
$4
http://id.loc.gov/vocabulary/relators/aut
$3
1116512
710
2
$a
SpringerLink (Online service)
$3
593884
773
0
$t
Springer Nature eBook
776
0 8
$i
Printed edition:
$z
9783030261054
776
0 8
$i
Printed edition:
$z
9783030261078
776
0 8
$i
Printed edition:
$z
9783030261085
830
0
$a
Springer Finance,
$x
1616-0533
$3
1254079
856
4 0
$u
https://doi.org/10.1007/978-3-030-26106-1
912
$a
ZDB-2-SMA
912
$a
ZDB-2-SXMS
950
$a
Mathematics and Statistics (SpringerNature-11649)
950
$a
Mathematics and Statistics (R0) (SpringerNature-43713)
based on 0 review(s)
Multimedia
Reviews
Add a review
and share your thoughts with other readers
Export
pickup library
Processing
...
Change password
Login