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Mathematical Finance

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Mathematical Finance/ by Ernst Eberlein, Jan Kallsen.
作者:	Eberlein, Ernst.
其他作者:	Kallsen, Jan.
面頁冊數:	XVII, 772 p. 34 illus., 32 illus. in color.online resource. :
Contained By:	Springer Nature eBook
標題:	Economics, Mathematical . -
電子資源:	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
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