Mathematical Finance: Core Theory, Problems and Statistical Algorithms

Nikolai Dokuchaev

208 pages, parution le 31/01/2007

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Résumé

Written in a rigorous yet logical and easy to use style, spanning a range of disciplines, including business, mathematics, finance and economics, this comprehensive textbook offers a systematic, self-sufficient yet concise presentation of the main topics and related parts of Stochastic Analysis and statistical finance that are covered in the majority of university programmes.

Providing all explanations of basic concepts and results with proofs and numerous examples and problems, it includes:

an introduction to probability theory
a detailed study of discrete and continuous time market models
a comprehensive review of Ito calculus and statistical methods as a basis for statistical estimation of models for pricing
a detailed discussion of options and their pricing, including American options in continuous time setting.

An excellent introduction to the topic, this textbook is an essential resource for all students on undergraduate and postgraduate courses and advanced degree programs in econometrics, finance, applied mathematics and mathematical modelling as well as academics and practitioners.

Sommaire

Review of Probability Theory
Basics of Stochastic Theory
Discrete Time Market Models
Basics of Ito Calculus and Stochastic Analysis
Continuous Time Market Models
American Options and Binomial Trees
Implied and Historical Volatility
Review of Statistical Estimation
Estimation of Models for Stock Prices

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Routledge
Auteur(s)	Nikolai Dokuchaev
Parution	31/01/2007
Nb. de pages	208
Format	15,5 x 23,5
Couverture	Broché
Poids	320g
Intérieur	Noir et Blanc
EAN13	9780415414487
ISBN13	978-0-415-41448-7