Mathematical techniques in finance

Tools for incomplete markets

Ales Cerny

352 pages, parution le 07/01/2004

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Résumé

Modern finance overlaps with many fields of mathematics, and for students this can represent considerable strain. Mathematical Techniques in Finance is an ideal textbook for Masters finance courses with a significant quantitative element while also being suitable for finance Ph.D. students. Developed for the highly acclaimed Master of Science in Finance program at Imperial College London, it offers a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and mathematics. In the best engineering tradition, Ales Cerný mixes tools from calculus, linear algebra, probability theory, numerical mathematics, and programming to analyze in an accessible way some of the most intriguing problems in financial economics. Eighty figures, over 70 worked examples, 25 simple ready-to-run computer programs, and several spreadsheets further enhance the learning experience. Each chapter is followed by a number of classroom-tested exercises with solutions available on the book's web site.

Applied mathematics is a craft that requires practice--this textbook provides plenty of opportunities to practice it and teaches cutting-edge finance into the bargain. Asset pricing is a common theme throughout the book; and readers can follow the development from discrete one-period models to continuous time stochastic processes. This textbook sets itself apart by the comprehensive treatment of pricing and risk measurement in incomplete markets, an area of current research that represents the future in risk management and investment performance evaluation.

L'auteur - Ales Cerny

Ales Cerný is Lecturer in Finance at The Business School, Imperial College London.

Sommaire

The simplest model of financial markets
Arbitrage and pricing ine the one-period model
Risk and period in the one-period model
Numerical techniques for optimal portfolio selection in incomplete markets
Pricing in dynamically complete markets
Towards continuous time
Fast Fourier transform
Information management
Martingales and change of measure in finance
Brownian motion and Itô formulae
Continuous-time finance
Dynamic option hedging and pricing in incomplete markets
A - Calculus
B - Probability
References
Index

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Princeton University Press
Auteur(s)	Ales Cerny
Parution	07/01/2004
Nb. de pages	352
Format	15,5 x 23,5
Couverture	Broché
Poids	560g
Intérieur	Noir et Blanc
EAN13	9780691088075
ISBN13	978-0-691-08807-5