Risk Neutral Pricing And Financial Mathematics
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Risk Neutral Pricing and Financial Mathematics
Author | : Peter M. Knopf,John L. Teall |
Publsiher | : Elsevier |
Total Pages | : 348 |
Release | : 2015-07-29 |
Genre | : Business & Economics |
ISBN | : 9780128017272 |
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Risk Neutral Pricing and Financial Mathematics: A Primer provides a foundation to financial mathematics for those whose undergraduate quantitative preparation does not extend beyond calculus, statistics, and linear math. It covers a broad range of foundation topics related to financial modeling, including probability, discrete and continuous time and space valuation, stochastic processes, equivalent martingales, option pricing, and term structure models, along with related valuation and hedging techniques. The joint effort of two authors with a combined 70 years of academic and practitioner experience, Risk Neutral Pricing and Financial Mathematics takes a reader from learning the basics of beginning probability, with a refresher on differential calculus, all the way to Doob-Meyer, Ito, Girsanov, and SDEs. It can also serve as a useful resource for actuaries preparing for Exams FM and MFE (Society of Actuaries) and Exams 2 and 3F (Casualty Actuarial Society). Includes more subjects than other books, including probability, discrete and continuous time and space valuation, stochastic processes, equivalent martingales, option pricing, term structure models, valuation, and hedging techniques Emphasizes introductory financial engineering, financial modeling, and financial mathematics Suited for corporate training programs and professional association certification programs
Risk Neutral Valuation
Author | : Nicholas H. Bingham,Rudiger Kiesel |
Publsiher | : Springer Science & Business Media |
Total Pages | : 306 |
Release | : 2013-06-29 |
Genre | : Mathematics |
ISBN | : 9781447136194 |
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With a simple approach accessible to a wide audience, this book aims for the heart of mathematical finance: the fundamental formula of arbitrage pricing theory. This method of pricing discounts everything and takes expected values under the equivalent martingale measure. The authors approach is simple and excludes unnecessary proofs of measure-theoretic probability, instead, it favors techniques and examples of proven interest to financial practitioners.
Risk Neutral Valuation
Author | : Nicholas H. Bingham,Rüdiger Kiesel |
Publsiher | : Springer Science & Business Media |
Total Pages | : 447 |
Release | : 2013-06-29 |
Genre | : Mathematics |
ISBN | : 9781447138563 |
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This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives. On the probabilistic side, both discrete- and continuous-time stochastic processes are treated, with special emphasis on martingale theory, stochastic integration and change-of-measure techniques. Based on firm probabilistic foundations, general properties of discrete- and continuous-time financial market models are discussed.
Risk neutral Valuation
Author | : N. H. Bingham,Rüdiger Kiesel |
Publsiher | : Springer Verlag |
Total Pages | : 296 |
Release | : 1998 |
Genre | : Mathematics |
ISBN | : 1852330015 |
Download Risk neutral Valuation Book in PDF, Epub and Kindle
With a simple approach accessible to a wide audience, this book aims for the heart of mathematical finance: the fundamental formula of arbitrage pricing theory. This method of pricing discounts everything and takes expected values under the equivalent martingale measure. The authors approach is simple and excludes unnecessary proofs of measure-theoretic probability, instead, it favors techniques and examples of proven interest to financial practitioners.
Stochastic Calculus for Finance I
Author | : Steven Shreve |
Publsiher | : Springer Science & Business Media |
Total Pages | : 212 |
Release | : 2005-06-28 |
Genre | : Mathematics |
ISBN | : 0387249680 |
Download Stochastic Calculus for Finance I Book in PDF, Epub and Kindle
Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance
Financial Mathematics Derivatives and Structured Products
Author | : Raymond H. Chan,Yves ZY. Guo,Spike T. Lee,Xun Li |
Publsiher | : Springer |
Total Pages | : 395 |
Release | : 2019-02-27 |
Genre | : Mathematics |
ISBN | : 9789811336966 |
Download Financial Mathematics Derivatives and Structured Products Book in PDF, Epub and Kindle
This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales or risk managers. As the book seeks to unify the derivatives modelling and the financial engineering practice in the market, it will be of interest to financial practitioners and academic researchers alike. Further, it takes a different route from the existing financial mathematics books, and will appeal to students and practitioners with or without a scientific background. The book can also be used as a textbook for the following courses: • Financial Mathematics (undergraduate level) • Stochastic Modelling in Finance (postgraduate level) • Financial Markets and Derivatives (undergraduate level) • Structured Products and Solutions (undergraduate/postgraduate level)
Financial Mathematics
Author | : Giuseppe Campolieti,Roman N. Makarov |
Publsiher | : CRC Press |
Total Pages | : 511 |
Release | : 2022-12-21 |
Genre | : Business & Economics |
ISBN | : 9780429889103 |
Download Financial Mathematics Book in PDF, Epub and Kindle
The book has been tested and refined through years of classroom teaching experience. With an abundance of examples, problems, and fully worked out solutions, the text introduces the financial theory and relevant mathematical methods in a mathematically rigorous yet engaging way. This textbook provides complete coverage of continuous-time financial models that form the cornerstones of financial derivative pricing theory. Unlike similar texts in the field, this one presents multiple problem-solving approaches, linking related comprehensive techniques for pricing different types of financial derivatives. Key features: In-depth coverage of continuous-time theory and methodology Numerous, fully worked out examples and exercises in every chapter Mathematically rigorous and consistent, yet bridging various basic and more advanced concepts Judicious balance of financial theory and mathematical methods Guide to Material This revision contains: Almost 150 pages worth of new material in all chapters A appendix on probability theory An expanded set of solved problems and additional exercises Answers to all exercises This book is a comprehensive, self-contained, and unified treatment of the main theory and application of mathematical methods behind modern-day financial mathematics. The text complements Financial Mathematics: A Comprehensive Treatment in Discrete Time, by the same authors, also published by CRC Press.
A Benchmark Approach to Quantitative Finance
Author | : Eckhard Platen,David Heath |
Publsiher | : Springer Science & Business Media |
Total Pages | : 704 |
Release | : 2006-10-28 |
Genre | : Business & Economics |
ISBN | : 9783540478560 |
Download A Benchmark Approach to Quantitative Finance Book in PDF, Epub and Kindle
A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. This book presents the necessary mathematical tools, followed by a thorough introduction to financial modeling under the benchmark approach, explaining various quantitative methods for the fair pricing and hedging of derivatives.