| Description |
1 online resource (412 pages) |
| Contents |
Preliminaries; Contents; Preface to the Second Edition; From the Preface to the First Edition; 1 The Simplest Model of Financial Markets; 2 Arbitrage and Pricing in the One Period Model; 3 Risk and Return in the One-Period Model; 4 Numerical Techniques for Optimal Portfolio Selection in Incomplete Markets; 5 Pricing in Dynamically Complete Markets; 6 Towards Continuous Time; 7 Fast Fourier Transform; 8 Information Management; 9 Martingales and Change of Measure in Finance; 10 Brownian Motion and It o Formulae; 11 Continuous Time Finance; 12 Finite Difference Methods |
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13 Dynamic Option Hedging and Pricing in Incomplete MarketsAppendix A Calculus; Appendix B Probability; References; Index |
| Summary |
Originally published in 2003, Mathematical Techniques in Finance has become a standard textbook for master's-level finance courses containing a significant quantitative element while also being suitable for finance PhD students. This fully revised second edition continues to offer a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and mathematics, and provides plenty of opportunities for students to practice applied mathematics and cutting-edge finance. Ales Cern mixes tools from calculus, linear algebra, probability theory, numerical mathemat |
| Notes |
English |
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Print version record |
| Subject |
Finance -- Mathematical models.
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Pricing -- Mathematical models
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Risk management -- Mathematical models
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Derivative securities -- Mathematics
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Derivative securities -- Mathematics
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Finance -- Mathematical models
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Pricing -- Mathematical models
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Risk management -- Mathematical models
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| Form |
Electronic book
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| ISBN |
9780691141213 |
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0691141215 |
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1282608142 |
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9781282608146 |
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9781400831487 |
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1400831482 |
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