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Mathematical Finance - Nikolai Dokuchaev

Mathematical Finance

Core Theory, Problems and Statistical Algorithms
Buch | Hardcover
196 Seiten
2007
Routledge (Verlag)
978-0-415-41447-0 (ISBN)
CHF 309,95 inkl. MwSt
Rigorous in style, yet easy to use, this comprehensive textbook offers a systematic, self-sufficient yet concise presentation of the main topics and related parts of Stochastic Analysis and statistical finance covered in most degree courses.
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 a 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.

Nikolai Dokuchaev is Associate Professor in the Department of Mathematics, Trent University, Ontario, Canada.

1. Review of Probability Theory 2. Basics of Stochastic Theory 3. Discrete Time Market Models 4. Basics of Ito Calculus and Stochastic Analysis 5. Continuous Time Market Models 6. American Options and Binomial Trees 7. Implied and Historical Volatility 8. Review of Statistical Estimation 9. Estimation of Models for Stock Prices

Erscheint lt. Verlag 1.2.2007
Reihe/Serie Routledge Advanced Texts in Economics and Finance
Zusatzinfo 6 Line drawings, black and white; 6 Illustrations, black and white
Verlagsort London
Sprache englisch
Maße 156 x 234 mm
Gewicht 430 g
Themenwelt Mathematik / Informatik Mathematik
Wirtschaft Betriebswirtschaft / Management
ISBN-10 0-415-41447-4 / 0415414474
ISBN-13 978-0-415-41447-0 / 9780415414470
Zustand Neuware
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