Hypermodels In Mathematical Finance: Modelling Via Infinitesimal Analysis

Siu-Ah Ng (Autor)

Buch | Hardcover

312 Seiten

2003
World Scientific Publishing Co Pte Ltd (Verlag)
978-981-02-4428-6 (ISBN)

Titel z.Zt. nicht lieferbar
Versandkostenfrei
Auch auf Rechnung

Artikel merken

At the beginning of the new millennium, two unstoppable processes are taking place in the world: (1) globalization of the economy; (2) information revolution. As a consequence, there is greater participation of the world population in capital market investment, such as bonds and stocks and their derivatives. Hence there is a need for risk management and analytic theory explaining the market. This leads to quantitative tools based on mathematical methods, i.e. the theory of mathematical finance.Ever since the pioneer work of Black, Scholes and Merton in the 70's, there has been rapid growth in the study of mathematical finance, involving ever more sophisticated mathematics. However, from the practitioner's point of view, it is desirable to have simpler and more useful mathematical tools.This book introduces research students and practitioners to the intuitive but rigorous hypermodel techniques in finance. It is based on Robinson's infinitesimal analysis, which is easily grasped by anyone with as little background as first-year calculus. It covers topics such as pricing derivative securities (including the Black-Scholes formula), hedging, term structure models of interest rates, consumption and equilibrium. The reader is introduced to mathematical tools needed for the aforementioned topics. Mathematical proofs and details are given in an appendix. Some programs in MATHEMATICA are also included.

Basic Concepts and Practice in Finance; Infinitesimal Analysis and Hypermodels; Absence of Arbitrage; Explicit Option Pricing; Pricing with Binary Tree Hypermodels; Further Applications; The Mathematics of Hypermodels; Appendix: Mathematica Programs.

Erscheint lt. Verlag	24.1.2003
Verlagsort	Singapore
Sprache	englisch
Themenwelt	Mathematik / Informatik ► Mathematik ► Analysis
	Wirtschaft ► Allgemeines / Lexika
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre
ISBN-10	981-02-4428-2 / 9810244282
ISBN-13	978-981-02-4428-6 / 9789810244286
Zustand	Neuware