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Asset pricing theory yields deep insights into crucial market phenomena such as stock market bubbles. Now in a newly revised and updated edition, this textbook guides the reader …
This work, now in a thoroughly revised second edition, presents the economic foundations of financial markets theory from a mathematically rigorous standpoint and offers a …
Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of …
Objectives and Audience In the past three decades, we have witnessed the phenomenal growth in the trading of financial derivatives and structured products in the financial markets …
Financial Markets Theory presents classical asset pricing theory, a theory composed of milestones such as portfolio selection, risk aversion, fundamental asset pricing theorem, …
This book describes the modelling of prices of ?nancial assets in a simple d- crete time, discrete state, binomial framework. By avoiding the mathematical …
This book is an outgrowth of notes compiled by the author while teaching courses for undergraduate and masters/MBA ?nance students at Washi- ton University in St. Louis and the …
Since its introduction in the early 1980s, the risk-neutral valuation principle has proved to be an important tool in the pricing and hedging of financial derivatives. Following …
Mathematical finance has grown into a huge area of research which requires a large number of sophisticated mathematical tools. This book simultaneously introduces the financial …
This encyclopedic, detailed exposition spans all the steps of one-period allocation from the foundations to the most advanced developments. Multivariate estimation methods are …