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Robust Libor Modelling and Pricing of Derivative Products
One of Riskbook.com's Best of 2005 - Top Ten Finance BooksThe Libor market model remains one of the most popular and advanced tools for modelling interest rates and interest rate …
Stochastic Processes With Applications to Finance
Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards …
Credit Risk
Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk management system can be …
Portfolio Optimization and Performance Analysis
In answer to the intense development of new financial products and the increasing complexity of portfolio management theory, Portfolio Optimization and Performance Analysis offers …
Financial Mathematics
Versatile for Several Interrelated Courses at the Undergraduate and Graduate LevelsFinancial Mathematics: A Comprehensive Treatment provides a unified, self-contained account of …
Quantitative Finance
Quantitative Finance: An Object-Oriented Approach in C++ provides readers with a foundation in the key methods and models of quantitative finance. Keeping the material as …
Structured Credit Portfolio Analysis, Baskets and CDOs
The financial industry is swamped by credit products whose economic performance is linked to the performance of some underlying portfolio of credit-risky instruments, like loans, …
Quantitative Equity Portfolio Management
Quantitative equity portfolio management combines theories and advanced techniques from several disciplines, including financial economics, accounting, mathematics, and operational …
Engineering BGM
Also known as the Libor market model, the Brace-Gatarek-Musiela (BGM) model is becoming an industry standard for pricing interest rate derivatives. Written by one of its …
Understanding Risk
Sound risk management often involves a combination of both mathematical and practical aspects. Taking this into account, Understanding Risk: The Theory and Practice of Financial …
American-Style Derivatives
While the valuation of standard American option contracts has now achieved a fair degree of maturity, much work remains to be done regarding the new contractual forms that are …
Stochastic Financial Models
Filling the void between surveys of the field with relatively light mathematical content and books with a rigorous, formal approach to stochastic integration and probabilistic …