Cont R., Tankov P. Financial Modelling with Jump Processes

формат djvu
размер 4.88 МБ
добавлен 22 сентября 2011 г.

Boca Raton, CRC Press LLC, 2004. - 527p.

Монография посвящена построению финансовой математики на основе более реалистичного предположения, чем гауссово броуновское движение. Рассматриваются модели типа "прыжок-диффузия", процессы Леви, обобщения на многомерный случай. Изучаются аспекты численного моделирования. Строится теория опционного ценообразования на основе такой модели, предлагаются подходы к расчётам цены опционов. Обсуждаются модели, неоднородные во времени и модели стохастической волатильности. Для научных работников и аспирантов в области финансовой математики и теории случайных процессов.

Похожие разделы

Смотрите также

Benninga Simon. Financial Modeling

формат pdf
размер 12.29 МБ
добавлен 20 февраля 2011 г.

This book presents some important financial models and shows how they can be solved numerically and/or simulated using Excel. In this sense this is a finance "cookbook"; like any cookbook, it gives recipes with a list of ingredients and instructions for making and baking. As any cook knows, a recipe is just a starting point; having followed the recipe a number of times, you can think of your own variations and make the results suit your tastes an...

Birge J.R, Linetsky V. Financial Engineering (Handbooks in Operations Research and Management Science)

формат pdf
размер 5.22 МБ
добавлен 24 августа 2011 г.

Год издания: 2007 Количество страниц - 1027 The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stocha...

Day A. Mastering Financial Mathematics in Microsoft Excel: A Practical Guide for Business Calculations

формат pdf
размер 13.28 МБ
добавлен 07 октября 2011 г.

Prentice Hall, 2010. - 384 pages. 2nd Edition Designed for finance directors, finance managers, analysts and decision-makers, Mastering Financial Mathematics in Microsoft Excel, is a practical guide to applying Excel for solving mathematical problems. Financial mathematics can be applied more quickly and easily in Excel than any other package, there is therefore demand for a book in this field. Will improve financial managers’ abilities w...

Focardi S., Fabozzi F.J. The mathematics of financial modeling and investment management

формат pdf
размер 8.89 МБ
добавлен 26 февраля 2011 г.

Wiley, 2004, 800 pp. The Mathematics of Financial Modeling & Investment Management covers a wide range of technical topics in mathematics and finance-enabling the investment management practitioner, researcher, or student to fully understand the process of financial decision-making and its economic. Using a wealth of real-world examples, Focardi and Fabozzi simultaneously show both the mathematical techniques and the areas in finance where...

Gerver R.K., Sgroi R.J. Financial Algebra

формат pdf
размер 61.49 МБ
добавлен 21 октября 2011 г.

Cengage Learning, 2010. - 577 pages. By combining algebraic and graphical approaches with practical business and personal finance applications, South-Western's "Financial Algebra", motivates high school students to explore algebraic thinking patterns and functions in a financial context. FINANCIAL ALGEBRA will help your students achieve success by offering an applications based learning approach incorporating Algebra I, Algebra II, and Geometry...

Lyuu Y.D. Financial Engineering and Computation - Principles, Mathematics and Algorithms

формат pdf
размер 9.5 МБ
добавлен 22 октября 2011 г.

Unlike most books on investments, financial engineering, or derivative securities, the book starts from basic ideas in finance and gradually builds up the theory. Modern Finance:A Brief History Financial Engineering and Computation Financial Markets Computer Technology Analysis of Algorithms Complexity Analysis of Algorithms Description of Algorithms Software Implementation Basic Financial Mathematics Bond Price Volatility Term Structure of Inte...

Roberts A.J. Elementary Calculus of Financial Mathematics

формат pdf
размер 1.71 МБ
добавлен 08 февраля 2010 г.

© 2009 by the Society for Industrial and Applied Mathematics. Contents. Preface. List of Algorithms. Financial Indices Appear to Be Stochastic Processes. Brownianmotionis alsocalledaWienerprocess. Stochastic drift and volatility are unique. Basic numerics simulate anSDE. A binomial lattice prices call option. Summary. Exercises. Ito’s Stochastic Calculus Introduced. Multiplicative noise reduces exponential growth. Ito’s formulasolves som...

Sengupta C. Financial Modeling Using Excel and VBA

формат pdf
размер 8.92 МБ
добавлен 08 января 2012 г.

Wiley Publishing, Inc., 2004. – 670 pages. This book, designed for self-study, classroom use, and reference, presents a comprehensive approach for developing simple to sophisticated financial models in all major areas of finance using both Excel and VBA. The approach is based on my long experience in the business world developing a wide variety of financial models and in the classroom teaching an MBA course in financial modeling that students fin...

Wilmott Paul. Quantitative Finance

формат pdf
размер 14.89 МБ
добавлен 15 ноября 2011 г.

One mathematical and financial foundations. Basic theory of derivatives. Risk and return. Products and Markets. Derivatives. The Random Behavior of Assets. Elementary Stochastic Calculus. The Black–Scholes Model. al Differential Equations. The Black–Scholes Formulae and the ‘Greeks’. Simple Generalizations of the Black–Scholes World. Early Exercise and American Options. Probability Density Functions and First-exit times. Multi-asset Options. Ho...

Yor M. (ed.). Aspects of Mathematical Finance

формат pdf
размер 1.32 МБ
добавлен 18 января 2011 г.

Springer, 2008. - 80 pages. Considering the stupendous gain in importance, in the banking and insurance industries since the early 1990s, of mathematical methodology, especially probabilistic methodology, it was a very natural idea for the French "Acad?mie des Sciences" to propose a series of public lectures, accessible to an educated audience, to promote a wider understanding for some of the fundamental ideas, techniques and new tools of the fi...