Финансовая математика
Финансово-экономические дисциплины
  • формат pdf
  • размер 1.32 МБ
  • добавлен 18 января 2011 г.
Yor M. (ed.). Aspects of Mathematical Finance
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 financial industries.

These lectures were given at the "Acad?mie des Sciences" in Paris by inteationally renowned experts in mathematical finance, and later written up for this volume which develops, in simple yet rigorous terms, some challenging topics such as risk measures, the notion of arbitrage, dynamic models involving fundamental stochastic processes like Brownian motion and L?vy processes.

The Ariadnes thread leads the reader from Louis Bacheliers thesis 1900 to the famous Black-Scholes formula of 1973 and to most recent work close to Malliavins stochastic calculus of variations. The book also features a description of the trainings of French financial analysts which will help them to become experts in these fast evolving mathematical techniques.
Похожие разделы
Смотрите также

Сapinski M., Zastawniak T. Mathematics for Finance: An Introduction to Financial Engineering

  • формат pdf
  • размер 6.5 МБ
  • добавлен 16 февраля 2011 г.
Designed to form the basis of an undergraduate course in mathematical finance, this book builds on mathematical models of bond and stock prices and covers three major areas of mathematical finance that all have an enormous impact on the way modern financial markets operate, namely: Black-Scholes’ arbitrage pricing of options and other derivative securities; Markowitz portfolio optimization theory and the Capital Asset Pricing Model; and interest...

Bank P., Baudoin F., Paris-Princeton Lectures on Mathematical Finance

  • формат pdf
  • размер 860.48 КБ
  • добавлен 26 февраля 2011 г.
Paris-Princeton Lectures on Mathematical Finance (Springer, 2004)(ISBN 3540229531) The Paris-Princeton Lectures in Financial Mathematics, of which this is the first volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The aim is to produce a series of articles that can serve as an introductory reference for research in the field. It arise...

Bass R. The Basics of Financial Mathematics

  • формат pdf
  • размер 486.26 КБ
  • добавлен 24 августа 2010 г.
Department of Mathematics University of Connecticut, 2003. These are lecture notes on mathematical finance. Mathematical finance is not about predicting the price of a stock. What it is about is figuring out the price of options and derivatives. The sections of these notes can be grouped into five categories: elementary probability, the binomial asset pricing model, advanced probability, the continuous model, and term structure models.

Cerny A. Mathematical Techniques in Finance: Tools for Incomplete Markets

  • формат pdf
  • размер 2.44 МБ
  • добавлен 12 ноября 2011 г.
Princeton University Press, 2009. - 416 pages. Second Edition Originally published in 2003, Mathematical Techniques in Finance has become a standard textbook for master's-level finance courses containing a significant quantitative element while also being suitable for finance PhD students. This fully revised second edition continues to offer a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and...

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...

Joshi M.S. The Concepts of Mathematical Finance

  • формат pdf
  • размер 2.3 МБ
  • добавлен 12 апреля 2011 г.
M.S. Joshi, 2008. - 538 pages. An ideal introduction for those starting out as practitioners of mathematical finance, this book provides a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice. Strengths and weaknesses of different models, e.g. Black-Scholes, stochastic volatility, jump-diffusion and variance gamma, are examined. Both the theory and the implemen...

Pliska S.R. Introduction to Mathematical Finance: Discrete Time Models

  • формат djvu
  • размер 1.82 МБ
  • добавлен 05 октября 2011 г.
Blackwell Publishing Limited, 1997. - 262 pages. Pliska's book lays out the fundamentals of discrete time models in a clear and concise manner. The book is mostly self contained and well supported with examples that enhance understanding. I read it as a part of my introductory Phd finance course along with Theory of Financial Decision Making by Ingersoll and Foundations for Financial Economics Huang & Litzenberger (not direct competitors) a...

Roger P. Probability for Finance

  • формат pdf
  • размер 4.25 МБ
  • добавлен 06 февраля 2011 г.
BookBoon, 2010. - 115 pages. Lecture Notes from the Srasbourg Business School. This book is intented to be a technical support for students in finance. It is the reason why it is entitled "Probability for finance". Our purpose is to provide the essentials tools of probability theory useful to understand financial models. Consequently, almost all the examples illustrating probability results are taken from the fields of economics and finance. I...

Ross M.R. An Elementary Introduction to Mathematical Finance

  • формат pdf
  • размер 1.36 МБ
  • добавлен 06 августа 2011 г.
Cambridge University Press, 2011. - 328 pages. This textbook on the basics of option pricing is accessible to readers with limited mathematical training. It is for both professional traders and undergraduates studying the basics of finance. Assuming no prior knowledge of probability, Sheldon M. Ross offers clear, simple explanations of arbitrage, the Black-Scholes option pricing formula, and other topics such as utility functions, optimal portf...