Author : Pierre Henry-Labordere
Publisher : CRC Press
Page : 403 pages
File Size : 11,94 MB
Release : 2008-09-22
Category : Business & Economics
ISBN : 1420087002
Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing is the first book that applies advanced analytical and geometrical methods used in physics and mathematics to the financial field. It even obtains new results when only approximate and partial solutions were previously available.Through the problem of option pricing, th
Author : Ralf Korn
Publisher : CRC Press
Page : 485 pages
File Size : 34,68 MB
Release : 2010-02-26
Category : Business & Economics
ISBN : 1420076191
Offering a unique balance between applications and calculations, Monte Carlo Methods and Models in Finance and Insurance incorporates the application background of finance and insurance with the theory and applications of Monte Carlo methods. It presents recent methods and algorithms, including the multilevel Monte Carlo method, the statistical Rom
Author : Alexander Melnikov
Publisher : CRC Press
Page : 324 pages
File Size : 17,20 MB
Release : 2011-04-25
Category : Business & Economics
ISBN : 1420070533
Risk Analysis in Finance and Insurance, Second Edition presents an accessible yet comprehensive introduction to the main concepts and methods that transform risk management into a quantitative science. Taking into account the interdisciplinary nature of risk analysis, the author discusses many important ideas from mathematics, finance, and actuaria
Author : Douglas Kennedy
Publisher : CRC Press
Page : 264 pages
File Size : 45,23 MB
Release : 2016-04-19
Category : Business & Economics
ISBN : 1439882711
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 ideas, Stochastic Financial Models provides a sound introduction to mathematical finance. The author takes a classical applied mathematical approach, focusing on calculations
Author : Hui Wang
Publisher : CRC Press
Page : 291 pages
File Size : 46,5 MB
Release : 2012-05-22
Category : Business & Economics
ISBN : 1466566906
Developed from the author's course on Monte Carlo simulation at Brown University, this text provides a self-contained introduction to Monte Carlo methods in financial engineering. It covers common variance reduction techniques, the cross-entropy method, and the simulation of diffusion process models. Requiring minimal background in mathematics and finance, the book includes numerous examples of option pricing, risk analysis, and sensitivity analysis as well as many hand-and-paper and MATLAB coding exercises at the end of every chapter.
Author : Ali Hirsa
Publisher : CRC Press
Page : 440 pages
File Size : 17,44 MB
Release : 2016-04-19
Category : Business & Economics
ISBN : 1466576049
Helping readers accurately price a vast array of derivatives, this self-contained text explains how to solve complex functional equations through numerical methods. It addresses key computational methods in finance, including transform techniques, the finite difference method, and Monte Carlo simulation. Developed from his courses at Columbia University and the Courant Institute of New York University, the author also covers model calibration and optimization and describes techniques, such as Kalman and particle filters, for parameter estimation.
Author : Christian Bluhm
Publisher : CRC Press
Page : 386 pages
File Size : 49,7 MB
Release : 2016-04-19
Category : Business & Economics
ISBN : 1584889934
Contains Nearly 100 Pages of New MaterialThe recent financial crisis has shown that credit risk in particular and finance in general remain important fields for the application of mathematical concepts to real-life situations. While continuing to focus on common mathematical approaches to model credit portfolios, Introduction to Credit Risk Modelin
Author : Ovidiu Calin
Publisher : World Scientific
Page : 557 pages
File Size : 23,78 MB
Release : 2023-11-21
Category : Mathematics
ISBN : 981128329X
This book is a comprehensive exploration of the interplay between Stochastic Analysis, Geometry, and Partial Differential Equations (PDEs). It aims to investigate the influence of geometry on diffusions induced by underlying structures, such as Riemannian or sub-Riemannian geometries, and examine the implications for solving problems in PDEs, mathematical finance, and related fields. The book aims to unify the relationships between PDEs, nonholonomic geometry, and stochastic processes, focusing on a specific condition shared by these areas known as the bracket-generating condition or Hörmander's condition. The main objectives of the book are:The intended audience for this book includes researchers and practitioners in mathematics, physics, and engineering, who are interested in stochastic techniques applied to geometry and PDEs, as well as their applications in mathematical finance and electrical circuits.
Author : Jan Vecer
Publisher : CRC Press
Page : 339 pages
File Size : 47,51 MB
Release : 2011-01-06
Category : Business & Economics
ISBN : 1439812527
This classroom-tested text provides a deep understanding of derivative contracts. Unlike much of the existing literature, the book treats price as a number of units of one asset needed for an acquisition of a unit of another asset instead of expressing prices in dollar terms exclusively. This numeraire approach leads to simpler pricing options for complex products, such as barrier, lookback, quanto, and Asian options. With many examples and exercises, the text relies on intuition and basic principles, rather than technical computations.
Author : Masaaki Kijima
Publisher : CRC Press
Page : 346 pages
File Size : 34,64 MB
Release : 2016-04-19
Category : Business & Economics
ISBN : 148221153X
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 involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools
