Bibliograph

Financial mathematics, a comprehensive treatment, by Giuseppe Campolieti, Roman Makarov

Type

Label

Financial mathematics, a comprehensive treatment, by Giuseppe Campolieti, Roman Makarov

Language

eng

Bibliography note

Includes bibliographical references and index

Illustrations

illustrations

Index

index present

Literary Form

non fiction

Main title

Financial mathematics

Oclc number

818460846

Responsibility statement

by Giuseppe Campolieti, Roman Makarov

Sub title

a comprehensive treatment

Summary

Provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of the authors' teaching experiences, the book encompasses a breadth of topics, from introductory to more advanced ones --, Provided by Publisher

Table Of Contents

I. Introduction to pricing and management of financial securites: Mathematics of Compounding -- Primer on Pricing Risky Securities -- Portfolio Management -- Primer on Derivative Securities -- II. Discrete-time modeling: Single-Period Arrow-Debreu Models -- Introduction to Discrete-Time Stochastic Calculus -- Replication and Pricing in the Binomial Tree Model -- General Multi-Asset Multi-Period Model -- III. Continuous-time modeling: Essentials of General Probability Theory -- One-Dimensional Brownian Motion and Related Processes -- Introduction to Continuous-Time Stochastic Calculus -- Risk-Neutral Pricing in the (B, S) Economy: One Underlying Stock -- Risk-Neutral Pricing in a Multi-Asset Economy -- American Options -- Interest-Rate Modelling and Derivative Pricing -- Alternative Models of Asset Price Dynamics -- IV. Computational Techniques -- Introduction to Monte Carlo and Simulation Methods -- Numerical Applications to Derivative Pricing

Contributor