Geon Ho Choe
Quantitative Methods for Finance with Simulations I
An Introduction to Stochastic Analysis and Option Pricing
Gebonden Engels 2026 9783032123268Levertijd ± 9 werkdagen
Gratis verzonden
Samenvatting
This self-contained book is the first of a two-volume set providing a thorough introduction to quantitative finance, covering both theoretical and computational methods.
This volume covers stochastic analysis, option pricing theory, optimal portfolio investment, and bond pricing. Computer simulations in Matlab and Python are provided to illustrate theoretical ideas. Background in mathematics is included in the appendices and the level of familiarity with computer programming is kept to a minimum.
Specificaties
ISBN13:9783032123268
Taal:Engels
Bindwijze:Gebonden
Aantal pagina's:636
Uitgever:Springer Nature Switzerland
Hoofdrubriek:, Financieel management
Thema:
K Economie, Financiën, Bedrijf en Management
Lezersrecensies
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Inhoudsopgave
Fundamental Concepts.- Financial Derivatives.- The Lebesgue Integral.- Basic Probability Theory.- Conditional Expectation.- Stochastic Processes.- Brownian Motion.- The Reflection Principle of Brownian Motion.- The Itô Integral.- The Itô Formula.- Girsanov’s Theorem.- Stochastic Differential Equations.- The Feynman Kac Theorem.- The Binomial Tree Method for Option Pricing.- The Black Scholes Merton Differential Equation.- The Martingale Method.- Pricing of Vanilla Options.- Pricing of Exotic Options.- American Options.- The Capital Asset Pricing Model.- Dynamic Programming.- Bond Pricing.- Short Rate Models.- Numeraires.
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