Advanced Mathematical Methods for Finance (Hardcover)

Julia Di Nunno

ISBN 10: 3642184111 / ISBN 13: 9783642184116

Editore: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Berlin, 2011

Riguardo questo articolo

Hardcover. This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Levy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed.The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products.This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance. This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.

Codice articolo 9783642184116

Dati bibliografici

• Titolo: Advanced Mathematical Methods for Finance (Hardcover)
• Editore: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Berlin
• Data di pubblicazione: 2011
• Lingua: Inglese
• ISBN 10: 3642184111
• ISBN 13: 9783642184116
• Rilegatura: Hardcover
• Condizione: new

Descrizione articolo

Riassunto

This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed.The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products.This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.

Informazioni sull?autore

Giulia Di Nunno and Bernt Øksendal are professors at the University of Oslo. Their work in stochastic analysis, control, and mathematical finance is internationally highly appreciated. They have been chairing the leadership of the large European ESF funded networking program AMaMeF in financial mathematics.