Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics (Graduate Studies in Mathematics)

Korn, Ralf,Korn, Elke

ISBN 10: 0821821237 / ISBN 13: 9780821821237

Editore: Amer Mathematical Society, 2001

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Codice articolo S_422795385

Dati bibliografici

• Titolo: Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics (Graduate Studies in Mathematics)
• Editore: Amer Mathematical Society
• Data di pubblicazione: 2001
• Lingua: Inglese
• ISBN 10: 0821821237
• ISBN 13: 9780821821237
• Rilegatura: hardcover
• Condizione: Good

Descrizione articolo

Riassunto

Introduces Ito calculus, concentrating on applications in financial mathematics. Builds the standard diffusion type security market model, then treats the pricing of options in detail, introducing the method of option pricing via replication and no arbitrage. Presents a method of pricing options with partial differential equations, and presents examples of exotic options. Describes basics of Monte Carlo methods, tree methods, and finite difference methods, and deals with the martingale method and the stochastic control method for portfolio optimization. Assumes a previous basic course in probability theory. Author information is not given. Annotation c. Book News, Inc., Portland, OR (booknews.com)

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