This is an ex-library book and may have the usual library/used-book markings inside.This book has hardback covers. In fair condition, suitable as a study copy. No dust jacket. Please note the Image in this listing is a stock photo and may not match the covers of the actual item,750grams, ISBN:9780821821237.

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Dati bibliografici

Titolo

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

Editore

American Mathematical Society

Data di pubblicazione

2001

Lingua

Inglese

ISBN 10

0821821237

ISBN 13

9780821821237

Rilegatura

Rilegato

Condizione

Fair

Peso

750 grammi

Cataloghi dei venditori

Mathematics

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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