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Martingale Methods in Financial Modelling

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Martingale Methods in Financial Modelling

Martingale Methods in Financial Modelling by Marek Musiela
English | PDF | 1997 | 521 Pages | ISBN : 354061477X | 50.5 MB

The origin of this book can be traced to courses on financial mathemat­ ics taught by us at the University of New South Wales in Sydney, Warsaw University of Technology (Politechnika Warszawska) and Institut National Polytechnique de Grenoble. Our initial aim was to write a short text around the material used in two one-semester graduate courses attended by students with diverse disciplinary backgrounds (mathematics, physics, computer sci­ ence, engineering, economics and commerce).

Introduction to the Mathematics of Finance: From Risk Management to Options Pricing

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Introduction to the Mathematics of Finance: From Risk Management to Options Pricing

Introduction to the Mathematics of Finance: From Risk Management to Options Pricing by Steven Roman
English | PDF | 2004 | 358 Pages | ISBN : 0387213759 | 21.6 MB

The Mathematics of Finance has become a hot topic in applied mathematics ever since the discovery of the Black-Scholes option pricing formulas in 1973. Unfortunately, there are very few undergraduate textbooks in this area.

Introduction to Stochastic Calculus (Repost)

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Introduction to Stochastic Calculus (Repost)

Introduction to Stochastic Calculus by Rajeeva L. Karandikar
English | PDF,EPUB | 2018 | 446 Pages | ISBN : 9811083177 | 43.84 MB

This book sheds new light on stochastic calculus, the branch of mathematics that is most widely applied in financial engineering and mathematical finance. The first book to introduce pathwise formulae for the stochastic integral, it provides a simple but rigorous treatment of the subject, including a range of advanced topics. The book discusses in-depth topics such as quadratic variation, Ito formula, and Emery topology.

Stochastics of Environmental and Financial Economics

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Stochastics of Environmental and Financial Economics

Stochastics of Environmental and Financial Economics: Centre of Advanced Study, Oslo, Norway, 2014-2015 by Fred Espen Benth
English | EPUB | 2016 | 362 Pages | ISBN : 3319234242 | 7 MB

These Proceedings offer a selection of peer-reviewed research and survey papers by some of the foremost international researchers in the fields of finance, energy, stochastics and risk, who present their latest findings on topical problems.
The papers cover the areas of stochastic modeling in energy and financial markets; risk management with environmental factors from a stochastic control perspective; and valuation and hedging of derivatives in markets dominated by renewables, all of which further develop the theory of stochastic analysis and mathematical finance.

Tools for Computational Finance

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Tools for Computational Finance

Tools for Computational Finance by Rüdiger Seydel
English | PDF | 2004 | 256 Pages | ISBN : 3540406042 | 18.9 MB

This edition contains more material. The largest addition is a new section on jump processes (Section 1.9). The derivation of a related partial integro­ differential equation is included in Appendix A3. More material is devoted to Monte Carlo simulation. An algorithm for the standard workhorse of in­ verting the normal distribution is added to Appendix A7. New figures and more exercises are intended to improve the clarity at some places.

Martingale Methods in Financial Modelling (Repost)

Posted By: AvaxGenius
Martingale Methods in Financial Modelling (Repost)

Martingale Methods in Financial Modelling by Marek Musiela
English | PDF | 2005 | 721 Pages | ISBN : 3540209662 | 6.8 MB

This book provides a comprehensive, self-contained and up-to-date treatment of the main topics in the theory of option pricing. The first part of the text starts with discrete-time models of financial markets, including the Cox-Ross-Rubinstein binomial model.

FX Barrier Options: A Comprehensive Guide for Industry Quants

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FX Barrier Options: A Comprehensive Guide for Industry Quants

FX Barrier Options: A Comprehensive Guide for Industry Quants by Zareer Dadachanji
English | PDF,EPUB | 2015 | 274 Pages | ISBN : 1349561460 | 12.1 MB

Barrier options are a class of highly path-dependent exotic options which present particular challenges to practitioners in all areas of the financial industry. They are traded heavily as stand-alone contracts in the Foreign Exchange (FX) options market, their trading volume being second only to that of vanilla options.