Mathematical techniques in finance : tools for incomplete markets /
| Основен автор: | Cernay, Alees, 1971- |
|---|---|
| Формат: | Книга |
| Език: | English |
| Публикувано: |
Princeton, N.J. :
Princeton University Press,
c2004.
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| Предмети: | |
| Онлайн достъп: |
Publisher description Table of contents |
Съдържание:
- The simplest model of financial markets
- Arbitrage and pricing in the one-period model
- Risk and return in the one-period model
- Numerical techniques for optimal portfolio selection in incomplete markets
- Pricing in dynamically complete markets
- Towards continuous time
- Fast fourier transform
- Information management
- Martingales and change of measure in finance
- Brownian motion and Itao formulae
- Continuous-time finance
- Dynamic option hedging and pricing in incomplete markets.