A primer for the mathematics of financial engineering /
| Основен автор: | Stefanica, Dan |
|---|---|
| Формат: | Книга |
| Език: | English |
| Публикувано: |
New York :
FE Press,
2011
|
| Издание: | 2nd ed. |
| Серия: |
Financial engineering advanced background series
|
| Предмети: | |
| Онлайн достъп: |
Book jacket |
Съдържание:
- Calculus review. Options. Put-call parity
- Numerical integration. Interest rates. Bonds
- Probability concepts. Black-Scholes formula. Greeks and hedging
- Lognormal variables. RIsk-neutral valuation
- Newton's method. Implied volatility. Bootstrapping
- Taylor's formula. Taylor series. Bond portfolio optimization. ATM approximations of Black-Scholes formulas
- Finite differences. Black-Scholes PDE
- Multivariable calculus: chain rule, double integrals, extremum points. Optimality of early exercise
- Lagrange multipliers. Portfolio optimization
- Mathematical appendix.