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Mathematical Finance: Theory Review and Exercises

Posted By: AvaxGenius
Mathematical Finance: Theory Review and Exercises

Mathematical Finance: Theory Review and Exercises by Emanuela Rosazza Gianin , Carlo Sgarra
English | PDF,EPUB | 2023 | 310 Pages | ISBN : 3031283775 | 21.8 MB

The book is conceived as a guide to solve exercises in Mathematical Finance and a complement to theoretical lectures. The potential audience consists of students in Applied Mathematics, Engineering and Economics, attending courses in Mathematical Finance. The most important subjects covered by this textbook are Pricing and Hedging of different classes of financial derivatives (European, American Exotic options, Fixed Income derivatives) in the most popular modeling frameworks, both in discrete and continuous time setting, like the Binomial and the Black-Scholes models. A Chapter on static portfolio optimization, one on pricing for more advanced models and one on Risk Measures complete the overview on the main issues presented in classical courses on Mathematical Finance. About one hundred exercises are proposed, and a large amount of them provides a detailed solution, while a few are left as an exercise to the reader. Every chapter includes a brief resume of the main theoretical results to apply. This textbook is the result of several years of teaching experience of both the authors.

Automatic Nonuniform Random Variate Generation

Posted By: AvaxGenius
Automatic Nonuniform Random Variate Generation

Automatic Nonuniform Random Variate Generation by Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger
English | PDF | 2004 | 439 Pages | ISBN : 3540406522 | 39.1 MB

Non-uniform random variate generation is an established research area in the intersection of mathematics, statistics and computer science. Although random variate generation with popular standard distributions have become part of every course on discrete event simulation and on Monte Carlo methods, the recent concept of universal (also called automatic or black-box) random variate generation can only be found dispersed in literature.

Computational Methods for Option Pricing

Posted By: arundhati
Computational Methods for Option Pricing

Yves Achdou, "Computational Methods for Option Pricing "
English | ISBN: 0898715733 | 2005 | 184 pages | PDF | 33 MB

The Fitted Finite Volume and Power Penalty Methods for Option Pricing

Posted By: AvaxGenius
The Fitted Finite Volume and Power Penalty Methods for Option Pricing

The Fitted Finite Volume and Power Penalty Methods for Option Pricing by Song Wang
English | EPUB | 2020 | 99 Pages | ISBN : 9811595577 | 12.9 MB

This book contains mostly the author’s up-to-date research results in the area. Option pricing has attracted much attention in the past decade from applied mathematicians, statisticians, practitioners and educators. Many partial differential equation-based theoretical models have been developed for valuing various options.

The Fitted Finite Volume and Power Penalty Methods for Option Pricing

Posted By: roxul
The Fitted Finite Volume and Power Penalty Methods for Option Pricing

Song Wang, "The Fitted Finite Volume and Power Penalty Methods for Option Pricing "
English | ISBN: 9811595577 | 2020 | 102 pages | PDF | 4 MB

Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach (Repost)

Posted By: AvaxGenius
Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach (Repost)

Pricing Interest-Rate Derivatives: A Fourier-Transform Based Approach by Markus Bouziane
English | PDF | 2008 | 207 Pages | ISBN : 3540770658 | 5.2 MB

In a hypothetical conversation between a trader in interest-rate derivatives and a quantitative analyst, Brigo and Mercurio (2001) let the trader answer about the pros and cons of short rate models: ”… we should be careful in thinking market models are the final and complete solution to all problems in interest rate models … and who knows, maybe short rate models will come back one day…”