Measure Probability And Mathematical Finance
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| Author | : Guojun Gan |
| Publisher | : John Wiley & Sons |
| Total Pages | : 54 |
| Release | : 2014-05-05 |
| Genre | : Mathematics |
| ISBN | : 1118831985 |
An introduction to the mathematical theory and financial models developed and used on Wall Street Providing both a theoretical and practical approach to the underlying mathematical theory behind financial models, Measure, Probability, and Mathematical Finance: A Problem-Oriented Approach presents important concepts and results in measure theory, probability theory, stochastic processes, and stochastic calculus. Measure theory is indispensable to the rigorous development of probability theory and is also necessary to properly address martingale measures, the change of numeraire theory, and LIBOR market models. In addition, probability theory is presented to facilitate the development of stochastic processes, including martingales and Brownian motions, while stochastic processes and stochastic calculus are discussed to model asset prices and develop derivative pricing models. The authors promote a problem-solving approach when applying mathematics in real-world situations, and readers are encouraged to address theorems and problems with mathematical rigor. In addition, Measure, Probability, and Mathematical Finance features: A comprehensive list of concepts and theorems from measure theory, probability theory, stochastic processes, and stochastic calculus Over 500 problems with hints and select solutions to reinforce basic concepts and important theorems Classic derivative pricing models in mathematical finance that have been developed and published since the seminal work of Black and Scholes Measure, Probability, and Mathematical Finance: A Problem-Oriented Approach is an ideal textbook for introductory quantitative courses in business, economics, and mathematical finance at the upper-undergraduate and graduate levels. The book is also a useful reference for readers who need to build their mathematical skills in order to better understand the mathematical theory of derivative pricing models.
| Author | : Guojun Gan |
| Publisher | : Wiley |
| Total Pages | : 744 |
| Release | : 2014-04-18 |
| Genre | : Mathematics |
| ISBN | : 9781118831977 |
| Author | : Pablo Koch Medina |
| Publisher | : Birkhäuser |
| Total Pages | : 326 |
| Release | : 2012-12-06 |
| Genre | : Mathematics |
| ISBN | : 3034880413 |
This self-contained book presents the theory underlying the valuation of derivative financial instruments, which is becoming a standard part of the professional toolbox in the financial industry. It provides great insight into the underlying economic ideas in a very readable form, putting the reader in an excellent position to proceed to the more general continuous-time theory.
| Author | : Glenn Shafer |
| Publisher | : John Wiley & Sons |
| Total Pages | : 438 |
| Release | : 2005-02-25 |
| Genre | : Business & Economics |
| ISBN | : 0471461717 |
Provides a foundation for probability based on game theory rather than measure theory. A strong philosophical approach with practical applications. Presents in-depth coverage of classical probability theory as well as new theory.
| Author | : Ernst Eberlein |
| Publisher | : Springer Nature |
| Total Pages | : 774 |
| Release | : 2019-12-03 |
| Genre | : Mathematics |
| ISBN | : 3030261069 |
Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges thegap between introductory texts and the advanced literature in the field. Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance. Graduate students, researchers as well as practitioners will benefit from this monograph.
| Author | : Jan Malczak |
| Publisher | : Cambridge University Press |
| Total Pages | : 197 |
| Release | : 2014 |
| Genre | : Business & Economics |
| ISBN | : 1107002494 |
A rigorous, unfussy introduction to modern probability theory that focuses squarely on applications in finance.
| Author | : Marc Yor |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 83 |
| Release | : 2008-02-13 |
| Genre | : Mathematics |
| ISBN | : 354075265X |
This collection of essays is based on lectures given at the "Académie des Sciences" in Paris by internationally renowned experts in mathematical finance. The collection develops, in simple yet rigorous terms, some challenging topics such as risk measures, the notion of arbitrage, dynamic models involving fundamental stochastic processes like Brownian motion and Lévy processes. The book also features a description of the trainings of French financial analysts.
| Author | : Kian Guan Lim |
| Publisher | : World Scientific Publishing Company |
| Total Pages | : 534 |
| Release | : 2015-09-29 |
| Genre | : Business & Economics |
| ISBN | : 9814641952 |
This book is an introduction to the mathematical analysis of probability theory and provides some understanding of how probability is used to model random phenomena of uncertainty, specifically in the context of finance theory and applications. The integrated coverage of both basic probability theory and finance theory makes this book useful reading for advanced undergraduate students or for first-year postgraduate students in a quantitative finance course.The book provides easy and quick access to the field of theoretical finance by linking the study of applied probability and its applications to finance theory all in one place. The coverage is carefully selected to include most of the key ideas in finance in the last 50 years.The book will also serve as a handy guide for applied mathematicians and probabilists to easily access the important topics in finance theory and economics. In addition, it will also be a handy book for financial economists to learn some of the more mathematical and rigorous techniques so their understanding of theory is more rigorous. It is a must read for advanced undergraduate and graduate students who wish to work in the quantitative finance area.
| Author | : Arlie O. Petters |
| Publisher | : Springer |
| Total Pages | : 499 |
| Release | : 2016-06-17 |
| Genre | : Mathematics |
| ISBN | : 1493937839 |
This textbook aims to fill the gap between those that offer a theoretical treatment without many applications and those that present and apply formulas without appropriately deriving them. The balance achieved will give readers a fundamental understanding of key financial ideas and tools that form the basis for building realistic models, including those that may become proprietary. Numerous carefully chosen examples and exercises reinforce the student’s conceptual understanding and facility with applications. The exercises are divided into conceptual, application-based, and theoretical problems, which probe the material deeper. The book is aimed toward advanced undergraduates and first-year graduate students who are new to finance or want a more rigorous treatment of the mathematical models used within. While no background in finance is assumed, prerequisite math courses include multivariable calculus, probability, and linear algebra. The authors introduce additional mathematical tools as needed. The entire textbook is appropriate for a single year-long course on introductory mathematical finance. The self-contained design of the text allows for instructor flexibility in topics courses and those focusing on financial derivatives. Moreover, the text is useful for mathematicians, physicists, and engineers who want to learn finance via an approach that builds their financial intuition and is explicit about model building, as well as business school students who want a treatment of finance that is deeper but not overly theoretical.
| Author | : Svetlozar T. Rachev |
| Publisher | : John Wiley & Sons |
| Total Pages | : 264 |
| Release | : 2011-03-10 |
| Genre | : Business & Economics |
| ISBN | : 1444392700 |
A Probability Metrics Approach to Financial Risk Measures relates the field of probability metrics and risk measures to one another and applies them to finance for the first time. Helps to answer the question: which risk measure is best for a given problem? Finds new relations between existing classes of risk measures Describes applications in finance and extends them where possible Presents the theory of probability metrics in a more accessible form which would be appropriate for non-specialists in the field Applications include optimal portfolio choice, risk theory, and numerical methods in finance Topics requiring more mathematical rigor and detail are included in technical appendices to chapters
