Martingales And Duality In Contingent Claims Analysis
Download Martingales And Duality In Contingent Claims Analysis full books in PDF, epub, and Kindle. Read online free Martingales And Duality In Contingent Claims Analysis ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Quantitative Analysis In Financial Markets: Collected Papers Of The New York University Mathematical Finance Seminar (Vol Iii)
| Author | : Marco Avellaneda |
| Publisher | : World Scientific |
| Total Pages | : 363 |
| Release | : 2002-01-18 |
| Genre | : Mathematics |
| ISBN | : 9814490598 |
This invaluable book contains lectures presented at the Courant Institute's Mathematical Finance Seminar. The audience consisted of academics from New York University and other universities, as well as practitioners from investment banks, hedge funds and asset-management firms.
Introduction to Stochastic Finance
| Author | : Jia-An Yan |
| Publisher | : Springer |
| Total Pages | : 406 |
| Release | : 2018-10-10 |
| Genre | : Mathematics |
| ISBN | : 9811316570 |
This book gives a systematic introduction to the basic theory of financial mathematics, with an emphasis on applications of martingale methods in pricing and hedging of contingent claims, interest rate term structure models, and expected utility maximization problems. The general theory of static risk measures, basic concepts and results on markets of semimartingale model, and a numeraire-free and original probability based framework for financial markets are also included. The basic theory of probability and Ito's theory of stochastic analysis, as preliminary knowledge, are presented.
Continuous-time Stochastic Control and Optimization with Financial Applications
| Author | : Huyên Pham |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 243 |
| Release | : 2009-05-28 |
| Genre | : Mathematics |
| ISBN | : 3540895000 |
Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.
Seminar on Stochastic Analysis, Random Fields and Applications IV
| Author | : Robert Dalang |
| Publisher | : Birkhäuser |
| Total Pages | : 329 |
| Release | : 2012-12-06 |
| Genre | : Mathematics |
| ISBN | : 3034879431 |
This volume contains twenty refereed papers presented at the 4th Seminar on Stochastic Processes, Random Fields and Applications, which took place in Ascona, Switzerland, from May 2002. The seminar focused mainly on stochastic partial differential equations, stochastic models in mathematical physics, and financial engineering. The book will be a valuable resource for researchers in stochastic analysis and professionals interested in stochastic methods in finance and insurance.
Seminar on Stochastic Analysis, Random Fields and Applications V
| Author | : Robert Dalang |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 518 |
| Release | : 2008-03-12 |
| Genre | : Mathematics |
| ISBN | : 3764384581 |
This volume contains refereed research or review papers presented at the 5th Seminar on Stochastic Processes, Random Fields and Applications, which took place at the Centro Stefano Franscini (Monte Verità) in Ascona, Switzerland, from May 29 to June 3, 2004. The seminar focused mainly on stochastic partial differential equations, stochastic models in mathematical physics, and financial engineering.
Mathematical Finance - Bachelier Congress 2000
| Author | : Helyette Geman |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 522 |
| Release | : 2013-11-11 |
| Genre | : Mathematics |
| ISBN | : 3662124297 |
The Bachelier Society for Mathematical Finance held its first World Congress in Paris last year, and coincided with the centenary of Louis Bacheliers thesis defence. In his thesis Bachelier introduces Brownian motion as a tool for the analysis of financial markets as well as the exact definition of options. The thesis is viewed by many the key event that marked the emergence of mathematical finance as a scientific discipline. The prestigious list of plenary speakers in Paris included two Nobel laureates, Paul Samuelson and Robert Merton, and the mathematicians Henry McKean and S.R.S. Varadhan. Over 130 further selected talks were given in three parallel sessions. .
