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What is Financial Mathematics?
What is Financial Mathematics? Introduction • Financial Mathematics is a collection of mathematical techniques that find applications in finance, e.g. – Asset pricing: derivative securities. – Hedging and risk management – Portfolio optimization – Structured products • There are two main approaches: – Partial Differential Equations – Probability and Stochastic Processes Short History of Financial Mathematics • 1900:...
52 p itc 20/01/2013 362 2
Từ khóa: financial mathematics, asset pricing, derivative securities, risk management, time value of money, financial securities
Financial Calculus: An Introduction to Derivative Pricing
Here is the first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities. With mathematical precision and in a style tailored for market practioners, the authors describe key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model. Starting from discrete-time hedging on binary trees, the authors develop continuous-time stock models (including the...
241 p itc 20/01/2013 348 1
Từ khóa: finance economics, financial calculus, derivative pricing, hedging, derivative securities, stock models
Continuous-Time Methods in Finance: A Review and an Assessment
Continuous-Time Methods in Finance: A Review and an Assessment SURESH M. SUNDARESAN* ABSTRACT I survey and assess the development of continuous-time methods in finance during the last 30 years. The subperiod 1969 to 1980 saw a dizzying pace of development with seminal ideas in derivatives securities pricing, term structure theory, asset pricing, and optimal consumption and portfolio choices. During the period 1981 to 1999 the theory has been...
54 p itc 17/01/2013 386 1
Từ khóa: a review and an assessment, methods in finance, finance, derivatives securities pricing, term structure theory, asset pricing, optimal consumption, portfolio choices
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