Dempster M.A.H.(ed.) Risk Management. Value at Risk and Beyond

Designed to form the basis of an undergraduate course in mathematical finance, this book builds on mathematical models of bond and stock prices and covers three major areas of mathematical finance that all have an enormous impact on the way modern financial markets operate, namely: Black-Scholes’ arbitrage pricing of options and other derivative securities; Markowitz portfolio optimization theory and the Capital Asset Pricing Model; and interest...

Год издания: 2007 Количество страниц - 1027 The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stocha...

Princeton University Press, 2009. - 416 pages. Second Edition Originally published in 2003, Mathematical Techniques in Finance has become a standard textbook for master's-level finance courses containing a significant quantitative element while also being suitable for finance PhD students. This fully revised second edition continues to offer a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and...

Singapore, World Scientific Publishing Co., 2004. - 804p. Книга рассматривает весь спектр вопросов финансовой математики с позиций математической физики. Включает в себя такие разделы, как количественные меры риска, риск для деривативов, экзотические опционы, методы риск-менеджмента, использование фейнмановских интегралов по путям в задачах финансовой математики и моделирование кривой доходности на микро-макро уровне. Для научных работников в об...

Wiley, 2004, 800 pp. The Mathematics of Financial Modeling & Investment Management covers a wide range of technical topics in mathematics and finance-enabling the investment management practitioner, researcher, or student to fully understand the process of financial decision-making and its economic. Using a wealth of real-world examples, Focardi and Fabozzi simultaneously show both the mathematical techniques and the areas in finance where...

University of Minnesota, 2000. Contents I Equilibrium and Arbitrage 1 Equilibrium in Security Markets 2 Linear Pricing 3 Arbitrage and Positive Pricing 4 Portfolio Restrictions II Valuation 5 Valuation 6 State Prices and Risk-Neutral Probabilities 7 Valuation under Portfolio Restrictions III Risk 8 Expected Utility 9 Risk Aversion 10 Risk IV Optimal Portfolios V Equilibrium Prices and Allocations VI Mean-Variance Analysis VII Multidate Se...

This book presents the mathematics that underpins pricing models for derivative securities in modern financial markets, such as options, futures and swaps. This new edition adds substantial material from current areas of active research, such as coherent risk measures with applications to hedging, the arbitrage interval for incomplete discrete-time markets, and risk and return and sensitivity analysis for the Black-Scholes model.

The MIT Press, 2008, 1168 pp. Too often, finance courses stop short of making a connection between textbook finance and the problems of real-world business. Financial Modeling bridges this gap between theory and practice by providing a nuts-and-bolts guide to solving common financial models with spreadsheets. Simon Benninga takes the reader step by step through each model, showing how it can be solved using Microsoft Excel. The long-awaited thir...

N.-Y., John Wiley & Sons, 1996. - 515p. This book is about hedging the risks of standard and exotic options, as part of the larger framework of risk management. No road map was available since little has been written on this subject (in contrast to the extensive literature for valuation). ‘‘Dynamic hedging’’ is more like medicine than biology. It is learned by gaining practical experience as well as by studying published research. The wrink...

One mathematical and financial foundations. Basic theory of derivatives. Risk and return. Products and Markets. Derivatives. The Random Behavior of Assets. Elementary Stochastic Calculus. The Black–Scholes Model. al Differential Equations. The Black–Scholes Formulae and the ‘Greeks’. Simple Generalizations of the Black–Scholes World. Early Exercise and American Options. Probability Density Functions and First-exit times. Multi-asset Options. Ho...