Описание: Designed to help improve student performance, meaning that students are prepared for class and can successfully solve problems and analyse the results, this title provides opportunities for students to practice solving financial problems and apply what they`ve learned.
Автор: Shreve Название: Stochastic Calculus for Finance I ISBN: 0387401008 ISBN-13(EAN): 9780387401003 Издательство: Springer Рейтинг: Цена: 5142 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Based on a two-semester course sequence in the Master`s program in Computational Finance at Carnegie Mellon. This book gives statements of results, plausibility arguments, and some proofs. But more importantly, it provides intuitive explanations, which are developed and refined through classroom experience with this material.
Автор: Brooks Название: Introductory Econometrics for Finance ISBN: 1107661455 ISBN-13(EAN): 9781107661455 Издательство: Cambridge Academ Рейтинг: Цена: 5203 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This bestselling and thoroughly classroom-tested textbook is a complete resource for finance students. A comprehensive and illustrated discussion of the most common empirical approaches in finance prepares students for using econometrics in practice, while detailed case studies help them understand how the techniques are used in relevant financial contexts. Worked examples from the latest version of the popular statistical software EViews guide students to implement their own models and interpret results. Learning outcomes, key concepts and end-of-chapter review questions (with full solutions online) highlight the main chapter takeaways and allow students to self-assess their understanding. Building on the successful data- and problem-driven approach of previous editions, this third edition has been updated with new data, extensive examples and additional introductory material on mathematics, making the book more accessible to students encountering econometrics for the first time. A companion website, with numerous student and instructor resources, completes the learning package.
Автор: Ross Stephen Название: Core principles and applications of Corporate Finance, global edition ISBN: 0071221166 ISBN-13(EAN): 9780071221160 Издательство: McGraw-Hill Рейтинг: Цена: 5224 р. Наличие на складе: Есть (1 шт.) Описание: Conveys important corporate finance concepts and applications. This text distills the subject of corporate finance down to its core, while also maintaining a decidedly modern approach.
Описание: Stochastic calculus provides a powerful description of a specific class of stochastic processes in physics and finance. However, many econophysicists struggle to understand it. This book presents the subject simply and systematically, giving graduate students and practitioners a better understanding and enabling them to apply the methods in practice. The book develops Ito calculus and Fokker–Planck equations as parallel approaches to stochastic processes, using those methods in a unified way. The focus is on nonstationary processes, and statistical ensembles are emphasized in time series analysis. Stochastic calculus is developed using general martingales. Scaling and fat tails are presented via diffusive models. Fractional Brownian motion is thoroughly analyzed and contrasted with Ito processes. The Chapman–Kolmogorov and Fokker–Planck equations are shown in theory and by example to be more general than a Markov process. The book also presents new ideas in financial economics and a critical survey of econometrics.
Описание: Malliavin calculus provides an infinite-dimensional differential calculus in the context of continuous paths stochastic processes. The calculus includes formulae of integration by parts and Sobolev spaces of differentiable functions defined on a probability space. This new book, demonstrating the relevance of Malliavin calculus for Mathematical Finance, starts with an exposition from scratch of this theory. Greeks (price sensitivities) are reinterpreted in terms of Malliavin calculus. Integration by parts formulae provide stable Monte Carlo schemes for numerical valuation of digital options. Finite-dimensional projections of infinite-dimensional Sobolev spaces lead to Monte Carlo computations of conditional expectations useful for computing American options. The discretization error of the Euler scheme for a stochastic differential equation is expressed as a generalized Watanabe distribution on the Wiener space. Insider information is expressed as an infinite-dimensional drift. The last chapter gives an introduction to the same objects in the context of jump processes where incomplete markets appear.
Автор: Shreve Название: Stochastic Calculus for Finance I ISBN: 0387249680 ISBN-13(EAN): 9780387249681 Издательство: Springer Рейтинг: Цена: 3735 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon Professional Master's program in Computational Finance. The content of this book has been used successfully with students whose mathematics background consists of calculus and calculus-based probability. The text gives both precise statements of results, plausibility arguments, and even some proofs, but more importantly intuitive explanations developed and refine through classroom experience with this material are provided. The book includes a self-contained treatment of the probability theory needed for stochastic calculus, including Brownian motion and its properties. Advanced topics include foreign exchange models, forward measures, and jump-diffusion processes.This book is being published in two volumes. The first volume presents the binomial asset-pricing model primarily as a vehicle for introducing in the simple setting the concepts needed for the continuous-time theory in the second volume.Chapter summaries and detailed illustrations are included. Classroom tested exercises conclude every chapter. Some of these extend the theory and others are drawn from practical problems in quantitative finance.Advanced undergraduates and Masters level students in mathematical finance and financial engineering will find this book useful.Steven E. Shreve is Co-Founder of the Carnegie Mellon MS Program in Computational Finance and winner of the Carnegie Mellon Doherty Prize for sustained contributions to education.
Автор: Shreve Название: Stochastic Calculus for Finance II ISBN: 144192311X ISBN-13(EAN): 9781441923110 Издательство: Springer Рейтинг: Цена: 5138 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: "A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions.
Описание: Suitable for students of mathematical finance, or a quick introduction to researchers and finance practitioners. This book covers the stochastic calculus theory required, as well as many key finance topics, including a chapter dedicated to credit risk modeling.
Автор: Capi?ski Название: Stochastic Calculus for Finance ISBN: 0521175739 ISBN-13(EAN): 9780521175739 Издательство: Cambridge Academ Рейтинг: Цена: 2393 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book focuses specifically on the key results in stochastic processes that have become essential for finance practitioners to understand. The authors study the Wiener process and It? integrals in some detail, with a focus on results needed for the Black–Scholes option pricing model. After developing the required martingale properties of this process, the construction of the integral and the It? formula (proved in detail) become the centrepiece, both for theory and applications, and to provide concrete examples of stochastic differential equations used in finance. Finally, proofs of the existence, uniqueness and the Markov property of solutions of (general) stochastic equations complete the book. Using careful exposition and detailed proofs, this book is a far more accessible introduction to It? calculus than most texts. Students, practitioners and researchers will benefit from its rigorous, but unfussy, approach to technical issues. Solutions to the exercises are available online.
Описание: "Introductory Stochastic Finance for Actuaries" is an introductory level book on stochastic analysis for finance. It is specifically written for actuaries who would like to learn stochastic modeling techniques in a user-friendly and self-contained manner. The book introduces the basic theories of stochastic processes and stochastic calculus, and provides the necessary tool kits for modeling and pricing in finance and insurance. While rigorous concepts are presented when appropriate, the emphasis is on applications, intuition, and computation rather than on the theory.
Описание: Fractional Brownian motion (fBm) has been widely used to model a number of phenomena in diverse fields from biology to finance. This book presents an account of different definitions of stochastic integration for fBm, and to give applications of the resulting theory. It is suitable for students of mathematics, biology, and meteorology.
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