Titlebook: An Introduction to Mathematical Finance with Applications; Understanding and Bu Arlie O. Petters,Xiaoying Dong Textbook 2016 Springer Scien

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書目名稱An Introduction to Mathematical Finance with Applications影響因子(影響力)




書目名稱An Introduction to Mathematical Finance with Applications影響因子(影響力)學(xué)科排名




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Markowitz Portfolio Theory,ent portfolio, namely, one with the least risk given an expected return and largest expected return given a level of portfolio risk. This chapter covers: the set up of the Markowitz portfolio model, which includes modeling security returns, the issue of multivariate normality, weights, short selling

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Capital Market Theory and Portfolio Risk Measures,of a portfolio. It introduces the capital asset pricing model (CAPM), linear factor models, and several approaches to portfolio risk measures such as value-at-risk, conditional value-at-risk and the concept of coherent risk measures, as well as a variety of portfolio evaluation techniques such as th

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Binomial Trees and Security Pricing Modeling,ssumption is that one obtains a more and more accurate model of the random future price of a security. This chapter covers: the general binomial tree model of future security prices, the Cox-Ross-Rubinstein (CRR) tree in the real world and risk-neutral world, the Lindeberg Central Limit Theorem with

公理

Stochastic Calculus and Geometric Brownian Motion Model,derivatives. It introduces concepts such as conditional expectation with respect to a .-algebra, filtrations, adapted processes, Brownian motion (BM), martingales, quadratic variation and covariation, the It? integral with respect to BM, It?’s lemma, Girsanov theorem for a single BM and geometric Br

scrutiny

Derivatives: Forwards, Futures, Swaps, and Options,ilding blocks of derivatives: forwards, futures, swaps (a brief introduction only) and options with a balance of theoretical and practical perspectives. The approach focuses on understanding the contracts and strategies, with an emphasis on options. The pricing aspect will be discussed in the next c

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Derivatives: Forwards, Futures, Swaps, and Options,ilding blocks of derivatives: forwards, futures, swaps (a brief introduction only) and options with a balance of theoretical and practical perspectives. The approach focuses on understanding the contracts and strategies, with an emphasis on options. The pricing aspect will be discussed in the next chapter.