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.

Author: Steven Shreve

Publisher: Springer Science & Business Media

ISBN: 0387249680

Category: Mathematics

Page: 187

View: 676

Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance

This book is being published in two volumes. This second volume develops stochastic calculus, martingales, risk-neutral pricing, exotic options and term structure models, all in continuous time.

Author: Steven Shreve

Publisher: Springer

ISBN: 144192311X

Category: Mathematics

Page: 550

View: 503

"A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. In summary, this is a well-written text that treats the key classical models of finance through an applied probability approach....It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance." --SIAM

... of Quantitative Development Stochastic Calculus for Finance, Volumes I and II,
augments your foundation in stochastic ... The Binomial Asset Pricing Model,
deals with discrete time models, while the second one, Continuous-Time Models,
...

Author: Manoj Thulasidas

Publisher: John Wiley & Sons

ISBN: 9780470745700

Category: Business & Economics

Page: 252

View: 406

Principles of Quantitative Development is a practical guide to designing, building and deploying a trading platform. It is also a lucid and succinct exposé on the trade life cycle and the business groups involved in managing it, bringing together the big picture of how a trade flows through the systems, and the role of a quantitative professional in the organization. The book begins by looking at the need and demand for in-house trading platforms, addressing the current trends in the industry. It then looks at the trade life cycle and its participants, from beginning to end, and then the functions within the front, middle and back office, giving the reader a full understanding and appreciation of the perspectives and needs of each function. The book then moves on to platform design, addressing all the fundamentals of platform design, system architecture, programming languages and choices. Finally, the book focuses on some of the more technical aspects of platform design and looks at traditional and new languages and approaches used in modern quantitative development. The book is accompanied by a CD-ROM, featuring a fully working option pricing tool with source code and project building instructions, illustrating the design principles discussed, and enabling the reader to develop a mini-trading platform. The book is also accompanied by a website http://pqd.thulasidas.com that contains updates and companion materials.

Springer Finance is a programme of books aimed at students, academics and
practitioners working on increasingly ... Pricing Models (2004) Shreve S.E.,
Stochastic Calculus for Finance I (2004) Shreve S.E., Stochastic Calculus for Finance II ...

Author: Rose-Anne Dana

Publisher: Springer Science & Business Media

ISBN: 9783540711506

Category: Mathematics

Page: 324

View: 586

This book explains key financial concepts, mathematical tools and theories of mathematical finance. It is organized in four parts. The first brings together a number of results from discrete-time models. The second develops stochastic continuous-time models for the valuation of financial assets (the Black-Scholes formula and its extensions), for optimal portfolio and consumption choice, and for obtaining the yield curve and pricing interest rate products. The third part recalls some concepts and results of equilibrium theory and applies this in financial markets. The last part tackles market incompleteness and the valuation of exotic options.

Stochastic Calculus Eric Chin, Sverrir Ólafsson, Dian Nel. Rice, J.A. (2007).
Mathematical ... Springer-Verlag, New York. Shreve, S.E. (2008). Stochastic Calculus for Finance; Volume II: Continuous-Time Models. Springer-Verlag, New
York.

Author: Eric Chin

Publisher: John Wiley & Sons

ISBN: 9781119966081

Category: Business & Economics

Page: 400

View: 618

Mathematical finance requires the use of advanced mathematical techniques drawn from the theory of probability, stochastic processes and stochastic differential equations. These areas are generally introduced and developed at an abstract level, making it problematic when applying these techniques to practical issues in finance. Problems and Solutions in Mathematical Finance Volume I: Stochastic Calculus is the first of a four-volume set of books focusing on problems and solutions in mathematical finance. This volume introduces the reader to the basic stochastic calculus concepts required for the study of this important subject, providing a large number of worked examples which enable the reader to build the necessary foundation for more practical orientated problems in the later volumes. Through this application and by working through the numerous examples, the reader will properly understand and appreciate the fundamentals that underpin mathematical finance. Written mainly for students, industry practitioners and those involved in teaching in this field of study, Stochastic Calculus provides a valuable reference book to complement one’s further understanding of mathematical finance.

... Steven E . : Stochastic Calculus for Finance I . The Binomial Asset Pricing Model , Springer - Verlag , New York 2004 , 187 S . Shreve , Steven E . : Stochastic Calculus for Finance II . Continuous - Time Models , Springer - Verlag ,
New York ...

Stochastic Calculus for Finance II: Continuous-Time Models. New York: Springer.
Sorkin, Andrew Ross. 2009. Too Big to Fail: The Inside Story of How Wall Street
and Washington Fought to Save the Financial System—and Themselves.

Author: Howard Corb

Publisher: Columbia University Press

ISBN: 9780231530361

Category: Business & Economics

Page: 624

View: 463

The first swap was executed over thirty years ago. Since then, the interest rate swaps and other derivative markets have grown and diversified in phenomenal directions. Derivatives are used today by a myriad of institutional investors for the purposes of risk management, expressing a view on the market, and pursuing market opportunities that are otherwise unavailable using more traditional financial instruments. In this volume, Howard Corb explores the concepts behind interest rate swaps and the many derivatives that evolved from them. Corb's book uniquely marries academic rigor and real-world trading experience in a compelling, readable style. While it is filled with sophisticated formulas and analysis, the volume is geared toward a wide range of readers searching for an in-depth understanding of these markets. It serves as both a textbook for students and a must-have reference book for practitioners. Corb helps readers develop an intuitive feel for these products and their use in the market, providing a detailed introduction to more complicated trades and structures. Through examples of financial structuring, readers will come away with an understanding of how derivatives products are created and how they can be deconstructed and analyzed effectively.

Springer Finance is a programme of books addressing students, academics and
practitioners working on increasingly technical approaches ... Jeanblanc M., Financial Markets in Continuous Time (2003) Deboeck G. and Kohonen T. (
Editors), Visual Explorations in Finance ... Models (2004) Shreve S.E., Stochastic
Calculus for Finance I (2004) Shreve S.E., Stochastic Calculus for Finance II (
2004) Yor M., ...

Author: Christophe Profeta

Publisher: Springer Science & Business Media

ISBN: 3642103952

Category: Mathematics

Page: 270

View: 455

Discovered in the seventies, Black-Scholes formula continues to play a central role in Mathematical Finance. We recall this formula. Let (B ,t? 0; F ,t? 0, P) - t t note a standard Brownian motion with B = 0, (F ,t? 0) being its natural ?ltra- 0 t t tion. Let E := exp B? ,t? 0 denote the exponential martingale associated t t 2 to (B ,t? 0). This martingale, also called geometric Brownian motion, is a model t to describe the evolution of prices of a risky asset. Let, for every K? 0: + ? (t) :=E (K?E ) (0.1) K t and + C (t) :=E (E?K) (0.2) K t denote respectively the price of a European put, resp. of a European call, associated with this martingale. Let N be the cumulative distribution function of a reduced Gaussian variable: x 2 y 1 ? 2 ? N (x) := e dy. (0.3) 2? ?? The celebrated Black-Scholes formula gives an explicit expression of? (t) and K C (t) in terms ofN : K ? ? log(K) t log(K) t ? (t)= KN ? + ?N ? ? (0.4) K t 2 t 2 and ? ?

The book is written for a reader with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic analysis, such as provided by Revuz and Yor (Continuous Martingales and Brownian Motion, Springer 1991).

Author: Damir Filipovic

Publisher: Springer Science & Business Media

ISBN: 3540414932

Category: Mathematics

Page: 138

View: 256

Bond markets differ in one fundamental aspect from standard stock markets. While the latter are built up to a finite number of trade assets, the underlying basis of a bond market is the entire term structure of interest rates: an infinite-dimensional variable which is not directly observable. On the empirical side, this necessitates curve-fitting methods for the daily estimation of the term structure. Pricing models, on the other hand, are usually built upon stochastic factors representing the term structure in a finite-dimensional state space. Written for readers with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic analysis, this research monograph has threefold aims: to bring together estimation methods and factor models for interest rates, to provide appropriate consistency conditions and to explore some important examples.

A new edition of a successful, well-established book that provides the reader with a text focused on practical rather than theoretical aspects of financial modelling Includes a new chapter devoted to volatility risk The theme of stochastic ...

Author: Marek Musiela

Publisher: Springer Science & Business Media

ISBN: 3540266534

Category: Business & Economics

Page: 638

View: 761

A new edition of a successful, well-established book that provides the reader with a text focused on practical rather than theoretical aspects of financial modelling Includes a new chapter devoted to volatility risk The theme of stochastic volatility reappears systematically and has been revised fundamentally, presenting a much more detailed analyses of interest-rate models

[ 247 ] S. P. SETHI AND Q. ZHANG , Hierarchical Decision Making in Stochastic
Manufacturing Systems , Birkhäuser , Boston , MA , 1994 . [ 248 ] S. E. SHREVE , Stochastic Calculus Models for Finance II : Continuous - Time Models , Springer ...

Author: Floyd B. Hanson

Publisher: Society for Industrial & Applied

ISBN: UOM:39076002777238

Category: Mathematics

Page: 443

View: 481

This self-contained, practical, entry-level text integrates the basic principles of applied mathematics, applied probability, and computational science. It emphasises modelling and problem solving, and presents sample applications in financial engineering and biomedical modelling. Contains computational and analytic exercises and examples, with appendices provided on a supplementary Web page.

Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of ...

Author: Ernst Eberlein

Publisher: Springer Nature

ISBN: 9783030261061

Category: Mathematics

Page: 772

View: 511

Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges thegap between introductory texts and the advanced literature in the field. Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance. Graduate students, researchers as well as practitioners will benefit from this monograph.

The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis

Author: Paul Glasserman

Publisher: Springer Science & Business Media

ISBN: 0387004513

Category: Business & Economics

Page: 596

View: 289

From the reviews: "Paul Glasserman has written an astonishingly good book that bridges financial engineering and the Monte Carlo method. The book will appeal to graduate students, researchers, and most of all, practicing financial engineers [...] So often, financial engineering texts are very theoretical. This book is not." --Glyn Holton, Contingency Analysis

The purpose of this book is to give an easy reference to a large number of facts and formulae associated with Brownian motion. The book consists of two parts.

Author: Andrei N. Borodin

Publisher: Springer Science & Business Media

ISBN: 3764367059

Category: Mathematics

Page: 685

View: 937

Here is easy reference to a wealth of facts and formulae associated with Brownian motion, collecting in one volume more than 2500 numbered formulae. The book serves as a basic reference for researchers, graduate students, and people doing applied work with Brownian motion and diffusions, and can be used as a source of explicit examples when teaching stochastic processes.

The book addresses three main groups: first, mathematicians working in a different field; second, other scientists and professionals from a business or academic background; third, graduate or advanced undergraduate students of a ...

Author: Vincenzo Capasso

Publisher: Birkhäuser

ISBN: 9781493927579

Category: Mathematics

Page: 482

View: 148

This textbook, now in its third edition, offers a rigorous and self-contained introduction to the theory of continuous-time stochastic processes, stochastic integrals, and stochastic differential equations. Expertly balancing theory and applications, the work features concrete examples of modeling real-world problems from biology, medicine, industrial applications, finance, and insurance using stochastic methods. No previous knowledge of stochastic processes is required. Key topics include: Markov processes Stochastic differential equations Arbitrage-free markets and financial derivatives Insurance risk Population dynamics, and epidemics Agent-based models New to the Third Edition: Infinitely divisible distributions Random measures Levy processes Fractional Brownian motion Ergodic theory Karhunen-Loeve expansion Additional applications Additional exercises Smoluchowski approximation of Langevin systems An Introduction to Continuous-Time Stochastic Processes, Third Edition will be of interest to a broad audience of students, pure and applied mathematicians, and researchers and practitioners in mathematical finance, biomathematics, biotechnology, and engineering. Suitable as a textbook for graduate or undergraduate courses, as well as European Masters courses (according to the two-year-long second cycle of the “Bologna Scheme”), the work may also be used for self-study or as a reference. Prerequisites include knowledge of calculus and some analysis; exposure to probability would be helpful but not required since the necessary fundamentals of measure and integration are provided. From reviews of previous editions: "The book is ... an account of fundamental concepts as they appear in relevant modern applications and literature. ... The book addresses three main groups: first, mathematicians working in a different field; second, other scientists and professionals from a business or academic background; third, graduate or advanced undergraduate students of a quantitative subject related to stochastic theory and/or applications." -Zentralblatt MATH

In a way , these are counterparts of known results valid for continuous - time
Markov chains in finite dimension . ... Huyên ( F - PARIS7 - PMA ; Paris ) Explicit
solution to an irreversible investment model with a stochastic production capacity
. ( English summary ) From stochastic calculus to mathematical finance , 547 –
565 , Springer , Berlin , 2006 . ... firm ' s production capacity K , with dynamics dK ,
= K , ( - dt + ydW ) + dL , the production profit function II is non - decreasing and
concave ...

The second author also thanks Hydro-Quebec and the Bank of Canada for financial support. References Bally, V., D. Talay. 1996. The law of the Euler
scheme for stochastic differential equations (I): Convergence rate of the
distribution function ...

Author:

Publisher:

ISBN: UOM:39015058906416

Category: Industrial management

Page:

View: 403

Issues for Feb. 1965-Aug. 1967 include Bulletin of the Institute of Management Sciences.