Mathematical Modeling and Methods of Option Pricing Год выпуска: 2005Автор: Lishang JiangИздательство: Страниц: 0ISBN: 9812563695Описание Book DescriptionFrom the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black?Scholes?Merton?s option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs. In particular, the qualitative and quantitative analysis of American optionpricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.
Похожие книги
Stephen Figlewski, Richard M. Levich. Risk Management: The State of the Art. – М.: , 0. – 0 с. A. G. Malliaris, William A. Brock. Stochastic Methods in Economics and Finance (Handbooks in Economics). – М.: , 0. – 0 с. Paul Glasserman. Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability). – М.: Springer, 2005. – 616 с. Keith Cuthbertson, Dirk Nitzsche. Financial Engineering: Derivatives and Risk Management. – М.: , 0. – 0 с. L. C. G. Rogers, D. Talay. Numerical Methods in Finance (Publications of the Newton Institute). – М.: , 0. – 0 с. Ralf Korn, Elke Korn. Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics (Graduate Studies in Mathematics, 31). – М.: , 0. – 0 с. Lishang Jiang. Mathematical Modeling and Methods of Option Pricing. – М.: , 2005. – 0 с. Juergen Topper. Financial Engineering with Finite Elements (The Wiley Finance Series). – М.: , 2005. – 0 с. Fred E. Benth. Option Theory with Stochastic Analysis : An Introduction to Mathematical Finance (Universitext). – М.: , 2004. – 0 с. Stochastic Volatility: Selected Readings (Advanced Texts in Econometrics). – М.: , 2005. – 536 с. Pierre Henry-Labordere. Analysis, Geometry, and Modeling in Finance (Chapman & Hall/Crc Financial Mathematics Series). – М.: , 2008. – 400 с. Yue-Kuen Kwok. Mathematical Models of Financial Derivatives (Springer Finance). – М.: , 2008. – 386 с. Andrea Pascucci. PDE and Martingale Methods in Option Pricing (Bocconi & Springer Series). – М.: , 2011. – 738 с. Oleg Kritski. Introduces Stochastic Processes in Mathematical Finance. – М.: LAP Lambert Academic Publishing, 2012. – 172 с. Petr Veverka. Pricing of Real Options based on exponential mean reverting processes. – М.: LAP Lambert Academic Publishing, 2010. – 80 с. Образцы работ
Задайте свой вопрос по вашей теме
Контакты
Поделиться
Мы в социальных сетях
Реклама
Отзывы
Katia Юля, спасибо вам за консультацию! То, что я читаю, мне лично нравится. Надеюсь, руководитель со мной тоже будет согласен. Кстати, вы пишете с использованием его любимых слов во многих случаях, вы с ним случайно не знакомы?! ;-)
