Mathematical Finance: Theory Review and Exercises: From Binomial Model to Risk Measures

by Emanuela Rosazza Gianin, Carlo Sgarra

Overview

The book collects over 120 exercises on different subjects of Mathematical Finance, including Option Pricing, Risk Theory, and Interest Rate Models. Many of the exercises are solved, while others are only proposed. Every chapter contains an introductory section illustrating the main theoretical results necessary to solve the exercises. The book is intended as an exercise textbook to accompany graduate courses in mathematical finance offered at many universities as part of degree programs in Applied and Industrial Mathematics, Mathematical Engineering, and Quantitative Finance.

Product Details

ISBN-13:	9783319013572
Publisher:	Springer-Verlag New York, LLC
Publication date:	02/10/2014
Series:	UNITEXT , #70
Sold by:	Barnes & Noble
Format:	eBook
File size:	5 MB

About the Author

Carlo SGARRA: Associate Professor of Mathematical Finance, Politecnico di Milano, Italia Emanuela

ROSAZZA GIANIN: Associate Professor of Statistics and Quantitative Methods, University of Milano-Bicocca, Italia

Table of Contents

​1 Short review of Probability and of Stochastic Processes.- 2 Portfolio Optimization in Discrete time Models.- 3 Binomial Model for Option Pricing.- 4 Absence of arbitrage and Completeness of market models.- 5 Itô’s Formula and Stochastic Differential Equations.- 6 Partial Differential Equations in Finance.- 7 Black-Scholes model for Option Pricing and Hedging Strategies.- 8 American Options.- 9 Exotic Options.- 10 Interest Rate Models.- 11 Pricing Models beyond Black-Scholes.- 12 Risk Measures: Value at Risk and beyond.

Editorial Reviews

From the book reviews:

“This work is a very useful companion volume to courses in mathematical finance, and it can also be successfully used for self-study.” (László Imre Szabó, Acta Scientiarum Mathematicarum (Szeged), Vol. 80 (1-2), 2014)

From the Publisher