Library Catalog
Amazon cover image
Image from Amazon.com

Mathematical Techniques in Finance : Tools for Incomplete Markets - Second Edition / Ales Cerný.

By: Material type: TextTextPublisher: Princeton, NJ : Princeton University Press, [2009]Copyright date: ©2009Edition: SecondDescription: 1 online resource (416 p.)Content type:
Media type:
Carrier type:
ISBN:
  • 9780691141213
  • 9781400831487
Subject(s): DDC classification:
  • 332.015195 22
LOC classification:
  • HG106 .C47 2009eb
Other classification:
  • online - DeGruyter
Online resources: Available additional physical forms:
  • Issued also in print.
Contents:
Frontmatter -- Contents -- Preface to the Second Edition -- From the Preface to the First Edition -- 1. The Simplest Model of Financial Markets -- 2. Arbitrage and Pricing in the One-Period Model -- 3. Risk and Return in the One-Period Model -- 4. Numerical Techniques for Optimal Portfolio Selection in Incomplete Markets -- 5. Pricing in Dynamically Complete Markets -- 6. Towards Continuous Time -- 7. Fast Fourier Transform -- 8. Information Management -- 9. Martingales and Change of Measure in Finance -- 10. Brownian Motion and Itô Formulae -- 11. Continuous-Time Finance -- 12. Finite-Difference Methods -- Appendix A. Calculus -- Appendix B. Probability -- References -- Index
Summary: Originally published in 2003, Mathematical Techniques in Finance has become a standard textbook for master's-level finance courses containing a significant quantitative element while also being suitable for finance PhD students. This fully revised second edition continues to offer a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and mathematics, and provides plenty of opportunities for students to practice applied mathematics and cutting-edge finance. Ales Cerný mixes tools from calculus, linear algebra, probability theory, numerical mathematics, and programming to analyze in an accessible way some of the most intriguing problems in financial economics. The textbook is the perfect hands-on introduction to asset pricing, optimal portfolio selection, risk measurement, and investment evaluation. The new edition includes the most recent research in the area of incomplete markets and unhedgeable risks, adds a chapter on finite difference methods, and thoroughly updates all bibliographic references. Eighty figures, over seventy examples, twenty-five simple ready-to-run computer programs, and several spreadsheets enhance the learning experience. All computer codes have been rewritten using MATLAB and online supplementary materials have been completely updated. A standard textbook for graduate finance courses Introduction to asset pricing, portfolio selection, risk measurement, and investment evaluation Detailed examples and MATLAB codes integrated throughout the text Exercises and summaries of main points conclude each chapter
Holdings
Item type Current library Call number URL Status Notes Barcode
eBook eBook Biblioteca "Angelicum" Pont. Univ. S.Tommaso d'Aquino Nuvola online online - DeGruyter (Browse shelf(Opens below)) Online access Not for loan (Accesso limitato) Accesso per gli utenti autorizzati / Access for authorized users (dgr)9781400831487

Frontmatter -- Contents -- Preface to the Second Edition -- From the Preface to the First Edition -- 1. The Simplest Model of Financial Markets -- 2. Arbitrage and Pricing in the One-Period Model -- 3. Risk and Return in the One-Period Model -- 4. Numerical Techniques for Optimal Portfolio Selection in Incomplete Markets -- 5. Pricing in Dynamically Complete Markets -- 6. Towards Continuous Time -- 7. Fast Fourier Transform -- 8. Information Management -- 9. Martingales and Change of Measure in Finance -- 10. Brownian Motion and Itô Formulae -- 11. Continuous-Time Finance -- 12. Finite-Difference Methods -- Appendix A. Calculus -- Appendix B. Probability -- References -- Index

restricted access online access with authorization star

http://purl.org/coar/access_right/c_16ec

Originally published in 2003, Mathematical Techniques in Finance has become a standard textbook for master's-level finance courses containing a significant quantitative element while also being suitable for finance PhD students. This fully revised second edition continues to offer a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and mathematics, and provides plenty of opportunities for students to practice applied mathematics and cutting-edge finance. Ales Cerný mixes tools from calculus, linear algebra, probability theory, numerical mathematics, and programming to analyze in an accessible way some of the most intriguing problems in financial economics. The textbook is the perfect hands-on introduction to asset pricing, optimal portfolio selection, risk measurement, and investment evaluation. The new edition includes the most recent research in the area of incomplete markets and unhedgeable risks, adds a chapter on finite difference methods, and thoroughly updates all bibliographic references. Eighty figures, over seventy examples, twenty-five simple ready-to-run computer programs, and several spreadsheets enhance the learning experience. All computer codes have been rewritten using MATLAB and online supplementary materials have been completely updated. A standard textbook for graduate finance courses Introduction to asset pricing, portfolio selection, risk measurement, and investment evaluation Detailed examples and MATLAB codes integrated throughout the text Exercises and summaries of main points conclude each chapter

Issued also in print.

Mode of access: Internet via World Wide Web.

In English.

Description based on online resource; title from PDF title page (publisher's Web site, viewed 30. Aug 2021)