Option Pricing and Portfolio Optimization. Modern Methods of Financial Mathematics.pdf

Option Pricing and Portfolio Optimization. Modern Methods of Financial Mathematics

Elke Korn

This text covers the typical problems of continuous-time financial mathematics such as option pricing (in particular the Black-Scholes formula and corresponding variants) and portfolio optimization (determination of optimal investment strategies). Further, a separate chapter deals with exotic options and numerical methods. The required mathematical tools which include Brownian motion, Itô calculus, and stochastic control theory will be presented in self-contained excursions. The book is suitable as the basis of a course on financial mathematics building up on a basic course in probability.

in Paper I. We formulate the optimization problem by means of a Lagrangian ... technique as well as the Black-Scholes hedging to observed option prices writ- ... Modern mathematical finance started with the seminal work of Black and Scholes ... can be perfectly replicated by a dynamically reallocated portfolio whose capital  ...

4.67 MB Taille du fichier
9780821821237 ISBN
Libre PRIX
Option Pricing and Portfolio Optimization. Modern Methods of Financial Mathematics.pdf


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