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.

Option Pricing and Portfolio Optimization: Modern … @inproceedings{Korn2001OptionPA, title={Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics}, author={Ralf Korn and Elke Korn}, year={2001} } The mean-variance approach in a one-period model The continuous-time market model Option pricing Pricing of exotic options and

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

Technik

PC et Mac

Lisez l'eBook immédiatement après l'avoir téléchargé via "Lire maintenant" dans votre navigateur ou avec le logiciel de lecture gratuit Adobe Digital Editions.

iOS & Android

Pour tablettes et smartphones: notre application de lecture tolino gratuite

eBook Reader

Téléchargez l'eBook directement sur le lecteur dans la boutique www.thecavycottage.com.au ou transférez-le avec le logiciel gratuit Sony READER FOR PC / Mac ou Adobe Digital Editions.

Reader

Après la synchronisation automatique, ouvrez le livre électronique sur le lecteur ou transférez-le manuellement sur votre appareil tolino à l'aide du logiciel gratuit Adobe Digital Editions.

Notes actuelles

avatar
Sofya Voigtuh

Solution: Apply the method of Lagrange multipliers to the convex optimization (minimization) problem subject to linear constraints: MIT 18.S096 Portfolio Theory Portfolio Theory. Markowitz Mean-Variance Optimization Mean-Variance Optimization with Risk-Free Asset Von Neumann-Morgenstern Utility Theory Portfolio Optimization Constraints Estimating Return Expectations and Covariance Alternative

avatar
Mattio Müllers

OPTIMIZATION METHODS IN FINANCIAL ENGINEERING By Sergey V. Sarykalin December 2007 Chair: Stanislav Uryasev Major: Industrial and Systems Engineering Our study developed novel approaches to solving and analyzing challenging problems of flnancial engineering including options pricing, market forecasting, and portfolio optimization. We also make

avatar
Noels Schulzen

Buy Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics (Graduate Studies in Mathematics) on Amazon.com ✓ FREE ... Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics. Home · Option Pricing and Portfolio Optimization: Modern Methods of ...

avatar
Jason Leghmann

Portfolio Optimization and Performance Analysis …

avatar
Jessica Kolhmann

Portfolio Optimization - Macroaxis Digital Wealth ...