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Option Pricing and Portfolio Optimization. Modern Methods of Financial Mathematics - Elke Korn

PRIX: GRATUIT
FORMAT: PDF EPUB MOBI
DATE DE SORTIE: 29/03/2001
TAILLE DU FICHIER: 10,35
ISBN: 0-8218-2123-7
LANGUE: FRANÇAIS
AUTEUR: Elke Korn

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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.

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