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- 7.000.000 titres dans notre catalogue
- Payer en toute sécurité
- Toujours un magasin près de chez vous
Description
An ideal introduction for those starting out as practitioners of mathematical finance, this book provides a clear understanding of the intuition behind derivatives pricing, how models are implemented, and how they are used and adapted in practice. Strengths and weaknesses of different models, e.g. Black-Scholes, stochastic volatility, jump-diffusion and variance gamma, are examined. Both the theory and the implementation of the industry-standard LIBOR market model are considered in detail. Each pricing problem is approached using multiple techniques including the well-known PDE and martingale approaches. This second edition contains many more worked examples and over 200 exercises with detailed solutions. Extensive appendices provide a guide to jargon, a recap of the elements of probability theory, and a collection of computer projects. The author brings to this book a blend of practical experience and rigorous mathematical background and supplies here the working knowledge needed to become a good quantitative analyst.
Spécifications
Parties prenantes
- Auteur(s) :
- Editeur:
Contenu
- Nombre de pages :
- 558
- Langue:
- Anglais
- Collection :
- Tome:
- n° 8
Caractéristiques
- EAN:
- 9780521514088
- Date de parution :
- 30-10-08
- Format:
- Livre relié
- Format numérique:
- Genaaid
- Dimensions :
- 170 mm x 249 mm
- Poids :
- 1224 g
