Mathematical Techniques in Finance
eBook - ePub

Mathematical Techniques in Finance

Tools for Incomplete Markets - Second Edition

  1. 416 pages
  2. English
  3. ePUB (mobile friendly)
  4. Available on iOS & Android
eBook - ePub

Mathematical Techniques in Finance

Tools for Incomplete Markets - Second Edition

About this book

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

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Yes, you can access Mathematical Techniques in Finance by Ales Cerný in PDF and/or ePUB format, as well as other popular books in Business & Finance. We have over one million books available in our catalogue for you to explore.

Information

Publisher
Princeton University Press
Year
2009
Print ISBN
9780691088075, 9780691088068
eBook ISBN
9781400831487
Edition
2
Topic
Business
Subtopic
Finance
Index
Business

Table of contents

  1. Cover Page
  2. Title Page
  3. Copyright Page
  4. Dedication Page
  5. Contents
  6. Preface to the Second Edition
  7. From the Preface to the First Edition
  8. 1 - The Simplest Model of Financial Markets
  9. 2 - Arbitrage and Pricing in the One-Period Model
  10. 3 - Risk and Return in the One-Period Model
  11. 4 - Numerical Techniques for Optimal Portfolio Selection in Incomplete Markets
  12. 5 - Pricing in Dynamically Complete Markets
  13. 6 - Towards Continuous Time
  14. 7 - Fast Fourier Transform
  15. 8 - Information Management
  16. 9 - Martingales and Change of Measure in Finance
  17. 10 - Brownian Motion and Itô Formulae
  18. 11 - Continuous-Time Finance
  19. 12 - Finite-Difference Methods
  20. 13 - Dynamic Option Hedging and Pricing in Incomplete Markets
  21. Appendix A - Calculus
  22. Appendix B - Probability
  23. References
  24. Index