Option Pricing And Portfolio Optimization. Modern Methods Of Financial Mathematics

Elke Korn

,

Ralf Korn

Note moyenne 
Elke Korn et Ralf Korn - Option Pricing And Portfolio Optimization. Modern Methods Of Financial Mathematics.
This text covers the typical problems of continuous-time financial mathematics such as option pricing (in particular the Black-Scholes formula and corresponding... Lire la suite
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Résumé

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.

Sommaire

    • The Mean-Variance Approach in a One-Period Model
    • The Continuous-Time Market Model
    • Option Pricing
    • Pricing of Exotic Options and Numerical Algorithms
    • Optimal Portfolios

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