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ISBN: 9783540752653 9783642094521 9783540752585 Year: 2010 Publisher: Berlin : Springer,
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Considering the stupendous gain in importance, in the banking and insurance industries since the early 1990's, of mathematical methodology, especially probabilistic methodology, it was a very natural idea for the French "Académie des Sciences" to propose a series of public lectures, accessible to an educated audience, to promote a wider understanding for some of the fundamental ideas, techniques and new tools of the financial industries. These lectures were given at the "Académie des Sciences" in Paris by internationally renowned experts in mathematical finance, and later written up for this volume which develops, in simple yet rigorous terms, some challenging topics such as risk measures, the notion of arbitrage, dynamic models involving fundamental stochastic processes like Brownian motion and Lévy processes. The Ariadne's thread leads the reader from Louis Bachelier's thesis 1900 to the famous Black-Scholes formula of 1973 and to most recent work close to Malliavin's stochastic calculus of variations. The book also features a description of the trainings of French financial analysts which will help them to become experts in these fast evolving mathematical techniques. The authors are: P. Barrieu, N. El Karoui, H. Föllmer, H. Geman, E. Gobet, G. Pagès, W. Schachermayer and M. Yor.
Financial analysis --- financiële analyse --- Quantitative methods (economics) --- Finance --- Investments --- Business mathematics --- Finances --- Investissements --- Mathématiques financières --- Mathematical models --- Mathematics --- Modèles mathématiques --- Mathématiques --- EPUB-LIV-FT SPRINGER-B LIVMATHE
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ISBN: 3642103944 9786612835346 3642103952 1282835343 Year: 2010 Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer,
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The Black-Scholes formula plays a central role in Mathematical Finance; it gives the right price at which buyer and seller can agree with, in the geometric Brownian framework, when strike K and maturity T are given. This yields an explicit well-known formula, obtained by Black and Scholes in 1973. The present volume gives another representation of this formula in terms of Brownian last passages times, which, to our knowledge, has never been made in this sense. The volume is devoted to various extensions and discussions of features and quantities stemming from the last passages times representation in the Brownian case such as: past-future martingales, last passage times up to a finite horizon, pseudo-inverses of processes... They are developed in eight chapters, with complements, appendices and exercises.
Distribution (Probability theory). --- Finance. --- Options (Finance) -- Prices -- Mathematics. --- Options (Finance) --- Distribution (Probability theory) --- Mathematics --- Finance --- Investment & Speculation --- Mathematical Statistics --- Physical Sciences & Mathematics --- Business & Economics --- Prices --- Mathematics. --- Call options --- Calls (Finance) --- Listed options --- Options exchange --- Options market --- Options trading --- Put and call transactions --- Put options --- Puts (Finance) --- Distribution functions --- Frequency distribution --- Economics, Mathematical. --- Probabilities. --- Probability Theory and Stochastic Processes. --- Quantitative Finance. --- Derivative securities --- Investments --- Characteristic functions --- Probabilities --- Distribution (Probability theory. --- Funding --- Funds --- Economics --- Currency question --- Economics, Mathematical . --- Mathematical economics --- Econometrics --- Probability --- Statistical inference --- Combinations --- Chance --- Least squares --- Mathematical statistics --- Risk --- Methodology --- Social sciences --- Probability Theory. --- Mathematics in Business, Economics and Finance.
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ISBN: 9783642103957 9783642103964 9783642103940 Year: 2010 Publisher: Berlin, Heidelberg Springer
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The Black-Scholes formula plays a central role in Mathematical Finance; it gives the right price at which buyer and seller can agree with, in the geometric Brownian framework, when strike K and maturity T are given. This yields an explicit well-known formula, obtained by Black and Scholes in 1973. The present volume gives another representation of this formula in terms of Brownian last passages times, which, to our knowledge, has never been made in this sense. The volume is devoted to various extensions and discussions of features and quantities stemming from the last passages times representation in the Brownian case such as: past-future martingales, last passage times up to a finite horizon, pseudo-inverses of processes... They are developed in eight chapters, with complements, appendices and exercises.
Finance --- Economics --- Operational research. Game theory --- Probability theory --- Mathematics --- kennis --- waarschijnlijkheidstheorie --- stochastische analyse --- financiën --- wiskunde --- kansrekening
Book
ISBN: 9783642103957 9783642103964 9783642103940 Year: 2010 Publisher: Berlin Heidelberg Springer Berlin Heidelberg
Abstract | Keywords | Export | Availability | Bookmark
Loading...Choose an application
- Reference Manager
- EndNote
- RefWorks (Direct export to RefWorks)
The Black-Scholes formula plays a central role in Mathematical Finance; it gives the right price at which buyer and seller can agree with, in the geometric Brownian framework, when strike K and maturity T are given. This yields an explicit well-known formula, obtained by Black and Scholes in 1973. The present volume gives another representation of this formula in terms of Brownian last passages times, which, to our knowledge, has never been made in this sense. The volume is devoted to various extensions and discussions of features and quantities stemming from the last passages times representation in the Brownian case such as: past-future martingales, last passage times up to a finite horizon, pseudo-inverses of processes... They are developed in eight chapters, with complements, appendices and exercises.
Finance --- Economics --- Operational research. Game theory --- Probability theory --- Mathematics --- kennis --- waarschijnlijkheidstheorie --- stochastische analyse --- financiën --- wiskunde --- kansrekening
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