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Càlcul de Malliavin --- Actius financers derivats --- Derivative securities --- Malliavin calculus. --- Mathematics. --- Calculus, Malliavin --- Stochastic analysis --- Derivative financial instruments --- Derivative financial products --- Derivative instruments --- Derivatives (Finance) --- Financial derivatives --- Securities --- Structured notes (Securities) --- Actius derivats (Finances) --- Derivats financers --- Instruments derivats (Finances) --- Instruments financers derivats --- Nous instruments financers --- Nous productes financers --- Productes financers derivats --- Finances --- Valors --- Futurs financers --- Opcions (Finances) --- Swaps --- Anàlisi estocàstica
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Now in its fifth edition, Derivatives and Internal Models provides a comprehensive and thorough introduction to derivative pricing, risk management and portfolio optimization, covering all relevant topics with enough hands-on, depth of detail to enable readers to develop their own pricing and risk tools. The book provides insight into modern market risk quantification methods such as variance-covariance, historical simulation, Monte Carlo, hedge ratios, etc., including time series analysis and statistical concepts such as GARCH Models or Chi-Square-distributions. It shows how optimal trading decisions can be deduced once risk has been quantified by introducing risk-adjusted performance measures and a complete presentation of modern quantitative portfolio optimization. Furthermore, all the important modern derivatives and their pricing methods are presented; from basic discounted cash flow methods to Black-Scholes, binomial trees, differential equations, finite difference schemes, Monte Carlo methods, Martingales and Numeraires, terms structure models, etc. The fifth edition of this classic finance book has been comprehensively reviewed. New chapters/content cover multicurve bootstrapping, the valuation and hedging of credit default risk that is inherently incorporated in every derivative—both of which are direct and permanent consequences of the financial crises with a large impact on our understanding of modern derivative valuation. The book will be accompanied by downloadable Excel spread sheets, which demonstrate how the theoretical concepts explained in the book can be turned into valuable algorithms and applications and will serve as an excellent starting point for the reader’s own bespoke solutions for valuation and risk management systems.
Capital market. --- Risk management. --- Accounting. --- Economics. --- Corporations-Finance. --- Investment banking. --- Securities. --- Capital Markets. --- Risk Management. --- Accounting/Auditing. --- Economics, general. --- Corporate Finance. --- Investments and Securities. --- Blue sky laws --- Capitalization (Finance) --- Investment securities --- Portfolio --- Scrip --- Securities --- Securities law --- Underwriting --- Investments --- Investment banking --- Banks and banking, Investment --- Investment banks --- Financial institutions --- Economic theory --- Political economy --- Social sciences --- Economic man --- Accountancy --- Business enterprises --- Commerce --- Commercial accounting --- Finance --- Financial accounting --- Business --- Bookkeeping --- Insurance --- Management --- Capital markets --- Market, Capital --- Loans --- Money market --- Crowding out (Economics) --- Efficient market theory --- Law and legislation --- Accounting --- Bookkeeping . --- Management science. --- Corporations—Finance. --- Quantitative business analysis --- Problem solving --- Operations research --- Statistical decision --- Double entry bookkeeping --- Business education --- Gestió del risc --- Risc (Economia) --- Actius financers derivats --- Risc --- Economia --- Avaluació del risc --- Percepció del risc --- Risc (Assegurances) --- Risc de crèdit --- Beneficis --- Probabilitats --- Assegurances --- Actius derivats (Finances) --- Derivats financers --- Instruments derivats (Finances) --- Instruments financers derivats --- Nous instruments financers --- Nous productes financers --- Productes financers derivats --- Finances --- Valors --- Futurs financers --- Opcions (Finances) --- Swaps
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This text provides an accessible introduction to the classical mathematical underpinnings of modern finance. Professor Björk concentrates on the probabilistic theory of continuous arbitrage pricing of financial derivatives.
Arbitrage. --- Arbitrage --- Arbitrage - Mathematical models --- Derivative securities - Mathematical models --- Securities --- Speculation --- Law and legislation --- Arbitratge (Borsa) --- Economia matemàtica --- Integrals estocàstiques --- Teoria de control --- Actius financers derivats --- Models economètrics --- Models matemàtics --- Martingales (Matemàtica) --- Processos estocàstics --- Càlcul estocàstic --- Funcions aleatòries --- Processos aleatoris --- Probabilitats --- Anàlisi estocàstica --- Aproximació estocàstica --- Camps aleatoris --- Filtre de Kalman --- Fluctuacions (Física) --- Mètode de Montecarlo --- Processos de Markov --- Processos de ramificació --- Processos gaussians --- Processos puntuals --- Rutes aleatòries (Matemàtica) --- Semimartingales (Matemàtica) --- Sistemes estocàstics --- Teoremes de límit (Teoria de probabilitats) --- Teoria de cues --- Teoria de l'estimació --- Teoria de la predicció --- Models (Matemàtica) --- Models experimentals --- Models teòrics --- Mètodes de simulació --- Anàlisi de sistemes --- Modelització multiescala --- Models lineals (Estadística) --- Models multinivell (Estadística) --- Models no lineals (Estadística) --- Programació (Ordinadors) --- Simulació per ordinador --- Teoria de màquines --- Models biològics --- Models econòmics --- Econometria --- Actius derivats (Finances) --- Derivats financers --- Instruments derivats (Finances) --- Instruments financers derivats --- Nous instruments financers --- Nous productes financers --- Productes financers derivats --- Finances --- Valors --- Futurs financers --- Opcions (Finances) --- Swaps --- Control (Matemàtica) --- Control òptim --- Regulació --- Control automàtic --- Sistemes de control biològic --- Integració estocàstica --- Matemàtica econòmica --- Arbitratge (Economia) --- Arbitratge (Finances) --- Abritratge financer --- Borsa de valors --- Especulació --- Derivative securities
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A fully revised second edition of the best guide to high-frequency trading High-frequency trading is a difficult, but profitable, endeavor that can generate stable profits in various market conditions. But solid footing in both the theory and practice of this discipline are essential to success. Whether you're an institutional investor seeking a better understanding of high-frequency operations or an individual investor looking for a new way to trade, this book has what you need to make the most of your time in today's dynamic markets. Building on the success of the original edition
Investment analysis. --- Portfolio management. --- Securities. --- Electronic trading of securities. --- Online investing --- Online trading of securities --- Screen trading (Securities) --- Trading of securities, Electronic --- Blue sky laws --- Capitalization (Finance) --- Investment securities --- Portfolio --- Scrip --- Securities --- Securities law --- Underwriting --- Investment management --- Analysis of investments --- Analysis of securities --- Security analysis --- Law and legislation --- Online stockbrokers --- Investments --- Investment banking --- Investment analysis --- Data processing --- Anàlisi financera --- Gestió de cartera --- Valors --- Cartera de valors --- Títols de valors --- Valors mobiliaris --- Borsa de valors --- Inversions --- Actius financers derivats --- Bons --- Instruments financers --- Valors de l'Estat --- Oferta pública de venda (Valors) --- Assignació d'actius --- Anàlisi d'inversions --- Anàlisi de valors --- Estudis de rentabilitat --- Finançament de l'empresa --- Anàlisi econòmica --- Estadística financera --- Rendibilitat --- Portfolio management --- Electronic trading of securities
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