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A Comprehensive introduction to the options market* Appendix OPTION! software is self--contained and does not need to be used with spreadsheet, works on almost any IBM PC or compatible* An Instructora s Manual is available to adopters.
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Options (finance) --- Options (Finance) --- Prices --- Mathematical models. --- Options (Finance) - Prices - Mathematical models.
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Investments -- Mathematical models. --- Options (Finance) -- Prices -- Mathematical models. --- Options (Finance) --- Finance --- Business & Economics --- Investment & Speculation --- Mathematical models --- Prices --- Investments --- Mathematical models.
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Derivative securities --- Options (Finance) --- Instruments dérivés (Finances) --- Options (Finances) --- Mathematical models. --- Prices --- Modèles mathématiques --- Prix --- Money market. Capital market --- Actuarial mathematics --- Mathematical models --- Derivative securities - Mathematical models --- Options (Finance) - Mathematical models --- Options (Finance) - Prices - Mathematical models
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Propose une initiation à la théorie des options et ses applications pour valoriser les contrats d'options standardisés les plus usités dans la gestion de portefeuille domestique et internationale.
Options (Finance) --- Put and call transactions --- Options (Finances) --- Options (finance) --- Prices --- Mathematical models --- AA / International- internationaal --- 333.605 --- 333.647 --- 333.642 --- Nieuwe financiële instrumenten. --- Optiemarkt. --- Termijn. Financial futures. --- Nieuwe financiële instrumenten --- Optiemarkt --- Termijn. Financial futures --- Options (Finance) - Prices - Mathematical models
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En trois parties : le comportement de l'investisseur vis-à-vis du risque, les choix de portefeuille et l'équilibre sur le marché des actions ; l'évaluation des options ; l'évaluation des obligations et l'étude de la gamme des taux d'intérêt. Ce livre n'est pas réservé à des mathématiciens chevronnés et n'utilise que les notions usuelles d'analyse et d'algèbre.
Stock warrants --- Portfolio management --- Industrial management --- Bons de souscription d'actions --- Gestion de portefeuille --- Gestion d'entreprise --- Finance --- Finances --- Valeurs mobilieres --- Capital assets pricing model --- Securities --- Options (Finance) --- Equilibrium (Economics) --- Evaluation --- Modèles mathématiques --- Prices --- Mathematical models --- Valeurs mobilières --- Valeurs mobilieres - Evaluation --- Valeurs mobilieres - Evaluation - Modèles mathématiques --- Securities - Prices - Mathematical models --- Options (Finance) - Prices - Mathematical models --- Finance.
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Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management. This book provides an accessible introduction to these topics by a step-by-step presentation of concepts with a focus on explicit calculations. Each chapter is accompanied with exercises and their complete solutions, making the book suitable for advanced undergraduate and graduate level students. This second edition retains the main features of the first edition while incorporating a complete revision of the text as well as additional exercises wi
Interest rate futures --- Stochastic models --- Marchés à terme de taux d'intérêt --- Modèles stochastiques --- Mathematical models --- Modèles mathématiques --- Finance -- Mathematical models. --- Options (Finance) -- Mathematical models. --- Options (Finance) -- Prices -- Mathematical models. --- Finance --- Business & Economics --- Investment & Speculation --- Stochastic models. --- Mathematical models. --- Marchés à terme de taux d'intérêt --- Modèles stochastiques --- Modèles mathématiques --- Futures, Interest rate --- Models, Stochastic --- Financial futures --- E-books
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This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for readers with a basic mathematical background. The first part contains a presentation of the arbitrage theory in discrete time. In the second part, the theories of stochastic calculus and parabolic PDEs are developed in detail and the classical arbitrage theory is analyzed in a Markovian setting by means of of PDEs techniques. After the martingale representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics. General tools from PDE and martingale theories are also used in the analysis of volatility modeling. The book also contains an Introduction to Lévy processes and Malliavin calculus. The last part is devoted to the description of the numerical methods used in option pricing: Monte Carlo, binomial trees, finite differences and Fourier transform.
Arbitrage -- Mathematical models. --- Differential equations, Partial. --- Martingales (Mathematics). --- Options (Finance) -- Prices -- Mathematical models. --- Business & Economics --- Finance --- Economic Theory --- Investment & Speculation --- Options (Finance) --- Arbitrage --- Martingales (Mathematics) --- Prices --- Mathematical models. --- Partial differential equations --- Law and legislation --- Mathematics. --- Finance. --- Applied mathematics. --- Engineering mathematics. --- Economics, Mathematical. --- Probabilities. --- Quantitative Finance. --- Probability Theory and Stochastic Processes. --- Applications of Mathematics. --- Finance, general. --- Stochastic processes --- Securities --- Speculation --- Distribution (Probability theory. --- Math --- Science --- Distribution functions --- Frequency distribution --- Characteristic functions --- Probabilities --- Funding --- Funds --- Economics --- Currency question --- Economics, Mathematical . --- Engineering --- Engineering analysis --- Mathematical analysis --- Probability --- Statistical inference --- Combinations --- Mathematics --- Chance --- Least squares --- Mathematical statistics --- Risk --- Mathematical economics --- Econometrics --- Methodology
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This book deals with many topics in modern financial mathematics in a way that does not use advanced mathematical tools and shows how these models can be numerically implemented in a practical way. The book is aimed at undergraduate students, MBA students, and executives who wish to understand and apply financial models in the spreadsheet computing environment. The basic building block is the one-step binomial model where a known price today can take one of two possible values at the next time. In this simple situation, risk neutral pricing can be defined and the model can be applied to price forward contracts, exchange rate contracts, and interest rate derivatives. The simple one-period framework can then be extended to multi-period models. The authors show how binomial tree models can be constructed for several applications to bring about valuations consistent with market prices. The book closes with a novel discussion of real options. John van der Hoek is Senior Lecturer in Applied Mathematics at the University of Adelaide. He has developed courses in finance for a number of years at various levels and is a regular plenary speaker at major conferences on Quantitative Finance. Robert J. Elliott is RBC Financial Group Professor of Finance at the Haskayne School of Business at the University of Calgary. He is the author of over 300 research papers and several books, including Mathematics of Financial Markets, Second Edition (with P. Ekkehard Kopp), Stochastic Calculus and Applications, Hidden Markov Models (with Lahkdar Aggoun and John Moore) and Measure Theory and Filtering: Theory and Applications (with Lakhdar Aggoun). He is an Associate Editor of Mathematical Finance, Stochastics and Stochastics Reports, Stochastic Analysis and Applications, and the Canadian Applied Mathematics Quarterly.
Options (Finance) --- Derivative securities --- Prices --- Mathematical models --- Mathematical models. --- Money market. Capital market --- Money. Monetary policy --- Statistics. --- Economic theory. --- Finance. --- Statistics for Business, Management, Economics, Finance, Insurance. --- Economic Theory/Quantitative Economics/Mathematical Methods. --- Quantitative Finance. --- Funding --- Funds --- Economics --- Currency question --- Economic theory --- Political economy --- Social sciences --- Economic man --- Statistical analysis --- Statistical data --- Statistical methods --- Statistical science --- Mathematics --- Econometrics --- 305.91 --- AA / International- internationaal --- Call options --- Calls (Finance) --- Listed options --- Options exchange --- Options market --- Options trading --- Put and call transactions --- Put options --- Puts (Finance) --- Investments --- Prices&delete& --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Options (Finance) - Prices - Mathematical models --- Derivative securities - Mathematical models --- Acqui 2006
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This is a lively textbook providing a solid introduction to financial option valuation for undergraduate students armed with a working knowledge of a first year calculus. Written in a series of short chapters, its self-contained treatment gives equal weight to applied mathematics, stochastics and computational algorithms. No prior background in probability, statistics or numerical analysis is required. Detailed derivations of both the basic asset price model and the Black-Scholes equation are provided along with a presentation of appropriate computational techniques including binomial, finite differences and in particular, variance reduction techniques for the Monte Carlo method. Each chapter comes complete with accompanying stand-alone MATLAB code listing to illustrate a key idea. Furthermore, the author has made heavy use of figures and examples, and has included computations based on real stock market data.
Money market. Capital market --- Numerical analysis --- Options (Finance) --- Derivative securities. --- Options (Finances) --- Instruments dérivés (Finances) --- Valuation --- Mathematical models. --- Prices --- Prix --- Modèles mathématiques --- Derivative securities --- Mathematical models --- AA / International- internationaal --- 333.605 --- 305.91 --- Nieuwe financiële instrumenten. --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Derivative financial instruments --- Derivative financial products --- Derivative instruments --- Derivatives (Finance) --- Financial derivatives --- Securities --- Structured notes (Securities) --- Call options --- Calls (Finance) --- Listed options --- Options exchange --- Options market --- Options trading --- Put and call transactions --- Put options --- Puts (Finance) --- Investments --- Nieuwe financiële instrumenten --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Instruments financiers --- Mathematical Sciences --- General and Others --- Options (Finance) - Valuation - Mathematical models --- Options (Finance) - Prices - Mathematical models --- Option
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