and Kiesel R., Risk-Neutral Valuation: Pricing and Hedging of Financial Derivatives (1998, 2nd ed. and Rutkowski M., Credit Risk: Modeling, Valuation and Hedging (2002) Bingham N.H. Equilibrium, Efficiency and Information (2003) Bielecki T.R. It aims to cover a variety of topics, not only mathematical finance but foreign exchanges, term structure, risk management, portfolio theory, equity derivatives, and financial economics.Īmmann M., Credit Risk Valuation: Methods, Models, and Application (2001) Back K., A Course in Derivative Securities: Introduction to Theory and Computation (2005) Barucci E., Financial Markets Theory. Springer Finance Springer Finance is a programme of books aimed at students, academics and practitioners working on increasingly technical approaches to the analysis of financial markets. The last chapter gives an introduction to the same objects in the context of jump processes where incomplete markets appear.Įditorial Board M. Insider information is expressed as an infinite-dimensional drift. The discretization error of the Euler scheme for a stochastic differential equation is expressed as a generalized Watanabe distribution on the Wiener space. Finite-dimensional projections of infinite-dimensional Sobolev spaces lead to Monte Carlo computations of conditional expectations useful for computing American options. Integration by parts formulae provide stable Monte Carlo schemes for numerical valuation of digital options. Greeks (price sensitivities) are reinterpreted in terms of Malliavin calculus. This new book, demonstrating the relevance of Malliavin calculus for Mathematical Finance, starts with an exposition from scratch of this theory. The calculus includes formulae of integration by parts and Sobolev spaces of differentiable functions defined on a probability space. Malliavin calculus provides an infinite-dimensional differential calculus in the context of continuous paths stochastic processes.
0 Comments
Leave a Reply. |
AuthorWrite something about yourself. No need to be fancy, just an overview. ArchivesCategories |