Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics (Record no. 47603)

MARC details
000 -LEADER
fixed length control field 02053 a2200169 4500
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9780821821237
082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 332.63228 KOR
100 ## - MAIN ENTRY--PERSONAL NAME
Personal name Korn, Ralf
245 ## - TITLE STATEMENT
Title Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Name of publisher, distributor, etc American Mathematical Society
Date of publication, distribution, etc 2001
Place of publication, distribution, etc Providence, R.I
300 ## - PHYSICAL DESCRIPTION
Extent 253
520 ## - SUMMARY, ETC.
Summary, etc Understanding and working with the current models of financial markets requires a sound knowledge of the mathematical tools and ideas from which they are built. Banks and financial houses all over the world recognize this and are avidly recruiting mathematicians, physicists, and other scientists with these skills.<br/><br/>The mathematics involved in modern finance springs from the heart of probability and analysis: the Itô calculus, stochastic control, differential equations, martingales, and so on. The authors give rigorous treatments of these topics, while always keeping the applications in mind. Thus, the way in which the mathematics is developed is governed by the way it will be used, rather than by the goal of optimal generality. Indeed, most of purely mathematical topics are treated in extended “excursions” from the applications into the theory. Thus, with the main topic of financial modelling and optimization in view, the reader also obtains a self-contained and complete introduction to the underlying mathematics.<br/><br/>This book is specifically designed as a graduate textbook. It could be used for the second part of a course in probability theory, as it includes an applied introduction to the basics of stochastic processes (martingales and Brownian motion) and stochastic calculus. It would also be suitable for a course in continuous-time finance that assumes familiarity with stochastic processes.<br/><br/>The prerequisites are basic probability theory and calculus. Some background in stochastic processes would be useful, but not essential.
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Options (Finance)
650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Portfolio Management-Mathematical Models
700 ## - ADDED ENTRY--PERSONAL NAME
Personal name Korn, Elke
942 ## - ADDED ENTRY ELEMENTS (KOHA)
Koha item type Book
Source of classification or shelving scheme Dewey Decimal Classification

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