Mathematical Finance
Theory Review and Exercises
Emanuela Rosazza Gianin author Carlo Sgarra author
Format:Paperback
Publisher:Springer International Publishing AG
Published:19th Apr '23
Should be back in stock very soon
The book is conceived as a guide to solve exercises in Mathematical Finance and a complement to theoretical lectures. The potential audience consists of students in Applied Mathematics, Engineering and Economics, attending courses in Mathematical Finance. The most important subjects covered by this textbook are Pricing and Hedging of different classes of financial derivatives (European, American Exotic options, Fixed Income derivatives) in the most popular modeling frameworks, both in discrete and continuous time setting, like the Binomial and the Black-Scholes models. A Chapter on static portfolio optimization, one on pricing for more advanced models and one on Risk Measures complete the overview on the main issues presented in classical courses on Mathematical Finance. About one hundred exercises are proposed, and a large amount of them provides a detailed solution, while a few are left as an exercise to the reader. Every chapter includes a brief resume of the main theoretical results to apply. This textbook is the result of several years of teaching experience of both the authors.
“This is the second edition of a textbook originally written in 2013. Similarly to the first edition, the volume draws on the extensive teaching experience of the two authors by presenting a wide range of (solved and unsolved) exercises. ... This book can therefore represent a useful source of inspiration for anyone lecturing on mathematical finance.” (Claudio Fontana, zbMATH 1529.91003, 2024)
ISBN: 9783031283772
Dimensions: unknown
Weight: unknown
305 pages
2nd ed. 2023