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Titlebook: Advanced Mathematical Methods for Finance; Giulia Di Nunno,Bernt Øksendal Book 2011 Springer-Verlag Berlin Heidelberg 2011 Calculus of va

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期刊全称Advanced Mathematical Methods for Finance
影响因子2023Giulia Di Nunno,Bernt Øksendal
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发行地址Presents new models, new methods and new results in quantitative finance.Includes an analysis of new financial products such as exotic derivatives and liquidity models.Shows an application-oriented pr
图书封面Titlebook: Advanced Mathematical Methods for Finance;  Giulia Di Nunno,Bernt Øksendal Book 2011 Springer-Verlag  Berlin Heidelberg 2011 Calculus of va
影响因子This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed.The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products.This volume presents the results of the European ESF research networking program Adv
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