Option Pricing and Portfolio Optimization : Modern Methods of Financial Mathematics
Ralf. Korn
Bok Engelsk 1900 · Electronic books.
| Annen tittel | |
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| Utgitt | Providence : : American Mathematical Society, , 1900.
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| Omfang | 1 online resource (269 p.)
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| Opplysninger | Description based upon print version of record.. - ""Cover""; ""Title""; ""Copyright""; ""Contents""; ""Preface""; ""Frequently Used Notation""; ""Chapter 1. The Mean-Variance Approach in a One-Period Model""; ""Chapter 2. The Continuous-Time Market Model""; ""Â 2.1. Modeling the Security Prices""; ""Excursion 1: Brownian Motion and Martingales""; ""2.1. Continuation: Modeling the Security Prices""; ""Excursion 2: The ItÃ? Integral""; ""Excursion 3: The ItÃ? Formula""; ""Â2.2. Trading Strategy and Wealth Process""; ""Â2.3. Properties of the Continuous-Time Market Model""; ""Excursion 4: The Martingale Representation Theorem"". - ""Â5.1. Introduction and Formulation of the Problem""""Â5.2. The Martingale Method""; ""Â5.3. Optimal Option Portfolios""; ""Excursion 8: Stochastic Control""; ""Â5.4. Portfolio Optimization via the Stochastic Control Method""; ""Exercises""; ""Bibliography""; ""Index""; ""A""; ""B""; ""C""; ""D""; ""E""; ""F""; ""G""; ""H""; ""I""; ""L""; ""M""; ""N""; ""O""; ""P""; ""Q""; ""R""; ""S""; ""T""; ""U""; ""V""; ""W""; ""Back Cover"". - ""Chapter 4. Pricing of Exotic Options and Numerical Algorithms""""Â 4.1. Exotic Options with Explicit Pricing Formulae""; ""a) Path independent options on one stock""; ""b) Options on more than one underlying stock""; ""c) Path dependent options""; ""Excursion 7: Weak Convergence of Stochastic Processes""; ""Â4.2. Monte-Carlo Simulation""; ""Â 4.3. Approximation via Binomial Trees""; ""Â4.4. Trinomial Trees and Explicit Finite-Difference Methods""; ""Â4.5. The Pathwise Binomial Approach of Rogers and Stapleton""; ""Exercises""; ""Chapter 5. Optimal Portfolios"". - ""Exercises""""Chapter 3. Option Pricing""; ""Â 3.1. Introduction""; ""Â3.2. Option Pricing via the Replication Principle""; ""Excursion 5: Girsanov's Theorem""; ""3.2. Continuation: Option Pricing via the Replication Principle""; ""Â3.3. Option Pricing by the Partial Differential Approach""; ""Excursion 6: The Feynman-Kac Representation""; ""Â3.4. Arbitrage Bounds for American and European Options""; ""Â3.5. Pricing of American Options""; ""Â3.6. Arbitrage, Equivalent Martingale Measures and Option Pricing""; ""Â3.7. Market Numeraire and Numeraire Invariance""; ""Exercises""
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| Emner | |
| Sjanger | |
| Dewey | |
| ISBN | 0821821237
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