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Le calcul numérique en finance empirique et quantitative [[electronic resource] ] : Ingénierie financière et Excel (Visual Basic), 2e édition / / François-Eric Racicot, Raymond Theoret
| Le calcul numérique en finance empirique et quantitative [[electronic resource] ] : Ingénierie financière et Excel (Visual Basic), 2e édition / / François-Eric Racicot, Raymond Theoret |
| Autore | Racicot François-Eric |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Québec : , : Presses de l'Université du Québec, , 2004 |
| Descrizione fisica | 1 online resource (822 p.) |
| Disciplina | 332.64/57 |
| Altri autori (Persone) | TheoretRaymond |
| Soggetto topico |
Financial engineering
Derivative securities - Prices - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
2-7605-1772-1
1-4356-9050-8 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | fre |
| Nota di contenuto |
TABLE DES MATIÈRES; AVANT-PROPOS; PRÉSENTATION DE LA DEUXIÈME ÉDITION; Partie 1: LES FONDEMENTS; Chapitre 1: LES FONDEMENTS DU CALCUL NUMÉRIQUE; Chapitre 2: UNE INTRODUCTION AUX MÉTHODES; Partie 2: «BOOTSTRAPPING» ET ALGORITHMES D'OPTIMISATION; Chapitre 3: LES ASPECTS THÉORIQUES; Chapitre 4: LES ASPECTS THÉORIQUES DE LA CONSTRUCTION DE L'ARBRE BINOMIAL DE TAUX D'INTÉRÊT DU MODÈLEDE BLACK, DERMAN ET TOY; Chapitre 5: VARIATIONS SUR LES ASPECTS THÉORIQUES DE LA VaR AVEC APPLICATIONS VISUAL BASIC DU CALCUL DE LA VaR SELON LA MÉTHODE DU BOOTSTRAPPING ET SELON L'EXPANSION DE CORNISH-FISHER
Partie 3: ARBRES BINOMIAUX ET TRINOMIAUX ET SIMULATION MONTE CARLOChapitre 6: VARIATIONS SUR LES ASPECTS THÉORIQUES ET PRATIQUES D'OPTIMISATION; Chapitre 7: DE LA CONSTRUCTION D'ARBRES BINOMIAUX ET TRINOMIAUX DES PRIX DES PRODUITS DÉRIVÉS ET DE SES RAPPORTS AVEC LA SIMULATION MONTE CARLO; Chapitre 8: ARBRES BINOMIAUX ADDITIFS ET MULTIPLICATIFS POUR ÉVALUER LES OPTIONS AMÉRICAINES CLASSIQUES SUR ACTIONS PORTANT DIVIDENDE; Partie 4: QUELQUES APPLICATIONS Chapitre 9: DES ARBRES BINOMIAUX DE TAUX D'INTÉRÊT DES MODÈLES DE BLACK, DERMAN ET TOY ET DE HO ET LEE À L'ÉVALUATION D'OPTIONS SUR TAUX D'INTÉRÊT DANS LE CADRE DE LA PROGRAMMATION VISUAL BASICChapitre 10: MODÉLISATION DE LA VALEUR; Chapitre 11: LE TAUX REPO IMPLICITE ET LES STRATÉGIES D'ARBITRAGE SUR LE MARCHÉ À TERME; Partie 5: MÉTHODES MODERNES DE LA FINANCE EMPIRIQUE ET QUANTITATIVE; Chapitre 12: LES OPTIONS RÉELLES; Chapitre 13: LA MÉTHODE DES DIFFÉRENCES FINIES; Chapitre 14: L'ANALYSE DES DONNÉES À HAUTE FRÉQUENCE Chapitre 15: LE TRAITEMENT ÉCONOMÉTRIQUE DES ERREURS SUR LES VARIABLES PAR LES VARIABLES INSTRUMENTALESAnnexe 1: INTRODUCTION À L'ÉCONOMÉTRIE FINANCIÈRE; Annexe 2: MÉTHODE GÉNÉRALE POUR CALCULER UNE FRONTIÈRE EFFICIENTE AVEC APPLICATION VISUAL BASIC; Annexe 3: ÉVALUATION DE LA GESTION DE PORTEFEUILLE; Annexe 4: TECHNIQUES D'ASSURANCE DE PORTEFEUILLES; Annexe 5: PROGRAMME VISUAL BASIC D'UNE MATRICE DE CORRÉLATION ET DE VARIANCE-COVARIANCE DES RENDEMENTS DES TITRES D'UN PORTEFEUILLE; Annexe 6: FRONTIÈRES EFFICIENTES INSPIRÉES DE BENNINGA (2000) ET DE JACKSON ET STAUNTON (2001) Annexe 7: DISTINCTION ENTRE L'APPROCHE DU PORTEFEUILLE DUPLIQUANT ET L'APPROCHE RISQUE-NEUTRE À LA CONSTRUCTION DE L'ARBRE BINOMIAL |
| Record Nr. | UNINA-9910734995203321 |
Racicot François-Eric
|
||
| Québec : , : Presses de l'Université du Québec, , 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The concepts and practice of mathematical finance / Mark S. Joshi
| The concepts and practice of mathematical finance / Mark S. Joshi |
| Autore | Joshi, Mark Suresh |
| Pubbl/distr/stampa | Cambridge, UK : Cambridge University Press, 2003 |
| Descrizione fisica | xvii, 473 p. : ill. ; 26 cm |
| Disciplina | 332.0151 |
| Collana | Mathematics, finance, and risk |
| Soggetto topico |
Derivative securities - Prices - Mathematical models
Options (Finance) - Prices - Mathematical models Interest rates - Mathematical models Finance - Mathematical models Investments - Mathematics Risk management - Mathematical models |
| ISBN | 0521823552 |
| Classificazione |
AMS 93A
LC HG6024.A3J67 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000497689707536 |
|
Joshi, Mark Suresh
|
||
| Cambridge, UK : Cambridge University Press, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
Financial derivatives pricing [[electronic resource] ] : selected works of Robert Jarrow / / Robert A. Jarrow
| Financial derivatives pricing [[electronic resource] ] : selected works of Robert Jarrow / / Robert A. Jarrow |
| Autore | Jarrow Robert A |
| Pubbl/distr/stampa | Hackensack, NJ, : World Scientific, c2008 |
| Descrizione fisica | 1 online resource (608 p.) |
| Disciplina | 332.64/57 |
| Soggetto topico |
Derivative securities - Prices - Mathematical models
Derivative securities - Prices - United States |
| Soggetto genere / forma | Electronic books. |
| ISBN | 981-281-922-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Acknowledgments; Preface; Foreword; Contents; Part I. Option Pricing Theory and its Foundations; Introduction; References; 1. Approximate Option Valuation for Arbitrary Stochastic Processes R. Jarrow and A. Rudd; 1. Introduction; 2. Approximating distribution; 3. Approximate option valuation formula; 4. Approximating option values with the Black-8cboles formula; 5. N umerieal analysis of residual error; 6. Conclusion; Appendix 1: Proof of the generalized Edgeworth series expansion; References; 2. Arbitrage, Continuous Trading, and Margin Requirements D. Heath and R. Jarrow; I. The Model
II. Market Constraints on Trading StrategiesIII. Option Pricing under Margin Requirements; IV. Conclusion; Appendix; REFERENCES; 3. Ex-Dividend Stock Price Behavior and Arbitrage Opportunities D. Heath and R. Jarrow; I. Introduction; II. The Model; III. Characterization of Arbitrage Opportunities at the Ex-Dividend Date; IV. Escrowed Dividend Stock Processes; V. Conclusion; Appendix; Proofs of Theorems 1 and 2; References; 4. The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value P. Carr and R. Jarrow 1. The Black-Scholes Model, Terminology, and the Stop-Loss StartGain Strategy2. Resolution of the Paradox; 3. Valuation Results; 4. Genera1izing the Stock-Price Process; 5. Conclusions; Appendix; References; 5. Alternative Characterizations of American Put Options P. Carr, R. Jarrow and R. Myneni; 1. THE EARLY EXERCISE PREMIUM; 2. REPRESENTING EUROPEAN PUTS IN TERMS OF A BOUNDARY; 3. VARIOUS AMERICAN PUT REPRESENTATIONS; 4. SUMMARY AND EXTENSIONS; 5. APPENDIX; REFERENCES; 6. Market Manipulation, Bubbles, Corners, and Short Squeezes R. Jarrow; I. Introduction; II. The Model III. The Market StructureIV. Paper Wealth, Real Wealth, and Market Manipulation Trading Strategies; V. The Existence of Market Manipulation Trading Strategies; VI. Sufficient Conditions for the Nonexistence of Market Manipulation Trading Strategies; VII. Infinite Trading Horizon Speculators; VIII. Conclusion; Appendix; References; 7. Derivative Security Markets, Market Manipulation, and Option Pricing Theory R. Jarrow; Abstract; I. Introduction; II. The Model; III. Market Manipulation Using the Derivative Security; IV. Synchronous Markets; V. A Theory for Option Pricing; VI. Conclusion AppendixReferences; 8. Liquidity Risk and Arbitrage Pricing Theory U. Oetin, R. Jarrow and P. Protter; 1 Introduction; 2 The model; 2.1 Supply curve; 2.2 Trading strategies; 2.3 The marked-to-market value of a s.ft.s. and its liquidity cost; 3 The extended first fundamental theorem; 4 The extended second fundamental theorem; 5 Example (extended Black-Scholes economy); 5.1 The economy; 5.2 Call option valuation; 6 Discontinuous supply curve evolutions; 6.1 The supply curve and s.f.t.s. 's; 6.2 The extended first fundamental theorem; 6.3 The extended secondfundamental theorem; 7 Conclusion Appendix |
| Record Nr. | UNINA-9910454574303321 |
|
Jarrow Robert A
|
||
| Hackensack, NJ, : World Scientific, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial derivatives pricing [[electronic resource] ] : selected works of Robert Jarrow / / Robert A. Jarrow
| Financial derivatives pricing [[electronic resource] ] : selected works of Robert Jarrow / / Robert A. Jarrow |
| Autore | Jarrow Robert A |
| Pubbl/distr/stampa | Hackensack, NJ, : World Scientific, c2008 |
| Descrizione fisica | 1 online resource (608 p.) |
| Disciplina | 332.64/57 |
| Soggetto topico |
Derivative securities - Prices - Mathematical models
Derivative securities - Prices - United States |
| ISBN | 981-281-922-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Acknowledgments; Preface; Foreword; Contents; Part I. Option Pricing Theory and its Foundations; Introduction; References; 1. Approximate Option Valuation for Arbitrary Stochastic Processes R. Jarrow and A. Rudd; 1. Introduction; 2. Approximating distribution; 3. Approximate option valuation formula; 4. Approximating option values with the Black-8cboles formula; 5. N umerieal analysis of residual error; 6. Conclusion; Appendix 1: Proof of the generalized Edgeworth series expansion; References; 2. Arbitrage, Continuous Trading, and Margin Requirements D. Heath and R. Jarrow; I. The Model
II. Market Constraints on Trading StrategiesIII. Option Pricing under Margin Requirements; IV. Conclusion; Appendix; REFERENCES; 3. Ex-Dividend Stock Price Behavior and Arbitrage Opportunities D. Heath and R. Jarrow; I. Introduction; II. The Model; III. Characterization of Arbitrage Opportunities at the Ex-Dividend Date; IV. Escrowed Dividend Stock Processes; V. Conclusion; Appendix; Proofs of Theorems 1 and 2; References; 4. The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value P. Carr and R. Jarrow 1. The Black-Scholes Model, Terminology, and the Stop-Loss StartGain Strategy2. Resolution of the Paradox; 3. Valuation Results; 4. Genera1izing the Stock-Price Process; 5. Conclusions; Appendix; References; 5. Alternative Characterizations of American Put Options P. Carr, R. Jarrow and R. Myneni; 1. THE EARLY EXERCISE PREMIUM; 2. REPRESENTING EUROPEAN PUTS IN TERMS OF A BOUNDARY; 3. VARIOUS AMERICAN PUT REPRESENTATIONS; 4. SUMMARY AND EXTENSIONS; 5. APPENDIX; REFERENCES; 6. Market Manipulation, Bubbles, Corners, and Short Squeezes R. Jarrow; I. Introduction; II. The Model III. The Market StructureIV. Paper Wealth, Real Wealth, and Market Manipulation Trading Strategies; V. The Existence of Market Manipulation Trading Strategies; VI. Sufficient Conditions for the Nonexistence of Market Manipulation Trading Strategies; VII. Infinite Trading Horizon Speculators; VIII. Conclusion; Appendix; References; 7. Derivative Security Markets, Market Manipulation, and Option Pricing Theory R. Jarrow; Abstract; I. Introduction; II. The Model; III. Market Manipulation Using the Derivative Security; IV. Synchronous Markets; V. A Theory for Option Pricing; VI. Conclusion AppendixReferences; 8. Liquidity Risk and Arbitrage Pricing Theory U. Oetin, R. Jarrow and P. Protter; 1 Introduction; 2 The model; 2.1 Supply curve; 2.2 Trading strategies; 2.3 The marked-to-market value of a s.ft.s. and its liquidity cost; 3 The extended first fundamental theorem; 4 The extended second fundamental theorem; 5 Example (extended Black-Scholes economy); 5.1 The economy; 5.2 Call option valuation; 6 Discontinuous supply curve evolutions; 6.1 The supply curve and s.f.t.s. 's; 6.2 The extended first fundamental theorem; 6.3 The extended secondfundamental theorem; 7 Conclusion Appendix |
| Record Nr. | UNINA-9910777950803321 |
|
Jarrow Robert A
|
||
| Hackensack, NJ, : World Scientific, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial derivatives pricing : selected works of Robert Jarrow / / Robert A. Jarrow
| Financial derivatives pricing : selected works of Robert Jarrow / / Robert A. Jarrow |
| Autore | Jarrow Robert A |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hackensack, NJ, : World Scientific, c2008 |
| Descrizione fisica | 1 online resource (608 p.) |
| Disciplina | 332.64/57 |
| Soggetto topico |
Derivative securities - Prices - Mathematical models
Derivative securities - Prices - United States |
| ISBN | 981-281-922-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Acknowledgments; Preface; Foreword; Contents; Part I. Option Pricing Theory and its Foundations; Introduction; References; 1. Approximate Option Valuation for Arbitrary Stochastic Processes R. Jarrow and A. Rudd; 1. Introduction; 2. Approximating distribution; 3. Approximate option valuation formula; 4. Approximating option values with the Black-8cboles formula; 5. N umerieal analysis of residual error; 6. Conclusion; Appendix 1: Proof of the generalized Edgeworth series expansion; References; 2. Arbitrage, Continuous Trading, and Margin Requirements D. Heath and R. Jarrow; I. The Model
II. Market Constraints on Trading StrategiesIII. Option Pricing under Margin Requirements; IV. Conclusion; Appendix; REFERENCES; 3. Ex-Dividend Stock Price Behavior and Arbitrage Opportunities D. Heath and R. Jarrow; I. Introduction; II. The Model; III. Characterization of Arbitrage Opportunities at the Ex-Dividend Date; IV. Escrowed Dividend Stock Processes; V. Conclusion; Appendix; Proofs of Theorems 1 and 2; References; 4. The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value P. Carr and R. Jarrow 1. The Black-Scholes Model, Terminology, and the Stop-Loss StartGain Strategy2. Resolution of the Paradox; 3. Valuation Results; 4. Genera1izing the Stock-Price Process; 5. Conclusions; Appendix; References; 5. Alternative Characterizations of American Put Options P. Carr, R. Jarrow and R. Myneni; 1. THE EARLY EXERCISE PREMIUM; 2. REPRESENTING EUROPEAN PUTS IN TERMS OF A BOUNDARY; 3. VARIOUS AMERICAN PUT REPRESENTATIONS; 4. SUMMARY AND EXTENSIONS; 5. APPENDIX; REFERENCES; 6. Market Manipulation, Bubbles, Corners, and Short Squeezes R. Jarrow; I. Introduction; II. The Model III. The Market StructureIV. Paper Wealth, Real Wealth, and Market Manipulation Trading Strategies; V. The Existence of Market Manipulation Trading Strategies; VI. Sufficient Conditions for the Nonexistence of Market Manipulation Trading Strategies; VII. Infinite Trading Horizon Speculators; VIII. Conclusion; Appendix; References; 7. Derivative Security Markets, Market Manipulation, and Option Pricing Theory R. Jarrow; Abstract; I. Introduction; II. The Model; III. Market Manipulation Using the Derivative Security; IV. Synchronous Markets; V. A Theory for Option Pricing; VI. Conclusion AppendixReferences; 8. Liquidity Risk and Arbitrage Pricing Theory U. Oetin, R. Jarrow and P. Protter; 1 Introduction; 2 The model; 2.1 Supply curve; 2.2 Trading strategies; 2.3 The marked-to-market value of a s.ft.s. and its liquidity cost; 3 The extended first fundamental theorem; 4 The extended second fundamental theorem; 5 Example (extended Black-Scholes economy); 5.1 The economy; 5.2 Call option valuation; 6 Discontinuous supply curve evolutions; 6.1 The supply curve and s.f.t.s. 's; 6.2 The extended first fundamental theorem; 6.3 The extended secondfundamental theorem; 7 Conclusion Appendix |
| Record Nr. | UNINA-9910813911403321 |
|
Jarrow Robert A
|
||
| Hackensack, NJ, : World Scientific, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Finite difference methods in financial engineering [[electronic resource] ] : a partial differential equation approach / / Daniel J. Duffy
| Finite difference methods in financial engineering [[electronic resource] ] : a partial differential equation approach / / Daniel J. Duffy |
| Autore | Duffy Daniel J |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley, c2006 |
| Descrizione fisica | 1 online resource (441 p.) |
| Disciplina | 332.60151 |
| Collana | Wiley finance series |
| Soggetto topico |
Financial engineering - Mathematics
Derivative securities - Prices - Mathematical models Finite differences Differential equations, Partial - Numerical solutions |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-85648-1
1-118-67344-1 1-280-41120-1 9786610411207 0-470-85883-4 |
| Classificazione |
QK 660
SK 980 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
0 Goals of this Book and Global Overview; Contents; 0.1 What is this Book?; 0.2 Why has this Book Been Written?; 0.3 For Whom is this Book Intended?; 0.4 Why Should I Read this Book?; 0.5 The Structure of this Book; 0.6 What this Book Does Not Cover; 0.7 Contact, Feedback and More Information; Part I The Continuous Theory Of Partial DifferentialI Equations; 1 An Introduction to Ordinary Differential Equations; 1.1 Introduction and Objectives; 1.2 Two-Point Boundary Value Problem; 1.2.1 Special Kinds of Boundary Condition; 1.3 Linear Boundary Value Problems; 1.4 Initial Value Problems
1.5 Some Special Cases1.6 Summary and Conclusions; 2 An Introduction to Partial Differential Equations; 2.1 Introduction and Objectives; 2.2 Partial Differential Equations; 2.3 Specialisations; 2.3.1 Elliptic Equations; 2.3.2 Free Boundary Value Problems; 2.4 Parabolic Partial Differential Equations; 2.4.1 Special Cases; 2.5 Hyperbolic Equations; 2.5.1 Second-Order Equations; 2.5.2 First-Order Equations; 2.6 Systems of Equations; 2.6.1 Parabolic Systems; 2.6.2 First-Order Hyperbolic Systems; 2.7 Equations Containing Integrals; 2.8 Summary and Conclusions 3 Second-Order Parabolic Differential Equations3.1 Introduction and Objectives; 3.2 Linear Parabolic Equations; 3.3 The Continuous Problem; 3.4 The Maximum Principle for Parabolic Equations; 3.5 A Special Case: One-Factor Generalised Black-Scholes Models; 3.6 Fundamental Solution and the Green's Function; 3.7 Integral Representation of the Solution of Parabolic PDEs; 3.8 Parabolic Equations in One Space Dimension; 3.9 Summary and Conclusions; 4 An Introduction to the Heat Equation in One Dimension; 4.1 Introduction and Objectives; 4.2 Motivation and Background 4.3 The Heat Equation and Financial Engineering4.4 The Separation of Variables Technique; 4.4.1 Heat Flow in a Road with Ends Held at Constant Temperature; 4.4.2 Heat Flow in a Rod Whose Ends are at a Specified Variable Temperature; 4.4.3 Heat Flow in an Infinite Rod; 4.4.4 Eigenfunction Expansions; 4.5 Transformation Techniques for the Heat Equation; 4.5.1 Laplace Transform; 4.5.2 Fourier Transform for the Heat Equation; 4.6 Summary and Conclusions; 5 An Introduction to the Method of Characteristics; 5.1 Introduction and Objectives; 5.2 First-Order Hyperbolic Equations; 5.2.1 An Example 5.3 Second-Order Hyperbolic Equations5.3.1 Numerical Integration Along the Characteristic Lines; 5.4 Applications to Financial Engineering; 5.4.1 Generalisations; 5.5 Systems of Equations; 5.5.1 An Example; 5.6 Propagation of Discontinuities; 5.6.1 Other Problems; 5.7 Summary and Conclusions; Part II FiniteI DifferenceI Methods: The Fundamentals; 6 An Introduction to the Finite Difference Method; 6.1 Introduction and Objectives; 6.2 Fundamentals of Numerical Differentiation; 6.3 Caveat: Accuracy and Round-Off Errors; 6.4 Where are Divided Differences Used in Instrument Pricing? 6.5 Initial Value Problems |
| Record Nr. | UNINA-9910145039503321 |
|
Duffy Daniel J
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Finite difference methods in financial engineering [[electronic resource] ] : a partial differential equation approach / / Daniel J. Duffy
| Finite difference methods in financial engineering [[electronic resource] ] : a partial differential equation approach / / Daniel J. Duffy |
| Autore | Duffy Daniel J |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley, c2006 |
| Descrizione fisica | 1 online resource (441 p.) |
| Disciplina | 332.60151 |
| Collana | Wiley finance series |
| Soggetto topico |
Financial engineering - Mathematics
Derivative securities - Prices - Mathematical models Finite differences Differential equations, Partial - Numerical solutions |
| ISBN |
1-118-85648-1
1-118-67344-1 1-280-41120-1 9786610411207 0-470-85883-4 |
| Classificazione |
QK 660
SK 980 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
0 Goals of this Book and Global Overview; Contents; 0.1 What is this Book?; 0.2 Why has this Book Been Written?; 0.3 For Whom is this Book Intended?; 0.4 Why Should I Read this Book?; 0.5 The Structure of this Book; 0.6 What this Book Does Not Cover; 0.7 Contact, Feedback and More Information; Part I The Continuous Theory Of Partial DifferentialI Equations; 1 An Introduction to Ordinary Differential Equations; 1.1 Introduction and Objectives; 1.2 Two-Point Boundary Value Problem; 1.2.1 Special Kinds of Boundary Condition; 1.3 Linear Boundary Value Problems; 1.4 Initial Value Problems
1.5 Some Special Cases1.6 Summary and Conclusions; 2 An Introduction to Partial Differential Equations; 2.1 Introduction and Objectives; 2.2 Partial Differential Equations; 2.3 Specialisations; 2.3.1 Elliptic Equations; 2.3.2 Free Boundary Value Problems; 2.4 Parabolic Partial Differential Equations; 2.4.1 Special Cases; 2.5 Hyperbolic Equations; 2.5.1 Second-Order Equations; 2.5.2 First-Order Equations; 2.6 Systems of Equations; 2.6.1 Parabolic Systems; 2.6.2 First-Order Hyperbolic Systems; 2.7 Equations Containing Integrals; 2.8 Summary and Conclusions 3 Second-Order Parabolic Differential Equations3.1 Introduction and Objectives; 3.2 Linear Parabolic Equations; 3.3 The Continuous Problem; 3.4 The Maximum Principle for Parabolic Equations; 3.5 A Special Case: One-Factor Generalised Black-Scholes Models; 3.6 Fundamental Solution and the Green's Function; 3.7 Integral Representation of the Solution of Parabolic PDEs; 3.8 Parabolic Equations in One Space Dimension; 3.9 Summary and Conclusions; 4 An Introduction to the Heat Equation in One Dimension; 4.1 Introduction and Objectives; 4.2 Motivation and Background 4.3 The Heat Equation and Financial Engineering4.4 The Separation of Variables Technique; 4.4.1 Heat Flow in a Road with Ends Held at Constant Temperature; 4.4.2 Heat Flow in a Rod Whose Ends are at a Specified Variable Temperature; 4.4.3 Heat Flow in an Infinite Rod; 4.4.4 Eigenfunction Expansions; 4.5 Transformation Techniques for the Heat Equation; 4.5.1 Laplace Transform; 4.5.2 Fourier Transform for the Heat Equation; 4.6 Summary and Conclusions; 5 An Introduction to the Method of Characteristics; 5.1 Introduction and Objectives; 5.2 First-Order Hyperbolic Equations; 5.2.1 An Example 5.3 Second-Order Hyperbolic Equations5.3.1 Numerical Integration Along the Characteristic Lines; 5.4 Applications to Financial Engineering; 5.4.1 Generalisations; 5.5 Systems of Equations; 5.5.1 An Example; 5.6 Propagation of Discontinuities; 5.6.1 Other Problems; 5.7 Summary and Conclusions; Part II FiniteI DifferenceI Methods: The Fundamentals; 6 An Introduction to the Finite Difference Method; 6.1 Introduction and Objectives; 6.2 Fundamentals of Numerical Differentiation; 6.3 Caveat: Accuracy and Round-Off Errors; 6.4 Where are Divided Differences Used in Instrument Pricing? 6.5 Initial Value Problems |
| Record Nr. | UNINA-9910831177203321 |
|
Duffy Daniel J
|
||
| Chichester, England ; ; Hoboken, NJ, : John Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Finite difference methods in financial engineering : a partial differential equation approach / / Daniel J. Duffy
| Finite difference methods in financial engineering : a partial differential equation approach / / Daniel J. Duffy |
| Autore | Duffy Daniel J |
| Pubbl/distr/stampa | Chichester, England ; ; Hoboken, NJ, : John Wiley, c2006 |
| Descrizione fisica | 1 online resource (441 p.) |
| Disciplina | 332.60151 |
| Collana | Wiley finance series |
| Soggetto topico |
Financial engineering - Mathematics
Derivative securities - Prices - Mathematical models Finite differences Differential equations, Partial - Numerical solutions |
| ISBN |
1-118-85648-1
1-118-67344-1 1-280-41120-1 9786610411207 0-470-85883-4 |
| Classificazione |
QK 660
SK 980 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
0 Goals of this Book and Global Overview; Contents; 0.1 What is this Book?; 0.2 Why has this Book Been Written?; 0.3 For Whom is this Book Intended?; 0.4 Why Should I Read this Book?; 0.5 The Structure of this Book; 0.6 What this Book Does Not Cover; 0.7 Contact, Feedback and More Information; Part I The Continuous Theory Of Partial DifferentialI Equations; 1 An Introduction to Ordinary Differential Equations; 1.1 Introduction and Objectives; 1.2 Two-Point Boundary Value Problem; 1.2.1 Special Kinds of Boundary Condition; 1.3 Linear Boundary Value Problems; 1.4 Initial Value Problems
1.5 Some Special Cases1.6 Summary and Conclusions; 2 An Introduction to Partial Differential Equations; 2.1 Introduction and Objectives; 2.2 Partial Differential Equations; 2.3 Specialisations; 2.3.1 Elliptic Equations; 2.3.2 Free Boundary Value Problems; 2.4 Parabolic Partial Differential Equations; 2.4.1 Special Cases; 2.5 Hyperbolic Equations; 2.5.1 Second-Order Equations; 2.5.2 First-Order Equations; 2.6 Systems of Equations; 2.6.1 Parabolic Systems; 2.6.2 First-Order Hyperbolic Systems; 2.7 Equations Containing Integrals; 2.8 Summary and Conclusions 3 Second-Order Parabolic Differential Equations3.1 Introduction and Objectives; 3.2 Linear Parabolic Equations; 3.3 The Continuous Problem; 3.4 The Maximum Principle for Parabolic Equations; 3.5 A Special Case: One-Factor Generalised Black-Scholes Models; 3.6 Fundamental Solution and the Green's Function; 3.7 Integral Representation of the Solution of Parabolic PDEs; 3.8 Parabolic Equations in One Space Dimension; 3.9 Summary and Conclusions; 4 An Introduction to the Heat Equation in One Dimension; 4.1 Introduction and Objectives; 4.2 Motivation and Background 4.3 The Heat Equation and Financial Engineering4.4 The Separation of Variables Technique; 4.4.1 Heat Flow in a Road with Ends Held at Constant Temperature; 4.4.2 Heat Flow in a Rod Whose Ends are at a Specified Variable Temperature; 4.4.3 Heat Flow in an Infinite Rod; 4.4.4 Eigenfunction Expansions; 4.5 Transformation Techniques for the Heat Equation; 4.5.1 Laplace Transform; 4.5.2 Fourier Transform for the Heat Equation; 4.6 Summary and Conclusions; 5 An Introduction to the Method of Characteristics; 5.1 Introduction and Objectives; 5.2 First-Order Hyperbolic Equations; 5.2.1 An Example 5.3 Second-Order Hyperbolic Equations5.3.1 Numerical Integration Along the Characteristic Lines; 5.4 Applications to Financial Engineering; 5.4.1 Generalisations; 5.5 Systems of Equations; 5.5.1 An Example; 5.6 Propagation of Discontinuities; 5.6.1 Other Problems; 5.7 Summary and Conclusions; Part II FiniteI DifferenceI Methods: The Fundamentals; 6 An Introduction to the Finite Difference Method; 6.1 Introduction and Objectives; 6.2 Fundamentals of Numerical Differentiation; 6.3 Caveat: Accuracy and Round-Off Errors; 6.4 Where are Divided Differences Used in Instrument Pricing? 6.5 Initial Value Problems |
| Record Nr. | UNINA-9910877818803321 |
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Duffy Daniel J
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| Chichester, England ; ; Hoboken, NJ, : John Wiley, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Introduzione alla finanza matematica / / Riccardo Cesari
| Introduzione alla finanza matematica / / Riccardo Cesari |
| Autore | Cesari Riccardo |
| Edizione | [1st ed. 2009.] |
| Pubbl/distr/stampa | Milano, : Springer, 2009 |
| Descrizione fisica | 1 online resource (472 p.) |
| Disciplina | 510 |
| Collana | Unitext / La Matematica Per Il 3+2 |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematics Derivative securities - Prices - Mathematical models |
| ISBN |
1-283-25142-6
9786613251428 88-470-0820-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | ita |
| Nota di contenuto | Derivati e mercati -- La struttura per scadenza dei tassi d’interesse e i fondamenti del pricing di non arbitraggio -- Forward -- Futures -- Floaters -- Swaps -- Opzioni plain vanilla -- Opzioni e modelli non standard -- Opzioni su tassi d’interesse -- Opzioni esotiche -- Opzioni nascoste e titoli strutturati: garanzie, clausole, opportunità -- Procedure numeriche. |
| Record Nr. | UNINA-9910484113503321 |
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Cesari Riccardo
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| Milano, : Springer, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Mathematical finance [[electronic resource] ] : theory, modeling, implementation / / Christian Fries
| Mathematical finance [[electronic resource] ] : theory, modeling, implementation / / Christian Fries |
| Autore | Fries Christian <1970-> |
| Pubbl/distr/stampa | Hoboken, N.J., : Wiley-Interscience, c2007 |
| Descrizione fisica | 1 online resource (544 p.) |
| Disciplina |
332.601
332.6015195 |
| Soggetto topico |
Derivative securities - Prices - Mathematical models
Securities - Mathematical models Investments - Mathematical models |
| ISBN |
1-280-97434-6
9786610974344 0-470-17978-3 0-470-17977-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Mathematical Finance: Theory, Modeling, Implementation; Contents; 1 Introduction; 1.1 Theory, Modeling, and Implementation; 1.2 Interest Rate Models and Interest Rate Derivatives; 1.3 About This Book; 1.3.1 How to Read This Book; 1.3.2 Abridged Versions; 1.3.3 Special Sections; 1.3.4 Notation; 1.3.5 Feedback; 1.3.6 Resources; I Foundations; 2 Foundations; 2.1 Probability Theory; 2.2 Stochastic Processes; 2.3 Filtration; 2.4 Brownian Motion; 2.5 Wiener Measure, Canonical Setup; 2.6 Itô Calculus; 2.6.1 Itô Integral; 2.6.2 Itô Process; 2.6.3 Itô Lemma and Product Rule
2.7 Brownian Motion with Instantaneous Correlation2.8 Martingales; 2.8.1 Martingale Representation Theorem; 2.9 Change of Measure; 2.10 Stochastic Integration; 2.11 Partial Differential Equations (PDEs); 2.11.1 Feynman-Kač Theorem; 2.12 List of Symbols; 3 Replication; 3.1 Replication Strategies; 3.1.1 Introduction; 3.1.2 Replication in a Discrete Model; 3.2 Foundations: Equivalent Martingale Measure; 3.2.1 Challenge and Solution Outline; 3.2.2 Steps toward the Universal Pricing Theorem; 3.3 Excursus: Relative Prices and Risk-Neutral Measures; 3.3.1 Why relative prices? 3.3.2 Risk-Neutral MeasureII First Applications; 4 Pricing of a European Stock Option under the Black-Scholes Model; 5 Excursus: The Density of the Underlying of a European Call Option; 6 Excursus: Interpolation of European Option Prices; 6.1 No-Arbitrage Conditions for Interpolated Prices; 6.2 Arbitrage Violations through Interpolation; 6.2.1 Example 1 : Interpolation of Four Prices; 6.2.2 Example 2: Interpolation of Two Prices; 6.3 Arbitrage- Free Interpolation of European Option Prices; 7 Hedging in Continuous and Discrete Time and the Greeks; 7.1 Introduction 7.2 Deriving the Replications Strategy from Pricing Theory7.2.1 Deriving the Replication Strategy under the Assumption of a Locally Riskless Product; 7.2.2 Black-Scholes Differential Equation; 7.2.3 Derivative V(t) as a Function of Its Underlyings S i(t); 7.2.4 Example: Replication Portfolio and PDE under a Black-Scholes Model; 7.3 Greeks; 7.3.1 Greeks of a European Call-Option under the Black-Scholes Model; 7.4 Hedging in Discrete Time: Delta and Delta-Gamma Hedging; 7.4.1 Delta Hedging; 7.4.2 Error Propagation; 7.4.3 Delta-Gamma Hedging; 7.4.4 Vega Hedging 7.5 Hedging in Discrete Time: Minimizing the Residual Error (Bouchaud-Sornette Method)7.5.1 Minimizing the Residual Error at Maturity T; 7.5.2 Minimizing the Residual Error in Each Time Step; III Interest Rate Structures, Interest Rate Products, and Analytic Pricing Formulas; Motivation and Overview; 8 Interest Rate Structures; 8.1 Introduction; 8.1.1 Fixing Times and Tenor Times; 8.2 Definitions; 8.3 Interest Rate Curve Bootstrapping; 8.4 Interpolation of Interest Rate Curves; 8.5 Implementation; 9 Simple Interest Rate Products; 9.1 Interest Rate Products Part 1: Products without Optionality 9.1.1 Fix, Floating, and Swap |
| Record Nr. | UNINA-9910144721403321 |
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Fries Christian <1970->
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| Hoboken, N.J., : Wiley-Interscience, c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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