Mathematical finance: theory review and exercises

By:

Rosazza Gianin, Emanuela

Contributor(s):

Sgarra, Carlo

Material type: Text

TextSeries: Unitext, Vol.149Publication details: Springer Switzerland 2023Edition: 2ndDescription: xii, 305 pISBN:

9783031283772

Subject(s):

DDC classification:

332.015195 ROS

Summary: 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. (https://link.springer.com/book/10.1007/978-3-031-28378-9)

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Holdings
Item type	Current library	Collection	Call number	Copy number	Status	Date due	Barcode
Book	Indian Institute of Management LRC General Stacks	Finance & Accounting	332.015195 ROS (Browse shelf(Opens below))	1	Available		006875

Table of content:
Front Matter
Pages i-xii
Download chapter PDF
Short Review of Probability and of Stochastic Processes
Emanuela Rosazza Gianin, Carlo Sgarra
Pages 1-16
Portfolio Optimization in Discrete-Time Models
Emanuela Rosazza Gianin, Carlo Sgarra
Pages 17-30
Binomial Model for Option Pricing
Emanuela Rosazza Gianin, Carlo Sgarra
Pages 31-62
Absence of Arbitrage and Completeness of Market Models
Emanuela Rosazza Gianin, Carlo Sgarra
Pages 63-87
Itô’s Formula and Stochastic Differential Equations
Emanuela Rosazza Gianin, Carlo Sgarra
Pages 89-103
Partial Differential Equations in Finance
Emanuela Rosazza Gianin, Carlo Sgarra
Pages 105-130
Black-Scholes Model for Option Pricing and Hedging Strategies
Emanuela Rosazza Gianin, Carlo Sgarra
Pages 131-167
American Options
Emanuela Rosazza Gianin, Carlo Sgarra
Pages 169-190
Exotic Options
Emanuela Rosazza Gianin, Carlo Sgarra
Pages 191-219
Interest Rate Models
Emanuela Rosazza Gianin, Carlo Sgarra
Pages 221-253
Pricing Models Beyond Black-Scholes
Emanuela Rosazza Gianin, Carlo Sgarra
Pages 255-268
Risk Measures: Value at Risk and Beyond
Emanuela Rosazza Gianin, Carlo Sgarra
Pages 269-299
Back Matter
Pages 301-305
[https://link.springer.com/book/10.1007/978-3-031-28378-9]

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.

(https://link.springer.com/book/10.1007/978-3-031-28378-9)

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