000			03084nam a22002417a 4500
005			20241220150756.0
008			241220b |||||||| |||| 00| 0 eng d
020			_a9783031283772
082			_a332.015195 _bROS
100			_aRosazza Gianin, Emanuela _919885
245			_aMathematical finance: _btheory review and exercises
250			_a2nd
260			_bSpringer _aSwitzerland _c2023
300			_axii, 305 p.
365			_aEUR _b59.99
490			_aUnitext, Vol.149
500			_aTable 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]
520			_aThe 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)
650			_aEconomics--Mathematical
650			_aBusiness--Mathematics
700			_aSgarra, Carlo _919886
942			_cBK _2ddc
999			_c7629 _d7629