La Matematica per il 3+2

Mathematical Finance: Theory Review and Exercises

From Binomial Model to Risk Measures

Authors: Rosazza Gianin, Emanuela, Sgarra, Carlo

  • Offers substantially more exercises on continuous time than do other textbooks
  • Includes three completely new chapters (one on Arbitrage Theory and Incompleteness, one on Risk Measures, and one on Stochastic Volatility Models and Models with jumps)
  • Presents a middle ground between the stochastic and the analytic approach to option pricing and hedging at a reasonable, but not trivial, mathematical level
see more benefits

Buy this book

eBook $44.99
price for USA (gross)
  • ISBN 978-3-319-01357-2
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $59.99
price for USA
  • ISBN 978-3-319-01356-5
  • Free shipping for individuals worldwide
  • Online orders shipping within 2-3 days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
About this Textbook

The book collects over 120 exercises on different subjects of Mathematical Finance, including Option Pricing, Risk Theory, and Interest Rate Models. Many of the exercises are solved, while others are only proposed. Every chapter contains an introductory section illustrating the main theoretical results necessary to solve the exercises. The book is intended as an exercise textbook to accompany graduate courses in mathematical finance offered at many universities as part of degree programs in Applied and Industrial Mathematics, Mathematical Engineering, and Quantitative Finance.

About the authors

Carlo SGARRA: Associate Professor of Mathematical Finance, Politecnico di Milano, Italia Emanuela

ROSAZZA GIANIN: Associate Professor of Statistics and Quantitative Methods, University of Milano-Bicocca, Italia

Reviews

From the book reviews:

“This work is a very useful companion volume to courses in mathematical finance, and it can also be successfully used for self-study.” (László Imre Szabó, Acta Scientiarum Mathematicarum (Szeged), Vol. 80 (1-2), 2014)


Table of contents (12 chapters)

  • Short review of Probability and of Stochastic Processes

    Gianin, Emanuela Rosazza (et al.)

    Pages 1-15

  • Portfolio Optimization in Discrete-Time Models

    Gianin, Emanuela Rosazza (et al.)

    Pages 17-30

  • Binomial Model for Option Pricing

    Gianin, Emanuela Rosazza (et al.)

    Pages 31-60

  • Absence of Arbitrage and Completeness of Market Models

    Gianin, Emanuela Rosazza (et al.)

    Pages 61-83

  • Itô’s Formula and Stochastic Differential Equations

    Gianin, Emanuela Rosazza (et al.)

    Pages 85-99

Buy this book

eBook $44.99
price for USA (gross)
  • ISBN 978-3-319-01357-2
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $59.99
price for USA
  • ISBN 978-3-319-01356-5
  • Free shipping for individuals worldwide
  • Online orders shipping within 2-3 days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Mathematical Finance: Theory Review and Exercises
Book Subtitle
From Binomial Model to Risk Measures
Authors
Series Title
La Matematica per il 3+2
Series Volume
70
Copyright
2013
Publisher
Springer International Publishing
Copyright Holder
Springer International Publishing Switzerland
eBook ISBN
978-3-319-01357-2
DOI
10.1007/978-3-319-01357-2
Softcover ISBN
978-3-319-01356-5
Series ISSN
2038-5722
Edition Number
1
Number of Pages
X, 285
Topics