Advanced Mathematical Methods for Finance

Editors: Di Nunno, Giulia, Øksendal, Bernt (Eds.)

  • Presents new models, new methods and new results in quantitative finance
  • Includes an analysis of new financial products such as exotic derivatives and liquidity models
  • Shows an application-oriented presentation of mathematical finance
  • Covers hot topics such as pricing and hedging
  • Develops models of risk and risk contagion
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About this book

This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.

About the authors

Giulia Di Nunno and Bernt Øksendal are professors at the University of Oslo. Their work in stochastic analysis, control, and mathematical finance is internationally highly appreciated. They have been chairing the leadership of the large European ESF funded networking program AMaMeF in financial mathematics.

Table of contents (18 chapters)

  • Dynamic Risk Measures

    Acciaio, Beatrice (et al.)

    Pages 1-34

  • Ambit Processes and Stochastic Partial Differential Equations

    Barndorff-Nielsen, Ole E. (et al.)

    Pages 35-74

  • Fractional Processes as Models in Stochastic Finance

    Bender, Christian (et al.)

    Pages 75-103

  • Credit Contagion in a Long Range Dependent Macroeconomic Factor Model

    Biagini, Francesca (et al.)

    Pages 105-132

  • Modelling Information Flows in Financial Markets

    Brody, Dorje C. (et al.)

    Pages 133-153

Buy this book

eBook $109.00
price for USA (gross)
  • ISBN 978-3-642-18412-3
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $149.00
price for USA
  • ISBN 978-3-642-18411-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $149.00
price for USA
  • ISBN 978-3-642-43551-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business 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
Advanced Mathematical Methods for Finance
Editors
  • Giulia Di Nunno
  • Bernt Øksendal
Copyright
2011
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-18412-3
DOI
10.1007/978-3-642-18412-3
Hardcover ISBN
978-3-642-18411-6
Softcover ISBN
978-3-642-43551-5
Edition Number
1
Number of Pages
VIII, 536
Topics