Kevin J. Hastings
Financial Mathematics: From Discrete to Continuous Time
Financial Mathematics: From Discrete to Continuous Time
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- More about Financial Mathematics: From Discrete to Continuous Time
The book provides a comprehensive overview of portfolio optimization, covering dynamic programming, optimal portfolio selection, Brownian motion, stochastic integral models, and exotic options, with a focus on risk management.
Format: Hardback
Length: 411 pages
Publication date: 21 December 2022
Publisher: Taylor & Francis Inc
The problem of portfolio optimization is thoroughly presented, leading naturally to the Capital Market Theory. Dynamic programming and the optimal portfolio selection-consumption problem are explored through time. An intuitive approach to Brownian motion and stochastic integral models is provided for continuous-time problems. The Black-Scholes equation for simple European option values is derived in various ways, and a chapter is dedicated to discussing several types of exotic options. Additionally, material on the management of risk in various contexts is covered.
The problem of portfolio optimization is thoroughly presented, leading naturally to the Capital Market Theory. Dynamic programming and the optimal portfolio selection-consumption problem are explored through time. An intuitive approach to Brownian motion and stochastic integral models is provided for continuous-time problems. The Black-Scholes equation for simple European option values is derived in various ways, and a chapter is dedicated to discussing several types of exotic options. Additionally, material on the management of risk in various contexts is covered.
Weight: 782g
Dimension: 161 x 241 x 32 (mm)
ISBN-13: 9781498780407
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