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Analytical finance.. Volume II,. The...

Roman, Jan R. M.

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Analytical finance.. Volume II,. The mathematics of interest rate derivatives, markets, risk and valuation

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Analytical finance./ by Jan R. M. Roman.
其他題名:	Mathematics of interest rate derivatives, markets, risk and valuation
作者:	Roman, Jan R. M.
出版者:	Cham :Springer International Publishing : : 2017.,
面頁冊數:	xxxi, 728 p. :ill., digital ;24 cm.
內容註:	Pricing via Arbitrage -- The Central Limit Theorem -- The Binomial model -- More on Binomial models -- Finite difference methods -- Value-at-Risk - VaR -- Introduction to probability theory -- Stochastic integration -- Partial parabolic differential equations and Feynman-Kač -- The Black-Scholes-Merton model -- American versus European options -- Analytical pricing formulas for American options -- Poisson processes and jump diffusion -- Diffusion models in general -- Hedging -- Exotic Options -- Volatility -- Something about weather derivatives -- A Practical guide to pricing -- Pricing using deflators -- Securities with dividends -- Some Fixed-Income securities and Black-Scholes.
Contained By:	Springer eBooks
標題:	Derivative securities - Mathematical models. -
電子資源:	http://dx.doi.org/10.1007/978-3-319-52584-6
ISBN:	9783319525846

Analytical finance.. Volume II,. The mathematics of interest rate derivatives, markets, risk and valuation
Roman, Jan R. M.

Analytical finance.Volume II,The mathematics of interest rate derivatives, markets, risk and valuation[electronic resource] /Mathematics of interest rate derivatives, markets, risk and valuationby Jan R. M. Roman. - Cham :Springer International Publishing :2017. - xxxi, 728 p. :ill., digital ;24 cm.

Pricing via Arbitrage -- The Central Limit Theorem -- The Binomial model -- More on Binomial models -- Finite difference methods -- Value-at-Risk - VaR -- Introduction to probability theory -- Stochastic integration -- Partial parabolic differential equations and Feynman-Kač -- The Black-Scholes-Merton model -- American versus European options -- Analytical pricing formulas for American options -- Poisson processes and jump diffusion -- Diffusion models in general -- Hedging -- Exotic Options -- Volatility -- Something about weather derivatives -- A Practical guide to pricing -- Pricing using deflators -- Securities with dividends -- Some Fixed-Income securities and Black-Scholes.

ISBN: 9783319525846

Standard No.: 10.1007/978-3-319-52584-6doiSubjects--Topical Terms:

549989
Derivative securities
--Mathematical models.

LC Class. No.: HG6024.A3 / .R636 2017

Dewey Class. No.: 332.632

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