Finance Mathematics is devoted to financial markets both with discrete and continuous time, exploring how to make the transition from discrete to continuous time in option pricing. This book features a detailed dynamic model of financial markets with discrete time, for application in real-world environments, along with Martingale measures and martingale criterion and the proven absence of arbitrage.
With a focus on portfolio optimization, fair pricing, investment risk, and self-finance, the authors provide numerical methods for solutions and practical financial models, enabling you to solve problems both from mathematical and from financial point of view.
- Calculations of Lower and upper prices, featuring practical examples
- The simplest functional limit theorem proved for transition from discrete to continuous time
- Learn how to optimize portfolio in the presence of risk factors
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|Size: ||3.6 MB|
|Publisher: ||ISTE Press - Elsevier|
|Date published: || 2016|
|ISBN: ||2370007258895 (DRM-EPUB)|
|Read Aloud: ||not allowed|