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Statistics Of Financial Markets

Author : Jürgen Franke
ISBN : 9783662100264
Genre : Business & Economics
File Size : 51.56 MB
Format : PDF, Kindle
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Financial Engineers
Category: Business & Economics

Statistics Of Financial Markets

Author : Szymon Borak
ISBN : 9783642339295
Genre : Business & Economics
File Size : 62.4 MB
Format : PDF, Mobi
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Practice makes perfect. Therefore the best method of mastering models is working with them. This book contains a large collection of exercises and solutions which will help explain the statistics of financial markets. These practical examples are carefully presented and provide computational solutions to specific problems, all of which are calculated using R and Matlab. This study additionally looks at the concept of corresponding Quantlets, the name given to these program codes and which follow the name scheme SFSxyz123. The book is divided into three main parts, in which option pricing, time series analysis and advanced quantitative statistical techniques in finance is thoroughly discussed. The authors have overall successfully created the ideal balance between theoretical presentation and practical challenges.
Category: Business & Economics

Mathematical Reviews

Author :
ISBN : UOM:39015068492373
Genre : Mathematics
File Size : 20.64 MB
Format : PDF, ePub
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Category: Mathematics

Basic Black Scholes

Author : Timothy Falcon Crack
ISBN : 0970055226
Genre : Business & Economics
File Size : 70.68 MB
Format : PDF, Docs
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This new book gives extremely clear explanations of Black-Scholes option pricing theory, and discusses direct applications of the theory to option trading. The presentation does not go far beyond basic Black-Scholes for three reasons: First, a novice need not go far beyond Black-Scholes to make money in the options markets; Second, all high-level option pricing theory is simply an extension of Black-Scholes; and Third, there already exist many books that look far beyond Black-Scholes without first laying the firm foundation given here. The trading advice does not go far beyond elementary call and put positions because more complex trades are simply combinations of these. The appendix includes Black-Scholes option pricing code for the HP17B, HP19B, and HP12C. An accompanying spreadsheet allows the user to forecast transactions costs for option positions using simple models.
Category: Business & Economics


Author : New Zealand Mathematical Society
ISBN : UOM:39015057376611
Genre : Mathematics
File Size : 47.89 MB
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Category: Mathematics

Option Theory With Stochastic Analysis

Author : Fred Espen Benth
ISBN : 9783642187865
Genre : Business & Economics
File Size : 30.46 MB
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This is a very basic and accessible introduction to option pricing, invoking a minimum of stochastic analysis and requiring only basic mathematical skills. It covers the theory essential to the statistical modeling of stocks, pricing of derivatives with martingale theory, and computational finance including both finite-difference and Monte Carlo methods.
Category: Business & Economics

Markov Decision Processes With Applications To Finance

Author : Nicole Bäuerle
ISBN : 3642183247
Genre : Mathematics
File Size : 76.6 MB
Format : PDF, Kindle
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The theory of Markov decision processes focuses on controlled Markov chains in discrete time. The authors establish the theory for general state and action spaces and at the same time show its application by means of numerous examples, mostly taken from the fields of finance and operations research. By using a structural approach many technicalities (concerning measure theory) are avoided. They cover problems with finite and infinite horizons, as well as partially observable Markov decision processes, piecewise deterministic Markov decision processes and stopping problems. The book presents Markov decision processes in action and includes various state-of-the-art applications with a particular view towards finance. It is useful for upper-level undergraduates, Master's students and researchers in both applied probability and finance, and provides exercises (without solutions).
Category: Mathematics

Financial Modelling With Jump Processes

Author : Peter Tankov
ISBN : 9780203485217
Genre : Mathematics
File Size : 54.29 MB
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WINNER of a Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematical tools required for applications can be intimidating. Potential users often get the impression that jump and Lévy processes are beyond their reach. Financial Modelling with Jump Processes shows that this is not so. It provides a self-contained overview of the theoretical, numerical, and empirical aspects involved in using jump processes in financial modelling, and it does so in terms within the grasp of nonspecialists. The introduction of new mathematical tools is motivated by their use in the modelling process, and precise mathematical statements of results are accompanied by intuitive explanations. Topics covered in this book include: jump-diffusion models, Lévy processes, stochastic calculus for jump processes, pricing and hedging in incomplete markets, implied volatility smiles, time-inhomogeneous jump processes and stochastic volatility models with jumps. The authors illustrate the mathematical concepts with many numerical and empirical examples and provide the details of numerical implementation of pricing and calibration algorithms. This book demonstrates that the concepts and tools necessary for understanding and implementing models with jumps can be more intuitive that those involved in the Black Scholes and diffusion models. If you have even a basic familiarity with quantitative methods in finance, Financial Modelling with Jump Processes will give you a valuable new set of tools for modelling market fluctuations.
Category: Mathematics

Books In Print Supplement

Author :
ISBN : STANFORD:36105025417838
Genre : American literature
File Size : 59.47 MB
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Category: American literature