Advanced mathematical methods for finance

＜図書＞
Advanced mathematical methods for finance

責任表示	editors, Giulia Di Nunno, Bernt Øksendal
データ種別	図書
出版情報	Berlin : Springer , c2011
本文言語	英語
大きさ	viii, 536 p. ; 25 cm
概要	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. Book jacket.続きを見る
電子版へのリンク	https://hdl.handle.net/2324/7008651

状態	巻次	所蔵場所	請求記号	刷年	文庫名称	資料番号	コメント	予約・取寄	複写申込	自動書庫
		理系図3F 数理独自	P 011/ADVA/2	2011		033212011001184		予約・取寄			予約・取寄

一般注記	Includes bibliographical references "European Science Foundation, setting science agendas for Europe"--Cover
著者標目	Di Nunno, Giulia Øksendal, Bernt Karsten, 1945-
分　類	SG:330
書誌ID	1001447676
ISBN	9783642184116
NCID	BB05627385
巻冊次	ISBN:9783642184116
NBN	11,N02
登録日	2011.05.18
更新日	2017.03.21