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Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics (Graduate Studies in Mathematics)

オプション価格設定とポートフォリオ最適化: 金融数学の最新手法 (数学大学院研究)

定価￥ 7,171
発売日2001-01-01　英語版
メーカーAmer Mathematical Society

ASIN: 0821821237
JAN: 9780821821237

小口等に多少のダメージ見られますが中を含め問題ありません。方陣の型の研究　昭和42年　佐藤穂三郎　●H2618。
ユーズド品としてご理解いただける方でお願い致します。数学のはなしⅡ　岩田倫典　日科技連　《送料無料》。

Introduces Ito calculus, concentrating on applications in financial mathematics. Builds the standard diffusion type security market model, then treats the pricing of options in detail, introducing the method of option pricing via replication and no arbitrage. Presents a method of pricing options with partial differential equations, and presents examples of exotic options. Describes basics of Monte Carlo methods, tree methods, and finite difference methods, and deals with the martingale method and the stochastic control method for portfolio optimization. Assumes a previous basic course in probability theory. Author information is not given. Annotation c. Book News, Inc., Portland, OR (booknews.com)