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Mathematical Techniques in Finance: Tools for Incomplete Markets
作  /  譯    者 : Ales Cerny
I S B N -  13 : 9780691141213
I S B N -  10 : 0691141215
類             別: 財務其他
版             次: 2 版
年             份: 2009
規             格: 416 頁
出     版     商: Princeton
     

This fully revised second edition continues to offer a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and mathematics, and provides plenty of opportunities for students to practice applied mathematics and cutting-edge finance. Ales Cerný mixes tools from calculus, linear algebra, probability theory, numerical mathematics, and programming to analyze in an accessible way some of the most intriguing problems in financial economics. The textbook is the perfect hands-on introduction to asset pricing, optimal portfolio selection, risk measurement, and investment evaluation.
The new edition includes the most recent research in the area of incomplete markets and unhedgeable risks, adds a chapter on finite difference methods, and thoroughly updates all bibliographic references. Eighty figures, over seventy examples, twenty-five simple ready-to-run computer programs, and several spreadsheets enhance the learning experience. All computer codes have been rewritten using MATLAB and online supplementary materials have been completely updated.
•A standard textbook for graduate finance courses
•Introduction to asset pricing, portfolio selection, risk measurement, and investment evaluation
•Detailed examples and MATLAB codes integrated throughout the text

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Ch 1: The Simplest Model of Financial Markets
Ch 2: Arbitrage and Pricing in the One-Period Model
Ch 3: Risk and Return in the One-Period Model
Ch 4: Numerical Techniques for Optimal Portfolio Selection in Incomplete Markets
Ch 5: Pricing in Dynamically Complete Markets
Ch 6: Towards Continuous Time
Ch 7: Fast Fourier Transform
Ch 8: Information Management
Ch 9: Martingales and Change of Measure in Finance
Ch 10: Brownian Motion and Itˆo Formulae
Ch 11: Continuous-Time Finance
Ch 12: Finite-Difference Methods
Ch 13: Dynamic Option Hedging and Pricing in Incomplete Markets
Appendix A Calculus
Appendix B Probability

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