Advanced Mathematical Methods for Finance

Giulia Di Nunno

ISBN 10: 3642184111 / ISBN 13: 9783642184116

Published by Springer Berlin Heidelberg, 2011

About this Item

Neu Neuware, Importqualität, auf Lager, Sofortversand - 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.

Seller Inventory # INF1000375910

Bibliographic Details

• Title: Advanced Mathematical Methods for Finance
• Publisher: Springer Berlin Heidelberg
• Publication Date: 2011
• Language: English
• ISBN 10: 3642184111
• ISBN 13: 9783642184116
• Binding: Gebundene Ausgabe
• Condition: Neu
• Dimensions: 241W x 160H x 34D millimeters 241 millimeters width by 160 millimeters height by 34 millimeters depth
• Weight: 975 grams

About this title

Synopsis

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.

About the Author

Giulia Di Nunno and Bernt Øksendal are professors at the University of Oslo. Their work in stochastic analysis, control, and mathematical finance is internationally highly appreciated. They have been chairing the leadership of the large European ESF funded networking program AMaMeF in financial mathematics.