Advanced Mathematical Methods for Finance

Advanced Mathematical Methods for Finance
Author :
Publisher :
Total Pages : 536
Release :
ISBN-10 : 3642184138
ISBN-13 : 9783642184130
Rating : 4/5 (130 Downloads)

Book Synopsis Advanced Mathematical Methods for Finance by :

Download or read book Advanced Mathematical Methods for Finance written by and published by . This book was released on 2011 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The title of this volume 'Advanced Mathematical Methods for Finance, ' AMaMeF for short, originates from the European network of the European Science Foundation with the same name that started its activity in 2005. The goals of its program have been the development and the use of advanced mathematical tools for finance, from theory to practice. This book was born in the same spirit of the program. It presents innovations in the mathematical methods in various research areas representing the broad spectrum of AMaMeF itself. It covers the mathematical foundations of financial analysis, numerical methods, and 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 blending of topics gives a large view of the up-to-date frontiers of the mathematics for finance. This volume represents the joint work of European experts in the various fields and linked to the program AMaMeF."--Preface.


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