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Books > Business & Economics > Finance & accounting > Finance > Investment & securities
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Probability And Finance Theory (Hardcover)
Loot Price: R2,432
Discovery Miles 24 320
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Probability And Finance Theory (Hardcover)
Expected to ship within 12 - 17 working days
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This book provides a basic grounding in the use of probability to
model random financial phenomena of uncertainty, and is targeted at
an advanced undergraduate and graduate level. It should appeal to
finance students looking for a firm theoretical guide to the deep
end of derivatives and investments. Bankers and finance
professionals in the fields of investments, derivatives, and risk
management should also find the book useful in bringing probability
and finance together. The book contains applications of both
discrete time theory and continuous time mathematics, and is
extensive in scope. Distribution theory, conditional probability,
and conditional expectation are covered comprehensively, and
applications to modeling state space securities under market
equilibrium are made. Martingale is studied, leading to
consideration of equivalent martingale measures, fundamental
theorems of asset pricing, change of numeraire and discounting,
risk-adjusted and forward-neutral measures, minimal and maximal
prices of contingent claims, Markovian models, and the existence of
martingale measures preserving the Markov property. Discrete
stochastic calculus and multiperiod models leading to no-arbitrage
pricing of contingent claims are also to be found in this book, as
well as the theory of Markov Chains and appropriate applications in
credit modeling. Measure-theoretic probability, moments,
characteristic functions, inequalities, and central limit theorems
are examined. The theory of risk aversion and utility, and ideas of
risk premia are considered. Other application topics include
optimal consumption and investment problems and interest rate
theory.
General
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