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Stochastic Models of Financial Mathematics (Hardcover) Loot Price: R2,313
Discovery Miles 23 130
You Save: R139 (6%)
Stochastic Models of Financial Mathematics (Hardcover): Vigirdas Mackevicius

Stochastic Models of Financial Mathematics (Hardcover)

Vigirdas Mackevicius

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List price R2,452 Loot Price R2,313 Discovery Miles 23 130 | Repayment Terms: R217 pm x 12* You Save R139 (6%)

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This book presents a short introduction to continuous-time financial models. An overview of the basics of stochastic analysis precedes a focus on the Black-Scholes and interest rate models. Other topics covered include self-financing strategies, option pricing, exotic options and risk-neutral probabilities. Vasicek, Cox-Ingersoll-Ross, and Heath-Jarrow-Morton interest rate models are also explored. The author presents practitioners with a basic introduction, with more rigorous information provided for mathematicians. The reader is assumed to be familiar with the basics of probability theory. Some basic knowledge of stochastic integration and differential equations theory is preferable, although all preliminary information is given in the first part of the book. Some relatively simple theoretical exercises are also provided.

General

Imprint: ISTE Press Ltd - Elsevier Inc
Country of origin: United Kingdom
Release date: October 2016
First published: 2017
Authors: Vigirdas Mackevicius
Dimensions: 229 x 152 x 15mm (L x W x T)
Format: Hardcover
Pages: 130
ISBN-13: 978-1-78548-198-7
Categories: Books > Science & Mathematics > Mathematics > Optimization > Game theory
Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics
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LSN: 1-78548-198-3
Barcode: 9781785481987

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