Mathematical finance : core theory, problems and statistical algorithms / Nikolai Dokuchaev.
Material type: TextSeries: Routledge advanced texts in economics and financePublisher: London ; New York : Routledge, 2007Description: x, 196 pages : illustrations ; 24 cmContent type:- text
- unmediated
- volume
- 0415414474
- 9780415414470
- 0415414482
- 9780415414487
- 332.0151 22
- HG106 .D68 2007
Item type | Current library | Call number | Copy number | Status | Date due | Barcode | |
---|---|---|---|---|---|---|---|
Book | City Campus City Campus Main Collection | 332.0151 DOK (Browse shelf(Opens below)) | 1 | Available | A399709B |
Includes bibliographical references (page 194) and index.
1. Review of probability theory -- 2. Basics of stochastic processes -- 3. Discrete time market models -- 4. Basics of Ito calculus and stochastic analysis -- 5. Continuous time market models -- 6. American options and binomial trees -- 7. Implied and historical volatility -- 8. Review of statistical estimation -- 9. Estimation of models for stock prices.
"Nikolai Dokuchaev's comprehensive text book provides a systematic, self-sufficient and yet short presentation of the mainstream topics of mathematical finance and related parts of stochastic analysis and statistical finance that covers typical university programs. It can be used as either a point of reference or to provide fundamentals for further research."--BOOK JACKET.
Machine converted from AACR2 source record.
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