Epps, T. W.
Quantitative finance : its development, mathematical foundations, and current scope / T.W. Epps. - Hoboken, N.J. : Wiley, c2009. - xviii, 401 p. : ill. ; 25 cm.
Includes bibliographical references (p. 391-395) and index.
Introduction and overview -- Tools from calculus and analysis -- Probability -- Interest and bond prices -- Models of portfolio choice -- Prices in a mean-variance world -- Rational decisions under risk -- Observed decisions under risk -- Distributions of returns -- Dynamics of prices and returns -- Stochastic calculus -- Portfolio decisions over time -- Optimal growth -- Dynamic models for prices -- Efficient markets -- Static arbitrage pricing -- Dunamic arbitrage pricing -- Properties of option prices -- Martingale pricing -- Modeling volatility -- Discontinuous price processes -- Options on jump processes -- Options on stochastic volatility processes.
9780470431993 0470431997
2008041830
Finance--Mathematical models.
Investments--Mathematical models.
HG106 / .E67 2009
332.01/5195
Quantitative finance : its development, mathematical foundations, and current scope / T.W. Epps. - Hoboken, N.J. : Wiley, c2009. - xviii, 401 p. : ill. ; 25 cm.
Includes bibliographical references (p. 391-395) and index.
Introduction and overview -- Tools from calculus and analysis -- Probability -- Interest and bond prices -- Models of portfolio choice -- Prices in a mean-variance world -- Rational decisions under risk -- Observed decisions under risk -- Distributions of returns -- Dynamics of prices and returns -- Stochastic calculus -- Portfolio decisions over time -- Optimal growth -- Dynamic models for prices -- Efficient markets -- Static arbitrage pricing -- Dunamic arbitrage pricing -- Properties of option prices -- Martingale pricing -- Modeling volatility -- Discontinuous price processes -- Options on jump processes -- Options on stochastic volatility processes.
9780470431993 0470431997
2008041830
Finance--Mathematical models.
Investments--Mathematical models.
HG106 / .E67 2009
332.01/5195
