Quantitative finance : its development, mathematical foundations, and current scope / T.W. Epps.
By: Epps, T. W.
Publisher: Hoboken, N.J. : Wiley, c2009Description: xviii, 401 p. : ill. ; 25 cm.ISBN: 9780470431993; 0470431997.Subject(s): Finance -- Mathematical models | Investments -- Mathematical modelsDDC classification: 332.01/5195Item type | Current location | Call number | Copy number | Status | Date due | Barcode | Item holds |
---|---|---|---|---|---|---|---|
Book | SKOLKOVO Library Shelves | HG106 .E67 (Browse shelf) | 1 | Available | 2000001327 |
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.
There are no comments for this item.