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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: 332.01/5195
Contents:
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.
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Item type Current location Call number Copy number Status Date due Barcode Item holds
Book SKOLKOVO Library
Shelves 		HG106 .E67 (Browse shelf) 1 Available 2000001327
Total holds: 0

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.

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