Description

Book Synopsis
Understanding and working with the models of financial markets requires a sound knowledge of the mathematical tools and ideas from which they are built. Covering the topic of financial modelling and optimization, this book helps readers obtain a self-contained introduction to the underlying mathematics. It is suitable as a graduate textbook.

Table of Contents
The mean-variance approach in a one-period model The continuous-time market model Option pricing Pricing of exotic options and numerical algorithms Optimal portfolios Bibliography Index.

Options Pricing and Portfolio Optimization

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    A Hardback by American Mathem American Mathem

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      View other formats and editions of Options Pricing and Portfolio Optimization by American Mathem American Mathem

      Publisher: MP-AMM American Mathematical
      Publication Date: 12/30/2000 12:00:00 AM
      ISBN13: 9780821821237, 978-0821821237
      ISBN10: 0821821237

      Description

      Book Synopsis
      Understanding and working with the models of financial markets requires a sound knowledge of the mathematical tools and ideas from which they are built. Covering the topic of financial modelling and optimization, this book helps readers obtain a self-contained introduction to the underlying mathematics. It is suitable as a graduate textbook.

      Table of Contents
      The mean-variance approach in a one-period model The continuous-time market model Option pricing Pricing of exotic options and numerical algorithms Optimal portfolios Bibliography Index.

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