Mathematical Techniques in Finance : : Tools for Incomplete Markets - Second Edition / / Ales Cerný.

• Superior document: Title is part of eBook package: De Gruyter Princeton University Press eBook-Package Backlist 2000-2013
• VerfasserIn: Cerný, Ales,
• Place / Publishing House: Princeton, NJ : : Princeton University Press, , [2009]; ©2009
• Year of Publication: 2009
• Edition: Second
• Language: English
• Physical Description: 1 online resource (416 p.)
• Other title: Frontmatter --; Contents --; Preface to the Second Edition --; From the Preface to the First Edition --; 1. The Simplest Model of Financial Markets --; 2. Arbitrage and Pricing in the One-Period Model --; 3. Risk and Return in the One-Period Model --; 4. Numerical Techniques for Optimal Portfolio Selection in Incomplete Markets --; 5. Pricing in Dynamically Complete Markets --; 6. Towards Continuous Time --; 7. Fast Fourier Transform --; 8. Information Management --; 9. Martingales and Change of Measure in Finance --; 10. Brownian Motion and Itô Formulae --; 11. Continuous-Time Finance --; 12. Finite-Difference Methods --; Appendix A. Calculus --; Appendix B. Probability --; References --; Index
• Format: Mode of access: Internet via World Wide Web.
• ISBN: 9781400831487; 9783110442502
• DOI: 10.1515/9781400831487
• Access: restricted access
• Hierarchical level: Monograph
• Statement of Responsibility: Ales Cerný.

Originally published in 2003, Mathematical Techniques in Finance has become a standard textbook for master's-level finance courses containing a significant quantitative element while also being suitable for finance PhD students. This fully revised second edition continues to offer a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and mathematics, and provides plenty of opportunities for students to practice applied mathematics and cutting-edge finance. Ales Cerný mixes tools from calculus, linear algebra, probability theory, numerical mathematics, and programming to analyze in an accessible way some of the most intriguing problems in financial economics. The textbook is the perfect hands-on introduction to asset pricing, optimal portfolio selection, risk measurement, and investment evaluation. The new edition includes the most recent research in the area of incomplete markets and unhedgeable risks, adds a chapter on finite difference methods, and thoroughly updates all bibliographic references. Eighty figures, over seventy examples, twenty-five simple ready-to-run computer programs, and several spreadsheets enhance the learning experience. All computer codes have been rewritten using MATLAB and online supplementary materials have been completely updated. A standard textbook for graduate finance courses Introduction to asset pricing, portfolio selection, risk measurement, and investment evaluation Detailed examples and MATLAB codes integrated throughout the text Exercises and summaries of main points conclude each chapter