SULJE VALIKKO

avaa valikko

Stéphane Crépey | Akateeminen Kirjakauppa

Haullasi löytyi yhteensä 5 tuotetta
Haluatko tarkentaa hakukriteerejä?



Financial Modeling - A Backward Stochastic Differential Equations Perspective
Stephane Crepey
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG (2013)
Kovakantinen kirja
78,60
Tuotetta lisätty
ostoskoriin kpl
Siirry koriin
Counterparty Risk and Funding - A Tale of Two Puzzles
Stéphane Crépey; Tomasz R. Bielecki; Damiano Brigo
Taylor & Francis Inc (2014)
Kovakantinen kirja
213,30
Tuotetta lisätty
ostoskoriin kpl
Siirry koriin
Financial Modeling - A Backward Stochastic Differential Equations Perspective
Stephane Crepey
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG (2015)
Pehmeäkantinen kirja
59,30
Tuotetta lisätty
ostoskoriin kpl
Siirry koriin
Counterparty Risk and Funding - A Tale of Two Puzzles
Stéphane Crépey; Tomasz R. Bielecki; Damiano Brigo
Taylor & Francis Ltd (2020)
Pehmeäkantinen kirja
63,40
Tuotetta lisätty
ostoskoriin kpl
Siirry koriin
Paris-Princeton Lectures on Mathematical Finance 2010
Areski Cousin; René Carmona; Stéphane Crépey; Erhan Çınlar; Olivier Guéant; Ivar Ekeland; David Hobson; Elyès Jouini; Je
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG (2010)
Pehmeäkantinen kirja
49,60
Tuotetta lisätty
ostoskoriin kpl
Siirry koriin
Financial Modeling - A Backward Stochastic Differential Equations Perspective
78,60 €
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Sivumäärä: 459 sivua
Asu: Kovakantinen kirja
Painos: 2013
Julkaisuvuosi: 2013, 19.06.2013 (lisätietoa)
Kieli: Englanti
Tuotesarja: Springer Finance Textbooks
Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. Although BSDEs are well known to academics, they are less familiar to practitioners in the financial industry. In order to fill this gap, this book revisits financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes. It also contains a review of quantitative finance tools, including Fourier techniques, Monte Carlo methods, finite differences and model calibration schemes. With a view to use in graduate courses in computational finance and financial modeling, corrected problem sets and Matlab sheets have been provided.

Stéphane Crépey’s  book starts with a few chapters on classical stochastic processes material, and then... fasten your seatbelt... the author starts traveling backwards in time through backward stochastic differential equations (BSDEs). This does not mean that one has to read the book backwards, like a manga! Rather, the possibility to move backwards in time, even if from a variety of final scenarios following a probability law, opens a multitude of possibilities for all those pricing problems whose solution is not a straightforward expectation. For example, this allows for framing problems like pricing with credit and funding costs in a rigorous mathematical setup. This is, as far as I know, the first book written for several levels of audiences, with applications to financial modeling and using BSDEs as one of the main tools, and as the song says: "it's never as good as the first time".


Damiano Brigo, Chair of Mathematical Finance, Imperial College London

While the classical theory of arbitrage free pricinghas matured, and is now well understood and used by the finance industry, the theory of BSDEs continues to enjoy a rapid growth and remains a domain restricted to academic researchers and a handful of practitioners. Crépey’s book presents this novel approach to a wider community of researchers involved in mathematical modeling in finance. It is clearly an essential reference for anyone interested in the latest developments in financial mathematics.      

Marek Musiela, Deputy Director of the Oxford-Man Institute of Quantitative Finance

Tuotetta lisätty
ostoskoriin kpl
Siirry koriin
LISÄÄ OSTOSKORIIN
Tilaustuote | Arvioimme, että tuote lähetetään meiltä noin 4-5 viikossa | Tilaa jouluksi viimeistään 27.11.2024
Myymäläsaatavuus
Helsinki
Tapiola
Turku
Tampere
Financial Modeling - A Backward Stochastic Differential Equations Perspectivezoom
Näytä kaikki tuotetiedot
ISBN:
9783642371127
Sisäänkirjautuminen
Kirjaudu sisään
Rekisteröityminen
Oma tili
Omat tiedot
Omat tilaukset
Omat laskut
Lisätietoja
Asiakaspalvelu
Tietoa verkkokaupasta
Toimitusehdot
Tietosuojaseloste