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A primer for the mathematics of financial engineering / Dan Stefanica.

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Author/Creator:
Stefanica, Dan.
Language:
English.
Publication date:
2011
Imprint:
2nd ed. - New York : FE Press, 2011.
Format:
  • Book
  • xx, 332 p. : ill ; 23 cm.
Bibliography:
Includes bibliographical references (p. 325-328) and index.
Contents:
  • Calculus review. Options. Put-call parity
  • Numerical integration. Interest rates. Bonds
  • Probability concepts. Black-Scholes formula. Greeks and hedging
  • Lognormal variables. RIsk-neutral valuation
  • Newton's method. Implied volatility. Bootstrapping
  • Taylor's formula. Taylor series. Bond portfolio optimization. ATM approximations of Black-Scholes formulas
  • Finite differences. Black-Scholes PDE
  • Multivariable calculus: chain rule, double integrals, extremum points. Optimality of early exercise
  • Lagrange multipliers. Portfolio optimization
  • Mathematical appendix.
Series:
Financial engineering advanced background series
Subjects:
ISBN:
0979757622
9780979757624

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