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 Baxter, Martin, 1968
 New York : Cambridge University Press, 1996.
 Description
 Book — ix, 233 p. : ill. ; 24 cm.
 Summary

 The parable of the bookmaker
 1. Introduction
 2. Discrete processes
 3. Continuous processes
 4. Pricing market securities
 5. Interest rates
 6. Bigger models
 Appendix 1. Further reading
 Appendix 2. Notation
 Appendix 3. Answers to exercises
 Appendix 4. Glossary of technical terms Index.
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HG6024 .A3 B39 1996  Unknown 
 Wilmott, Paul.
 Cambridge, U.K. ; New York : Cambridge University Press, [1996], c1995.
 Description
 Book — xiii, 317 p. : ill. ; 23 cm.
 Summary

 Part I. Basic Option Theory:
 1. An introduction to options and markets
 2. Asset price random walks
 3. The BlackScholes model
 4. Partial differential equations
 5. The BlackScholes formulae
 6. Variations on the BlackScholes model
 7. American options Part II. Numerical Methods:
 8. Finitedifference methods
 9. Methods for American options
 10. Binomial methods Part III. Further Option Theory:
 11. Exotic and pathdependent options
 12. Barrier options
 13. A unifying framework for pathdependent options
 14. Asian options
 15. Lookback options
 16. Options with transaction costs Part IV. Interest Rate Derivative Products:
 17. Interest rate derivatives
 18. Convertible bonds Hints to selected exercises Bibliography Index.
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HG6024 .A3 W554 1996  Unknown 
 Chriss, Neil A., 1967
 Boston, Mass. : McGrawHill, c1997.
 Description
 Book — viii, 496 p. : ill. ; cm.
 Summary

 Stocks, Options, and Futures. Fundamental Mathematical Concepts. The Geometric Brownian Motion Model of Price Movements. The BlackScholes Formula. More on the BlackScholes Formula. Binomial Trees. Basic Option Pricing with Binomial Trees. The Volatility Smile. Implied Volatility Trees. Implied Binomial Trees. Pricing Barrier Options in the Presence of the Smile.
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HG6024 .A3 C496 1997  Unknown 
4. The econometrics of financial markets [1997]
 Campbell, John Y.
 Princeton, N.J. : Princeton University Press, 1997.
 Description
 Book — xviii, 611 p. : ill. ; 24 cm.
 Summary

 List of Figures xiii List of Tables xv Preface xix 1Introduction 3 1.1 Organization of the Book 4 1.2 Useful Background 6 1.2.1 Mathematics Background 6 1.2.2 Probability and Statistics Background 6 1.2.3 Finance Theory Background 7 1.3 Notation 8 1.4 Prices, Returns, and Compounding 9 1.4.1 Definitions and Conventions 9 1.4.2 The Marginal, Conditional, and Joint Distribution of Returns 13 1.5 Market Efficiency 20 1.5.1 Efficient Markets and the Law of Iterated Expectations 22 1.5.2 Is Market Efficiency Testable? 24 2The Predictability of Asset Returns 27 2.1 The Random Walk Hypotheses 28 2.1.1 The Random Walk
 1: IID Increments 31 2.1.2 The Random Walk
 2: Independent Increments 32 2.1.3 The Random Walk
 3: Uncorrelated Increments 33 2.2 Tests of Random Walk
 1: IID Increments 33 2.2.1 Traditional Statistical Tests 33 2.2.2 Sequences and Reversals, and Runs 34 2.3 Tests of Random Walk
 2: Independent Increments 41 2.3.1 Filter Rules 42 2.3.2 Technical Analysis 43 2.4 Tests of Random Walk
 3: Uncorrelated Increments 44 2.4.1 Autocorrelation Coefficients 44 2.4.2 Portmanteau Statistics 47 2.4.3 Variance Ratios 48 2.5 LongHorizon Returns 55 2.5.1 Problems with LongHorizon Inferences 57 2.6 Tests For LongRange Dependence 59 2.6.1 Examples of LongRange Dependence 59 2.6.2 The HurstMandelbrot Rescaled Range Statistic 62 2.7 Unit Root Tests 64 2.8 Recent Empirical Evidence 65 2.8.1 Autocorrelations 66 2.8.2 Variance Ratios 68 2.8.3 CrossAutocorrelations and LeadLag Relations 74 2.8.4 Tests Using LongHorizon Returns 78 2.9 Conclusion 80 3Market Microstructure 83 3.1 Nonsynchronous Trading 84 3.1.1 A Model of Nonsynchronous Trading 85 3.1.2 Extensions and Generalizations 98 3.2 The BidAsk Spread 99 3.2.1 BidAsk Bounce 101 3.2.2 Components of the BidAsk Spread 103 3.3 Modeling Transactions Data 107 3.3.1 Motivation 108 3.3.2 Rounding and Barrier Models 114 3.3.3 The Ordered Probit Model 122 3.4 Recent Empirical Findings 128 3.4.1 Nonsynchronous Trading 128 3.4.2 Estimating the Effective BidAsk Spread 134 3.4.3 Transactions Data 136 3.5 Conclusion 144 4EventStudy Analysis 149 4.1 Outline of an Event Study 150 4.2 An Example of an Event Study 152 4.3 Models for Measuring Normal Performance 153 4.3.1 ConstantMeanReturn Model 154 4.3.2 Market Model 155 4.3.3 Other Statistical Models 155 4.3.4 Economic Models 156 4.4 Measuring and Analyzing Abnormal Returns 157 4.4.1 Estimation of the Market Model 158 4.4.2 Statistical Properties of Abnormal Returns 159 4.4.3 Aggregation of Abnormal Returns 160 4.4.4 Sensitivity to Normal Return Model 162 4.4.5 CARs for the EarningsAnnouncement Example 163 4.4.6 Inferences with Clustering 166 4.5 Modifying the Null Hypothesis 167 4.6 Analysis of Power 168 4.7 Nonparametric Tests 172 4.8 CrossSectional Models 173 4.9 Further Issues 175 4.9.1 Role of the Sampling Interval 175 4.9.2 Inferences with EventDate Uncertainty 176 4.9.3 Possible Biases 177 4.10 Conclusion 178 5The Capital Asset Pricing Model 181 5.1 Review of the CAPM 181 5.2 Results from EfficientSet Mathematics 184 5.3 Statistical Framework for Estimation and Testing 188 5.3.1 SharpeLintner Version 189 5.3.2 Black Version 196 5.4 Size of Tests 203 5.5 Power of Tests 204 5.6 Nonnormal and NonIID Returns 208 5.7 Implementation of Tests 211 5.7.1 Summary of Empirical Evidence 211 5.7.2 Illustrative Implementation 212 5.7.3 Unobservability of the Market Portfolio 213 5.8 CrossSectional Regressions 215 5.9 Conclusion 217 6Multifactor Pricing Models 219 6.1 Theoretical Background 219 6.2 Estimation and Testing 222 6.2.1 Portfolios as Factors with a Riskfree Asset 223 6.2.2 Portfolios as Factors without a Riskfree Asset 224 6.2.3 Macroeconomic Variables as Factors 226 6.2.4 Factor Portfolios Spanning the MeanVariance\protect\\ Frontier 228 6.3 Estimation of Risk Premia and Expected Returns 231 6.4 Selection of Factors 233 6.4.1 Statistical Approaches 233 6.4.2 Number of Factors 238 6.4.3 Theoretical Approaches 239 6.5 Empirical Results 240 6.6 Interpreting Deviations from Exact Factor Pricing 242 6.6.1 Exact Factor Pricing Models, MeanVariance Analysis, and the Optimal Orthogonal Portfolio 243 6.6.2 Squared Sharpe Ratios 245 6.6.3 Implications for Separating Alternative Theories 246 6.7 Conclusion 251 7PresentValue Relations 253 7.1 The Relation between Prices, Dividends, and Returns 254 7.1.1 The Linear PresentValue Relation with Constant Expected Returns 255 7.1.2 Rational Bubbles 258 7.1.3 An Approximate PresentValue Relation with TimeVarying Expected Returns 260 7.1.4 Prices and Returns in a Simple Example 264 7.2 PresentValue Relations and US Stock Price Behavior 267 7.2.1 LongHorizon Regressions 267 7.2.2 Volatility Tests 275 7.2.3 Vector Autoregressive Methods 279 7.3 Conclusion 286 8Intertemporal Equilibrium Models 291 8.1 The Stochastic Discount Factor 293 8.1.1 Volatility Bounds 296 8.2 ConsumptionBased Asset Pricing with Power Utility 304 8.2.1 Power Utility in a Lognormal Model 306 8.2.2 Power Utility and Generalized Method of\protect\\ Moments 314 8.3 Market Frictions 314 8.3.1 Market Frictions and HansenJagannathan\protect\\ Bounds 315 8.3.2 Market Frictions and Aggregate Consumption\protect\\ Data 316 8.4 More General Utility Functions 326 8.4.1 Habit Formation 326 8.4.2 Psychological Models of Preferences 332 8.5 Conclusion 334 9Derivative Pricing Models 339 9.1 Brownian Motion 341 9.1.1 Constructing Brownian Motion 341 9.1.2 Stochastic Differential Equations 346 9.2 A Brief Review of Derivative Pricing Methods 349 9.2.1 The BlackScholes and Merton Approach 350 9.2.2 The Martingale Approach 354 9.3 Implementing Parametric Option Pricing Models 355 9.3.1 Parameter Estimation of Asset Price Dynamics 356 9.3.2 Estimating $\sigma $ in the BlackScholes Model 361 9.3.3 Quantifying the Precision of Option Price Estimators 367 9.3.4 The Effects of Asset Return Predictability 369 9.3.5 Implied Volatility Estimators 377 9.3.6 Stochastic Volatility Models 379 9.4 Pricing PathDependent Derivatives Via Monte Carlo Simulation 382 9.4.1 Discrete Versus Continuous Time 383 9.4.2 How Many Simulations to Perform 384 9.4.3 Comparisons with a ClosedForm Solution 384 9.4.4 Computational Efficiency 386 9.4.5 Extensions and Limitations 390 9.5 Conclusion 391 10FixedIncome Securities 395 10.1 Basic Concepts 396 10.1.1 Discount Bonds 397 10.1.2 Coupon Bonds 401 10.1.3 Estimating the ZeroCoupon Term Structure 409 10.2 Interpreting the Term Structure of Interest Rates 413 10.2.1 The Expectations Hypothesis 413 10.2.2 Yield Spreads and Interest Rate Forecasts 418 10.3 Conclusion 423 11TermStructure Models 427 11.1 AffineYield Models 428 11.1.1 A Homoskedastic SingleFactor Model 429 11.1.2 A SquareRoot SingleFactor Model 435 11.1.3 A TwoFactor Model 438 11.1.4 Beyond AffineYield Models 441 11.2 Fitting TermStructure Models to the Data 442 11.2.1 Real Bonds, Nominal Bonds, and Inflation 442 11.2.2 Empirical Evidence on AffineYield Models 445 11.3 Pricing FixedIncome Derivative Securities 455 11.3.1 Fitting the Current Term Structure Exactly 456 11.3.2 Forwards and Futures 458 11.3.3 Option Pricing in a TermStructure Model 461 11.4 Conclusion 464 12Nonlinearities in Financial Data 467 12.1 Nonlinear Structure in Univariate Time Series 468 12.1.1 Some Parametric Models 470 12.1.2 Univariate Tests for Nonlinear Structure 475 12.2 Models of Changing Volatility 479 12.2.1 Univariate Models 481 12.2.2 Multivariate Models 490 12.2.3 Links between First and Second Moments 494 12.3 Nonparametric Estimation 498 12.3.1 Kernel Regression 500 12.3.2 Optimal Bandwidth Selection 502 12.3.3 Average Derivative Estimators 504 12.3.4 Application: Estimating StatePrice Densities 507 12.4 Artificial Neural Networks 512 12.4.1 Multilayer Perceptrons 512 12.4.2 Radial Basis Functions 516 12.4.3 Projection Pursuit Regression 518 12.4.4 Limitations of Learning Networks 518 12.4.5 Application: Learning the BlackScholes Formula 519 12.5 Overfitting and DataSnooping 523 12.6 Conclusion 524
 Appendix 527 A.1 Linear Instrumental Variables 527 A.2 Generalized Method of Moments 532 A.3 Serially Correlated and Heteroskedastic Errors 534 A.4 GMM and Maximum Likelihood 536 References 541 Author Index 587 Subject Index 597.
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5. Options, futures, and other derivatives [1997]
 Hull, John, 1946
 3rd ed.  Upper Saddle River, NJ : Prentice Hall, c1997.
 Description
 Book — xix, 572 p. : ill. ; 24 cm. + 1 computer disk (3 1/2 in.)
 Summary

 1. Introduction.
 2. Futures Markets and the Use of Futures for Hedging.
 3. Forward and Futures Prices.
 4. Interest Rate Futures.
 5. Swaps.
 6. Options Markets.
 7. Properties of Stock Option Prices.
 8. Trading Strategies Involving Options.
 9. Introduction to Binomial Trees.
 10. Model of the Behavior of Stock Prices.
 11. The BlackScholes Analysis.
 12. Options on Stock Indices, Currencies, and Futures Contracts.
 13. General Approach to Pricing Derivatives.
 14. The Management of Market Risk.
 15. Numerical Procedures.
 16. Interest Rate Derivatives and the Use of Black's Model.
 17. Interest Rate Derivatives and Models of the Yield Curve.
 18. Exotic Options.
 19. Alternatives to BlackScholes for Option Pricing.
 20. Credit Risk and Regulatory Capital.
 21. Review of Key Concepts.
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 Contents: Introduction. Futures Markets and the Use of Futures for Hedging. Forward and Futures Prices. Interest Rate Futures. Swaps. Options Markets. Properties of Stock Option Prices. Trading Strategies Involving Options. Introduction to Binomial Trees. Model of the Behavior of Stock Prices. The BlackScholes Analysis. Options on Stock Indices, Currencies, and Futures Contracts. General Approach to Pricing Derivatives. The Management of Market Risk. Numerical Procedures. Interest Rate Derivatives and the Use of Black's Model. Interest Rate Derivatives and Models of the Yield Curve. Exotic Options. Alternatives to BlackScholes for Option Pricing. Credit Risk and Regulatory Capital. Review of Key Concepts.
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HG6024 .A3 H85 1997  Unknown 
6. Mathematics of financial markets [1998]
 Elliott, Robert James.
 New York : Springer, c1999.
 Description
 Book — 292 p. ; 24 cm.
 Summary

 Pricing by Arbitrage Martingale Measures The Fundamental Theorem of Asset Pricing Complete Markets and Martingale Representation Stopping Times and American Options A Review of ContinousTime Stochastic Calculus European Options in Continous Time The American Option Bonds and Term Structure ConsumptionInvestment Strategies References Index.
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HG4515.3 .E37 1999  Unknown 
 Shiri͡aev, A. N. (Alʹbert Nikolaevich)
 Singapore ; River Edge, N.J. : World Scientific, 1999 (2008 printing)
 Description
 Book — xvi, 834 p. : ill. ; 23 cm.
 Summary

 Part 1 Facts.
 Part 2 Models: main concepts, structures and instruments aims and problems of financial theory and financial engineering stochastic models  discrete time stochastic models  continuous time statistical analysis of financial data.
 Part 3 Theory: theory of arbitrage in stochastic financial models  discrete time theory of pricing in stochastic financial models  discrete time theory of arbitrage in stochastic financial models  continuous time theory of pricing in stochastic financial models  continuous time.
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HG4515.3 .S54 1999  Unknown 
 Finansovye rynki. English
 Melʹnikov, A. V., 1953
 Providence, R.I. : American Mathematical Society, c1999.
 Description
 Book — xiv, 133 p. : ill. ; 26 cm.
 Summary

 Basic concepts and objects of a financial market The elements of discrete stochastic analysis A stochastic model for a financial market. Arbitrage and completeness Pricing European options in complete markets. The binomial model and the CoxRossRubinstein formula Pricing and hedging American options in complete markets Financial computations on a complete market with the use of nonselffinancing strategies Incomplete markets. Pricing of options and problems of minimizing risk The structure of prices of other instruments of a financial market. Forwards, futures, bonds The problem of optimal investment The concept of continuous models. Limiting transitions from a discrete market to a continuous one. The BlackScholes formula
 Appendix 1
 Appendix 2
 Appendix 3 Hints for solving the problems Bibliography Subject index.
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HG6024 .A3 M43813 1999  Unknown 
 Fouque, JeanPierre.
 Cambridge [England] ; New York : Cambridge University Press, 2000.
 Description
 Book — xiv, 201 p. : ill. ; 24 cm.
 Summary

 1. The BlackScholes theory of derivative pricing
 2. Introduction to stochastic volatility models
 3. Scales in meanreverting stochastic volatility
 4. Tools for estimating the rate of meanreversion
 5. Symptotics for pricing European derivatives
 6. Implementation and stability
 7. Hedging strategies
 8. Application to exotic derivatives
 9. Application to American derivatives
 10. Generalizations
 11. Applications to interest rates models.
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HG6024 .A3 F682 2000  Unknown 
 Markowitz, H. (Harry), 1927
 [Rev. ed.]  [New Hope, Pa. ] : Wiley [Frank J. Fabozzi Associates], 2000.
 Description
 Book — xix, 379 p. : ill. ; 24 cm.
 Online
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HG4529.5 .M37 2000  Unknown 
11. Options, futures & other derivatives [2000]
 Hull, John, 1946
 4th ed.  Upper Saddle River, NJ : Prentice Hall, c2000.
 Description
 Book — xix, 698 p. : ill. ; 24 cm. + 1 computer disk (3 1/2 in.)
 Summary

 1. Introduction.
 2. Futures Markets and the Use of Futures for Hedging.
 3. Forward and Futures Prices.
 4. Interest Rates and Duration.
 5. Swaps.
 6. Options Markets.
 7. Properties of Stock Option Prices.
 8. Trading Strategies Involving Options.
 9. Introduction to Binomial Trees.
 10. Model of the Behavior of Stock Prices.
 11. The BlackScholes Model.
 12. Options on Stock Indices, Currencies, and Futures.
 13. The Greek Letters.
 14. Value at Risk.
 15. Estimating Volatilities and Correlations.
 16. Numerical Procedures.
 17. Volatility Smiles and Alternatives to BlackScholes.
 18. Exotic Options.
 19. Extensions of the Theoretical Framework for Pricing Derivatives: Martingales and Measures.
 20. Interest Rate Derivatives: The Standard Market Models.
 21. Interest Rate Derivatives: Models of the Short Rate.
 22. Interest Rate Derivatives: More Advanced Models.
 23. Credit Risk.
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HG6024 .A3 H85 2000  Unknown 
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HG6024 .A3 H85 2000  Unknown 
 Cossin, Didier.
 New York : John Wiley & Sons, c2001.
 Description
 Book — xiii, 357 p. : ill. ; 25 cm.
 Summary

 Acknowledgements. Introduction. CREDIT RISK PRICING. Introduction to Modern Credit Risk Pricing. Merton's Approach: The Intuition Behind Structural Models. Subsequent Financial Engineering. Stochastic Interest Rates and Credit Risk. Advanced Considerations on Bankruptcy Endogeneity. ReducedForm/Mixed Approaches. CREDIT RISK OF DERIVATIVES. Swap Credit Risk Pricing. Credit Risk in Options: Vulnerable Options. THEORETICAL WRAPUP AND EMPIRICAL EVIDENCE. Introduction. Literature WrapUp. Empirical Evidence. A PROPOSITION FOR A STRUCTURAL MODEL. Introduction. The Pricing Model. Comparative Statics. The Practical Implementation and Final Issues. COLLATERALIZATION, MARKINGTOMARKET, AND THEIR IMPACT ON CREDIT RISK. Introduction. A Structural Methodology for Haircut Determination and the Pricing of Credit Risk with Risky Collateral. Credit Risk Collateral Control as an Impulse Control Problem. MANAGEMENT OF CREDIT RISK. Advanced Management Tools. Financial Structuring with Credit Derivatives. Appendix A: It's Lemma. Appendix B: A Review of Interest Rate Models. General Bibliography. Index.
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HG3751 .C67 2001  Unknown 
 Optionsbewertung und PortfolioOptimierung. English
 Korn, Ralf.
 Providence, R.I. : American Mathematical Society, c2001.
 Description
 Book — xiv, 253 p. : ill. ; 27 cm.
 Online
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HG6024 .A3 K667 2001  Unknown 
14. Ruin probabilities [2001]
 Asmussen, Søren.
 Singapore ; River Edge, NJ : World Scientific, 2001.
 Description
 Book — x, 385 p. : ill. ; 23 cm.
 Summary

 Some general tools and results the compound Poisson model premiums depending on the current reserve the probability of ruin within finite time renewal arrivals risk theory in a Markovian environment risk theory in a periodic environment simulation methodology miscellaneous topics. Appendices: phasetype distributions selected background material.
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HG8781 .A83 2001  Unknown 
15. A course in financial calculus [2002]
 Etheridge, Alison.
 Cambridge, U.K. ; New York : Cambridge University Press, 2002.
 Description
 Book — viii, 196 p. : ill. ; 25 cm.
 Summary

 Preface
 1. Single period models
 2. Binomial trees and discrete parameter martingales
 3. Brownian motion
 4. Stochastic calculus
 5. The BlackScholes model
 6. Different payoffs
 7. Bigger models Bibliography and further reading Notation Index.
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HG6024 .A3 E84 2002  Unknown 
16. Mathematics of financial obligations [2002]
 Matematika finansovykh obi͡azatelʹstv. English
 Melʹnikov, A. V., 1953
 Providence, RI : American Mathematical Society, 2002.
 Description
 Book — ix, 194 p. : ill. ; 26 cm.
 Summary

 Financial systems: Innovations and the risk calculus Random processes and the stochastic calculus Hedging and investment in complete markets Hedging and incomplete markets Markets with structural constraints and transaction costs Imperfect forms of hedging Dynamic contingent claims and American options Analysis of "bond" contingent claims Economics of insurance and finance: Convergence of quantitative methods of calculations Bibliographical notes Bibliography Subject index.
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HG4515.3 .M4513 2002  Unknown 
17. Stochastic portfolio theory [2002]
 Fernholz, Erhard Robert.
 New York : Springer, 2002.
 Description
 Book — xiv, 177 p. : ill. ; 25 cm.
 Summary

 Stochastic Portfolio Theory. Stock Market Behavior and Diversity. Functionally Generated Portfolios. Portfolios of Stocks Selected by Rank. Stable Models for the Distribution of Capital. Performance of Functionally Generated Portfolios. Applications of Stochastic Portfolio Theory.
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HG4529.5 .F47 2002  Unknown 
18. Computational financial mathematics using Mathematica : optimal trading in stocks and options [2003]
 Stojanovic, Srdjan.
 Boston, MA : Birkhäuser : Electronic Library of Science, c2003.
 Description
 Book — xi, 481 p. : ill. ; 24 cm. + 1 CDROM (4 3/4 in.)
 Summary

 Preface * Cash Account Evolution * Stock Price Evolution * European Style Stock Options * Stock Market Statistics * Implied Volatility for European Options * American Style Stock Options * Optimal Portfolio Rules * Advanced Trading Strategies * Bibliography * Index.
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HG106 .S76 2003  Unknown 
 Borowiak, Dale S., 1952
 New York : Marcel Dekker, c2003.
 Description
 Book — xi, 330 p. : ill. ; 24 cm.
 Summary

 Statistical ConceptsFinancial Computational ModelsDeterministic Status ModelsFuture Lifetime Random VariableFuture Lifetime Models and TablesStochastic Status ModelsScenario and Simulation TestingFurther Statistical ConsiderationsAppendix: Standard Normal TablesReferencesIndex.
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HG173 .B67 2003  Unknown 
20. Financial market complexity [2003]
 Johnson, Neil F., 1961
 Oxford ; New York : Oxford University Press, 2003.
 Description
 Book — x, 254 p. : ill. ; 25 cm.
 Summary

 1. Financial markets as complex systems
 2. Standard finance theory
 3. A complex walk down Wall Street
 4. Financial market models with global interactions
 5. Financial market models with local interactions
 6. Nonzero risk in the real world
 7. Deterministic dynamics, chaos and crashes.
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HG176.5 .J64 2003  Unknown 