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Mathematical techniques in finance : tools for incomplete markets

Author: Aleš Černý
Publisher: Princeton : Princeton University Press, ©2009.
Edition/Format:   Print book : English : 2nd edView all editions and formats
Database:WorldCat
Summary:

Offers an introduction to asset pricing, optimal portfolio selection, risk measurement, and investment evaluation. This title includes research in the area of incomplete markets and unhedgeable  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Aleš Černý
ISBN: 9780691141213 0691141215
OCLC Number: 426122505
Description: xx, 390 pages : illustrations ; 23 cm
Contents: The simplest model of financial markets --
Arbitrage and pricing in the one-period model --
Risk and return in the one-period model --
Numerical techniques for optimal portfolio selection in incomplete markets --
Pricing in dynamically complete markets --
Towards continuous time --
Fast Fourier transform --
Information management --
Martingales and change of measure in finance --
Brownian motion and Itô formulae --
Continuous-time finance --
Finite-difference methods --
Dynamic option hedging and pricing in incomplete markets.
Responsibility: Aleš Černý.

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