Arbitrage theory in continuous time

This accessible introduction to the mathematical underpinnings of finance concentrates on the probabilistic theory of continuous arbitrage pricing of financial derivatives, including stochastic optimal control theory, and Merton's fund separation theory. It includes a solved example for every new technique presented, numerous exercises, and ...

One shot-one kill trading

John Netto, a former U.S. Marine, designed his "One Shot'One Kill" trading methodology to leverage the patience, discipline, and execution skills he learned in the military with the technical skills he has mastered in the marketplace. In One Shot-One Kill Trading, Netto explains ...

Los mercados financieros y sus matemáticas

una guía teórica y práctica para comprender las matemáticas de los mercados

ÍNDICE. Introducción. . CAPÍTULO 1. Fundamentos de las matemáticas de los mercados financieros. 1. Definiciones iniciales. 2. Principio de sustitución o proyección financiera. . 3. Leyes financieras. 4. Magnitudes derivadas de las leyes financieras. 4.1. Factores, réditos y tantos en las leyes de capitalización. 4.2 ...

Mathematical techniques in finance

tools for incomplete markets

Modern finance overlaps with many fields of mathematics, and for students this can represent considerable strain. Mathematical Techniques in Finance is an ideal textbook for Masters finance courses with a significant quantitative element while also being suitable for finance Ph.D. students. Developed for the ...

Pricing in (in)complete markets

structural analysis and applications

In this book, the authors investigate structural aspects of no arbitrage pricing of contingent claims and applications of the general pricing theory in the context of incomplete markets. A quasi-closed form pricing equation in terms of artificial probabilities is derived for arbitrary payoff structures. Moreover ...

Credit risk pricing models

theory and practice

The markets dealing with financial products related to credit risk have been booming over the last years. This has encouraged practitioners and academics at the same time to consider and develop sophisticated models for credit risk pricing. This book gives a deep insight into the ...

A game theory analysis of options

corporate finance and financial intermediation in continuous time

This book shows how to combine game theory and option pricing in order to analyze dynamic multiperson decision problems in continuous time and under uncertainty. The basic intuition of the method is to separate the problem of the valuation of payoffs from the analysis of ...

Risk transfer

derivatives in theory and practice

INDICE: PART ONE: The Economics of Risk Transfer. CHAPTER 1: The Determinants of Financial Innovation. CHAPTER 2: Risk, Uncertainty, and Profit. CHAPTER 3: Methods of Controlling Risk and Uncertainty. CHAPTER 4: Risk Transfer and Contracting Structures. CHAPTER 5: The Evolution of Derivatives Activity. CHAPTER 6 ...

Financial modelling with jump processes

During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematical tools ...

Recent developments on exchange rates

This collection examines recent developments in exchange rate analysis. In the first part, two exchange rate models are proposed: a model which combines heterogeneous agents and transaction costs, and a dynamic general-equilibrium two-country sticky-price model. The second part of the book deals with econometric aspects ...

Risk-neutral valuation

pricing and hedging of financial derivatives

This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives. On the probabilistic side, both discrete- and continuous-time stochastic ...

Introduction to the economics and mathematics of financial markets

Introduction to the Economics and Mathematics of Financial Markets fills the longstanding need for an accessible yet serious textbook treatment of financial economics. The book provides a rigorous overview of the subject, while its flexible presentation makes it suitable for use with different levels of ...

Interest rate models

an introduction

The field of financial mathematics has developed tremendously over the past thirty years, and the underlying models that have taken shape in interest rate markets and bond markets, being much richer in structure than equity-derivative models, are particularly fascinating and complex. This book introduces the ...

Advanced mathematical economics

This concise textbook presents students with all they need for advancing in mathematical economics. Higher level undergraduates as well as postgraduate students in mathematical economics will find this book extremely useful in the course of their development as economists. Contents: 1. Things to Know 2 ...

Hidden Markov models

applications to financial economics

Markov chains have increasingly become useful way of capturing stochastic nature of many economic and financial variables. Although the hidden Markov processes have been widely employed for some time in many engineering applications e.g. speech recognition, its effectiveness has now been recognized in areas ...

C++ desing patterns and derivatives pricing

Design patterns are the cutting-edge paradigm for programming in object-oriented languages. Here they are discussed, for the first time in a book, in the context of implementing financial models in C++. Assuming only a basic knowledge of C++ and mathematical finance, the reader is taught ...

Business economics and finance with MATLAB,GIS,and simulation models

This book takes recent theoretical advances in Finance and Economics and shows how they can be implemented in the real world. It presents tactics for using mathematical and simulation models to solve complex tasks of forecasting income, valuing businesses, predicting retail sales, and evaluating markets ...

Matemáticas financieras

Matemáticas Financieras proporciona al lector la formación teórica práctica necesaria para que sea capaz de efectuar cálculos fiancieros y dar orientación a todos los que tengan la necesidad de obtener dinero a crédito o que dispongan de capital para invertirlo, a través de los cuatro ...

Álgebra de la nueva contabilidad

sistemas booleanos de cuentas

Este es un libro donde la lógica priva tanto o más que la propia matemática,donde se define formalmente el concepto de retículo booleano o anillo de conjuntos.Sin embargo,los tres axiomas establecidos para fundamentar su estructura,representan un contenido formal para las definiciones ...

Stochastic calculus for finance

II. Continuous-time models

"A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. In summary, this is a well-written text that treats the key classical models of finance through an applied probability approach...It should serve ...