Portfolio theory, risk management and the evaluation of derivatives
Publication:2276044
DOI10.1007/978-3-642-20868-3zbMath1235.91004OpenAlexW2501677836MaRDI QIDQ2276044
Publication date: 10 August 2011
Published in: Springer-Lehrbuch (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-20868-3
optionshedgingno arbitragederivativesrisk measuresportfolio theoryBlack-Scholes formulacapital asset pricing model (CAPM)binomial treesdiscrete stochastic analysis
Numerical methods (including Monte Carlo methods) (91G60) Martingales with discrete parameter (60G42) Stochastic models in economics (91B70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Portfolio theory (91G10)