A first course in quantitative finance

DOI10.1017/9781108303606MaRDI QIDQ4591400zbMATH OpenOpenAlexFDO

Authors Thomas Mazzoni

Publication date 15 November 2017

Full work available at URL https://semanticscholar.org/paper/aaaf0979e1ba26779b7d9cc039e1561ba1a5fdc6

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

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Cited in

(3)

• Pricing the American options: a closed-form, simple formula
• Contemporary Issues in Quantitative Finance
• Backward hedging for American options with transaction costs

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