Analytical finance. Volume I. The mathematics of equity derivatives, markets, risk and valuation
stochastic integrationexotic optionsItô lemmacontinuous-time financial modelsanalytical financeBlack-Scholes diffusion modeldiscrete-time financial modelspricing using deflatorsstrategies with options
Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
- scientific article; zbMATH DE number 5651614
- A course in derivative securities. Introduction to theory and computation.
- Exotic derivatives and risk. Theory, extensions and applications. With foreword by Harry M. Markowitz.
- scientific article; zbMATH DE number 1940732
- An Introduction to Financial Option Valuation
- Derivatives pricing. The classic collection
- scientific article; zbMATH DE number 1477075 (Why is no real title available?)
- The Strategic Analysis of Financial Markets
- scientific article; zbMATH DE number 5170971 (Why is no real title available?)
- IMEX-RK finite volume methods for nonlinear 1d parabolic PDEs. Application to option pricing
- Quantitative analysis, derivatives modeling, and trading strategies. In the presence of counterparty credit risk for the fixed-income market.
- Equity derivatives. Corporate and institutional applications
- Options and option strategies: theory and empirical results
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