The Calculus of Finance

Amber Habib

Verlag: Orient BlackSwan Pvt. Ltd, 2011
ISBN 10: 8173717230 / ISBN 13: 9788173717239
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This book is broadly about the mathematical aspects of finance. It introduces the reader to the basic concepts and products of modern finance and explores various mathematical models dealing with quantification of risk, which form the backbone of modern financial analysis. The emphasis is not so much on the details of the financial world as the basic principles by which one seeks an understanding of it. No prior knowledge of economics or finance is called for?an exposure to basic calculus and probability is all that is required of the reader. The appendix covers this ground in fair detail and would itself serve as a comprehensive primer of mathematics for finance for a beginner. The book is peppered with examples that use real-life data to ground the theory covered in the book. The exercises to be worked out are also interspersed in the text?their purpose varies from simple practice in applying formulas to extending the ideas learnt to new situations. Solutions to all the exercise problems are included as Appendix C, a feature that will be welcomed by both students and faculty. The book will serve well as an introductory book on applied mathematics in finance, of interest to students of mathematics, finance and financial management. For those starting out as practitioners of mathematical finance, this is an ideal introduction. Printed Pages: 296. Buchnummer des Verkäufers 100178

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Inhaltsangabe: This book is broadly about the mathematical aspects of finance. It introduces the reader to the basic concepts and products of modern finance and explores various mathematical models dealing with quantification of risk, which form the backbone of modern financial analysis. The emphasis is not so much on the details of the financial world as the basic principles by which one seeks an understanding of it. No prior knowledge of economics or finance is called for an exposure to basic calculus and probability is all that is required of the reader. The appendix covers this ground in fair detail and would itself serve as a comprehensive primer of mathematics for finance for a beginner.

The book is peppered with examples that use real-life data to ground the theory covered in the book. The exercises to be worked out are also interspersed in the text their purpose varies from simple practice in applying formulas to extending the ideas learnt to new situations. Solutions to all the exercise problems are included as Appendix C, a feature that will be welcomed by both students and faculty.

The book will serve well as an introductory book on applied mathematics in finance, of interest to students of mathematics, finance and financial management. For those starting out as practitioners of mathematical finance, this is an ideal introduction.

About the Author: Amber Habib is a professor at the Mathematical Sciences Foundation, New Delhi. He obtained his Masters in mathematics from IIT Kanpur and his PhD from the University of California, Berkeley. His research interests are in representation theory and harmonic analysis. He is also deeply involved in making mathematics education more interesting and fulfilling through special topics, projects, and an appreciation of the myriad links of mathematics with other disciplines.

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Bibliografische Details

Titel: The Calculus of Finance
Verlag: Orient BlackSwan Pvt. Ltd
Erscheinungsdatum: 2011
Einband: Softcover
Zustand: New

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Rudi Zagst
Verlag: Springer Finance Springer Verlag, 2002. Auflage: 1 (Mai 2002) (2002)
ISBN 10: 3540675949 ISBN 13: 9783540675945
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Buchbeschreibung Springer Finance Springer Verlag, 2002. Auflage: 1 (Mai 2002), 2002. Hardcover. Buchzustand: gut. Auflage: 1 (Mai 2002). Asset Management Financial Markets Finanzmathematik Geldmarkt interest rate models Risk Management Stochastic Calculus Zinsrechnen Zinsmanagement Risikomanagement Zinsmärkte Bonds Anleihen Bund T-Bond T-Notes Stochastic Processes and Martingales Financial Markets Interest Rate Markets Interest Rate Derivatives Risk Measures 60G44, 60HXX, 62P05, 90B50, 90C11, 90C20 MSC 2000:60HXX This book adresses the needs of both researchers and practitioners. It combines a rigorous overview of the mathematics of financial markets with an insight into the practical application of these models to the risk and portfolio management of interest-rate derivatives. It can also serve as a valuable textbook for graduate and PhD students in mathematics who want to get some knowledge about financial markets. The first part of the book is an exposition of advanced stochastic calculus. It defines the theoretical framework for the pricing and hedging of contingent claims with a special focus on interest-rate markets. The second part covers a selection of short and long-term oriented risk measures as well as their application to the risk management of interest -rate portfolios. Interesting and comprehensive case studies are provided to illustrate the theoretical concepts. Professor Dr. Rudi Zagst studierte Wirtschaftsmathematik an der Universität Ulm. Nach seiner Habilitation im Jahr 2000 an der Universität Ulm nahm Prof. Zagst im Jahr 2001 einen Ruf an die Technische Universität München als Professor für Finanzmathematik an und ist dort seit 2002 Leiter des HVB Stiftungsinstituts für Finanzmathematik. Im Jahr 2003 wurde er zum Ehrenvorsitzenden des Aufsichtsrates der risklab germany GmbH ernannt und erhielt im Jahr 2007 von der Zeitschrift "Unicum Beruf" die Auszeichnung zum "Professor des Jahres 2007" für sein Engagement um eine praxisnahe Ausbildung seiner Studenten. Besprechung / Review zu "Interest-Rate Management": From the reviews: "The book Interest Rate Management by Zagst is written for students, researchers, and practitioners who want to get an insight into the modelling of interest-rate markets as well as the pricing and management of interest-rate derivatives. a book that is both mathematically rigorous and shows practical applications of the theory. It is a compact introduction into the modern martingale-based approach of developing interest rate derivative models. a good overview is given to the relevant literature." (Prof. Dr A. A. J. Pelsser, Kwantitatieve Methoden, Vol. 72 (B6), 2003) "A very promising book on interest rate theory, written with special care and precision. Rudi Zagst manages to give an all-inclusive presentation of the topic, putting special emphasis on measuring and hedging financial risks. This makes the book unique among others, in exposing the reader to the entire financial engineering process from mathematical modelling and pricing to the risk and asset management of a complete portfolio. Interest rate management is mostly recommended to graduate and PhD students in mathematics or finance." (Nikos Thomaidis, www.quantnotes.com, November, 2003) "If you are interested in the totally awesome world of advanced mathematical finance, you should look at Interest Rate Management by Rudi Zagst. The book is written for those who want a rigorous look at the modeling of interest-rate markets. A fascinating book ." (Bulletin of Mathematics Books, Issue 42, November, 2002) "This book addresses the needs of both researchers and practitioners. It combines a rigorous overview of the mathematics of financial markets with an insight into the practical applications of these models to the risk and portfolio management of interest rate derivatives." (Bank-Forum, Issue 30, 2003) "This book is essentially about two main topics: first of all about the mathematics of interest-rate markets, and secondly about risk management issues in such markets. All in all, an interesting book which offers first insight into the world of true money-market ri. Artikel-Nr. BN6321

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