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Book Cover
Book
Author Černý, Aleš, 1971-

Title Mathematical techniques in finance : tools for incomplete markets / Aleš Cerný
Published Princeton, N.J. : Princeton University Press, [2004]
©2004

Copies

Location Call no. Vol. Availability
 MELB  332.0151 Cer/Mti  DUE 13-11-18
Description xviii, 378 pages : illustrations ; 24 cm
Contents The simplest model of financial markets -- Arbitrage and pricing in the one-period model -- Risk and return in the one-period model -- Numerical techniques for optimal portfolio selection in incomplete markets -- Pricing in dynamically complete markets -- Towards continuous time -- Fast fourier transform -- Information management -- Martingales and change of measure in finance -- Brownian motion and Itô formulae -- Continuous-time finance -- Dynamic option hedging and pricing in incomplete markets
Bibliography Includes bibliographical references (pages [369]-372) and index
Subject Finance -- Mathematical models.
Pricing -- Mathematical models.
Risk management -- Mathematical models.
Derivative securities -- Mathematics.
LC no. 2003053593
ISBN 0691088063 alkaline paper
0691088071 paperback alkaline paper