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Mathematical techniques in finance [electronic resource] : tools for incomplete markets / Ales Cerny.

By: Cerny, Ales, 1971-.
Contributor(s): ebrary, Inc.
Publisher: Princeton [N.J.] : Princeton University Press, 2009Edition: 2nd ed.Description: xx, 390 p. : ill.Subject(s): Finance -- Mathematical models | Risk management -- Mathematical models | Derivative securities -- Mathematics | Pricing -- Mathematical modelsGenre/Form: Electronic books.Online resources: An electronic book accessible through the World Wide Web; click to view
Contents:
pt. 1. The simplest model of financial markets -- pt. 2. Arbitrage and pricing in the one-period model -- pt. 3. Risk and return in the one-period model -- pt. 4. Numerical techniques for optimal portfolio selection in incomplete markets -- pt. 5. Pricing in dynamically complete markets -- pt. 6. Towards a continuous time -- pt. 7. Fast fourier transform.
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Includes bibliographical references and index.

pt. 1. The simplest model of financial markets -- pt. 2. Arbitrage and pricing in the one-period model -- pt. 3. Risk and return in the one-period model -- pt. 4. Numerical techniques for optimal portfolio selection in incomplete markets -- pt. 5. Pricing in dynamically complete markets -- pt. 6. Towards a continuous time -- pt. 7. Fast fourier transform.

Electronic reproduction. Palo Alto, Calif. : ebrary, 2010. Available via World Wide Web. Access may be limited to ebrary affiliated libraries.