## Financial Calculus

Author: Martin Baxter
Publisher: Cambridge University Press
ISBN: 9780521552899
Format: PDF, Mobi

A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.

## A Course in Financial Calculus

Author: Alison Etheridge
Publisher: Cambridge University Press
ISBN: 9780521890779
Format: PDF, ePub, Mobi

A text for first courses in financial calculus; lots of examples and exercises, first published in 2002.

## Elementary Stochastic Calculus with Finance in View

Author: Thomas Mikosch
Publisher: World Scientific
ISBN: 9789810235437
Format: PDF, Kindle

Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory. This book is suitable for the reader without a deep mathematical background. It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black -- Scholes option pricing formula is derived. The book can serve as a text for a course on stochastic calculus for non-mathematicians or as elementary reading material for anyone who wants to learn about Ito calculus and/or stochastic finance.

## Financial Calculus With Applications

Author: Erio Castagnoli
Publisher:
ISBN: 9788823821743
Format: PDF

## Financial Calculus in MATLAB Cvar and Mad Portfolios Optimization

Author: J. Perkins
Publisher: Createspace Independent Publishing Platform
ISBN: 9781983487255
Format: PDF

Portfolio optimization problems involve identifying portfolios that satisfy three criteria: Minimize a proxy for risk, Match or exceed a proxy for return and Satisfy basic feasibility requirements. Portfolios are points from a feasible set of assets that constitute an asset universe. A portfolio specifies either holdings or weights in each individual asset in the asset universe. The convention is to specify portfolios in terms of weights, although the portfolio optimization tools work with holdings as well. The set of feasible portfolios is necessarily a nonempty, closed, and bounded set. The proxy for risk is a function that characterizes either the variability or losses associated with portfolio choices. The proxy for return is a function that characterizes either the gross or net benefits associated with portfolio choices. The terms "risk" and "risk proxy" and "return" and "return proxy" are interchangeable. The fundamental insight of Markowitz is that the goal of the portfolio choice problem is to seek minimum risk for a given level of return and to seek maximum return for a given level of risk. Portfolios satisfying these criteria are efficient portfolios and the graph of the risks and returns of these portfolios forms a curve called the efficient frontier. Financial Toolbox has three objects to solve specific types of portfolio optimization problems: - The Portfolio object (Portfolio) supports mean-variance portfolio optimization. This object has either gross or net portfolio returns as the return proxy, the variance of portfolio returns as the risk proxy, and a portfolio set that is any combination of the specified constraints to form a portfolio set. - The Portfolio CVaR object (PortfolioCVaR) implements what is known as conditional value-at-risk portfolio optimization, which is generally referred to as CVaR portfolio optimization. CVaR portfolio optimization works with the same return proxies and portfolio sets as mean-variance portfolio optimization but uses conditional value-at-risk of portfolio returns as the risk proxy. - The Portfolio MAD object (PortfolioMAD) implements what is known as meanabsolute deviation portfolio optimization, which is referred to as MAD portfolio optimization. MAD portfolio optimization works with the same return proxies and portfolio sets as mean-variance portfolio optimization but uses mean-absolute deviation portfolio returns as the risk proxy.

## Islamic Finance

Author: Mahmoud A. El-Gamal
Publisher: Cambridge University Press
ISBN: 1139457160
Format: PDF, ePub, Mobi

This book provides an overview of the practice of Islamic finance and the historical roots that define its modes of operation. The focus of the book is analytical and forward-looking. It shows that Islamic finance exists mainly as a form of rent-seeking legal-arbitrage. In every aspect of finance - from personal loans to investment banking, and from market structure to corporate governance - Islamic finance aims to replicate in Islamic forms the substantive functions of contemporary financial instruments, markets, and institutions. By attempting to replicate the substance of contemporary financial practice using pre-modern contract forms, Islamic finance has arguably failed to serve the objectives of Islamic law. This book proposes refocusing Islamic finance on substance rather than form. This approach would entail abandoning the paradigm of 'Islamization' of every financial practice. It would also entail reorienting the brand-name of Islamic finance to emphasize issues of community banking, micro-finance, and socially responsible investment.

## Introduction to Stochastic Calculus Applied to Finance Second Edition

Author: Damien Lamberton
Publisher: CRC Press
ISBN: 9780412718007
Format: PDF, ePub

In recent years the growing importance of derivative products financial markets has increased financial institutions' demands for mathematical skills. This book introduces the mathematical methods of financial modeling with clear explanations of the most useful models. Introduction to Stochastic Calculus begins with an elementary presentation of discrete models, including the Cox-Ross-Rubenstein model. This book will be valued by derivatives trading, marketing, and research divisions of investment banks and other institutions, and also by graduate students and research academics in applied probability and finance theory.

## Telegraph Processes and Option Pricing

Author: Alexander D. Kolesnik
Publisher: Springer Science & Business Media
ISBN: 3642405266
Format: PDF, Kindle

The telegraph process is a useful mathematical model for describing the stochastic motion of a particle that moves with finite speed on the real line and alternates between two possible directions of motion at random time instants. That is why it can be considered as the finite-velocity counterpart of the classical Einstein-Smoluchowski's model of the Brownian motion in which the infinite speed of motion and the infinite intensity of the alternating directions are assumed. The book will be interesting to specialists in the area of diffusion processes with finite speed of propagation and in financial modelling. It will also be useful for students and postgraduates who are taking their first steps in these intriguing and attractive fields.

## Elementary Calculus of Financial Mathematics

Author: A. J. Roberts
Publisher: SIAM
ISBN: 9780898718225
Format: PDF, ePub, Mobi

Financial mathematics and its calculus introduced in an accessible manner for undergraduate students. Topics covered include financial indices as stochastic processes, Ito's stochastic calculus, the Fokker-Planck Equation and extra MATLAB/SCILAB code.

## Portfoliotheorie Risikomanagement und die Bewertung von Derivaten

Author: Jürgen Kremer
Publisher: Springer-Verlag
ISBN: 3642208681
Format: PDF, ePub, Docs

Im vorliegenden umfassend überarbeiteten Buch werden die Grundlagen der modernen Finanzmathematik dargestellt. Neben der wahrscheinlichkeitstheoretischen Herleitung der Bewertungstheorie von Derivaten wird ein eleganter algebraischer, ökonomisch orientierter Zugang zu Ein- und Mehr-Perioden-Modellen vor- und dem Konzept der Erwartungswertbildung bezüglich eines Martingalmaßes gegenübergestellt. Behandelte Themen sind unter anderem Ein- und Mehr-Perioden-Modelle, Portfoliotheorie, Capital Asset Pricing Model, Value at Risk, kohärente Risikomaße, Expected Shortfall, Binomialbaum-Verfahren für europäische und amerikanische Standard-Optionen, Berücksichtigung von Dividendenzahlungen, ausgewählte exotische Optionen, Black-Scholes-Modell. Zu allen Bewertungsverfahren werden Algorithmen angegeben, die leicht implementiert werden können. Viele Beispiele und Aufgaben runden das Buch ab. Der Text ist für Studierende der Finanz- oder Wirtschaftsmathematik konzipiert worden.