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Financial Mathematics: From Discrete to Continuous Time by Kevin J. Hastings

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9781498780407
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Description

  • Thorough presentation of the problem of portfolio optimization, leading in a natural way to the Capital Market Theory
  • Dynamic programming and the optimal portfolio selection-consumption problem through time
  • An intuitive approach to Brownian motion and stochastic integral models for continuous time problems
  • The Black-Scholes equation for simple European option values, derived in several different ways
  • A chapter on several types of exotic options and one on material on the management of risk in several contexts


  • Book Information
    ISBN 9781498780407
    Author Kevin J. Hastings
    Format Hardback
    Page Count 411
    Imprint Productivity Press
    Publisher Taylor & Francis Inc
    Weight(grams) 960g

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