| 書目名稱 | Financial Modeling | | 副標(biāo)題 | A Backward Stochasti | | 編輯 | Stéphane Crépey | | 視頻video | http://file.papertrans.cn/344/343124/343124.mp4 | | 概述 | Provides a unique, BSDE-based perspective on financial modeling and computational finance areas as for example on the pricing and hedging theory, across all asset classes.A unified presentation of all | | 叢書名稱 | Springer Finance | | 圖書封面 |  | | 描述 | .Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. Although BSDEs are well known to academics, they are less familiar to practitioners in the financial industry. In order to fill this gap, this book revisits financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes. It also contains a review of quantitative finance tools, including Fourier techniques, Monte Carlo methods, finite differences and model calibration schemes. With a view to use in graduate courses in computational finance and financial modeling, corrected problem sets and Matlab sheets have been provided. .Stéphane Crépey’s ?book starts with a few chapters on classical stochastic processes material, and then... fasten your seatbelt... the author starts traveling backwards in time through backward stochastic differential equations (BSDEs). This does not mean that one has to read the | | 出版日期 | Textbook 2013 | | 關(guān)鍵詞 | 91G20,91G60, 91G80; backward stochastic differential equations; computational finance; financial modeli | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-642-37113-4 | | isbn_softcover | 978-3-642-44252-0 | | isbn_ebook | 978-3-642-37113-4Series ISSN 1616-0533 Series E-ISSN 2195-0687 | | issn_series | 1616-0533 | | copyright | Springer-Verlag Berlin Heidelberg 2013 |
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