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Mathematical Finance: Theory Review and Exercises

From Binomial Model to Risk Measures

  • Emanuela Rosazza Gianin
  • Carlo Sgarra
Textbook

Part of the UNITEXT book series (UNITEXT, volume 70)

Also part of the La Matematica per il 3+2 book sub series (UNITEXTMAT, volume 70)

Table of contents

  1. Front Matter
    Pages i-x
    PDF
  2. Short review of Probability and of Stochastic Processes
    Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 1-15
  3. Portfolio Optimization in Discrete-Time Models
    Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 17-30
  4. Binomial Model for Option Pricing
    Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 31-60
  5. Absence of Arbitrage and Completeness of Market Models
    Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 61-83
  6. Itô’s Formula and Stochastic Differential Equations
    Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 85-99
  7. Partial Differential Equations in Finance
    Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 101-122
  8. Black-Scholes Model for Option Pricing and Hedging Strategies
    Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 123-152
  9. American Options
    Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 153-171
  10. Exotic Options
    Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 173-199
  11. Interest Rate Models
    Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 201-232
  12. Pricing Models beyond Black-Scholes
    Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 233-245
  13. Risk Measures: Value at Risk and beyond
    Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 247-271
  14. Back Matter
    Pages 273-285
    PDF

About this book

Introduction

The book collects over 120 exercises on different subjects of Mathematical Finance, including Option Pricing, Risk Theory, and Interest Rate Models. Many of the exercises are solved, while others are only proposed. Every chapter contains an introductory section illustrating the main theoretical results necessary to solve the exercises. The book is intended as an exercise textbook to accompany graduate courses in mathematical finance offered at many universities as part of degree programs in Applied and Industrial Mathematics, Mathematical Engineering, and Quantitative Finance.

Keywords

arbitrage theory option pricing portfolio optimization risk measures stochastic volatility

Authors and affiliations

  • Emanuela Rosazza Gianin
    • 1
  • Carlo Sgarra
    • 2
  1. 1.Dipartimento di Statistica e Metodi Quantitativi Milano-BicoccaMilanItaly
  2. 2.Dipartimento di MatematicaPolitecnico di MilanoMilanItaly

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-01357-2
  • Copyright Information Springer International Publishing Switzerland 2013
  • Publisher Name Springer, Cham
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-319-01356-5
  • Online ISBN 978-3-319-01357-2
  • Series Print ISSN 2038-5714
  • Buy this book on publisher's site