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© 2013

Mathematical Finance: Theory Review and Exercises

From Binomial Model to Risk Measures

Textbook
  • 32k Downloads

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
  2. Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 1-15
  3. Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 17-30
  4. Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 31-60
  5. Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 61-83
  6. Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 85-99
  7. Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 101-122
  8. Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 123-152
  9. Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 153-171
  10. Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 173-199
  11. Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 201-232
  12. Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 233-245
  13. Emanuela Rosazza Gianin, Carlo Sgarra
    Pages 247-271
  14. Back Matter
    Pages 273-285

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

  1. 1.Dipartimento di Statistica e Metodi Quantitativi Milano-BicoccaMilanItaly
  2. 2.Dipartimento di MatematicaPolitecnico di MilanoMilanItaly

About the authors

Carlo SGARRA: Associate Professor of Mathematical Finance, Politecnico di Milano, Italia Emanuela

ROSAZZA GIANIN: Associate Professor of Statistics and Quantitative Methods, University of Milano-Bicocca, Italia

Bibliographic information

Reviews

From the book reviews:

“This work is a very useful companion volume to courses in mathematical finance, and it can also be successfully used for self-study.” (László Imre Szabó, Acta Scientiarum Mathematicarum (Szeged), Vol. 80 (1-2), 2014)