Probability for Finance / Ekkehard Kopp (2014) / 978-0-521-17557-9

Public ISBD Titre : Probability for Finance Type de document : texte imprimé Auteurs : Ekkehard Kopp ; JAN MALCZAK, Auteur ; TOMASZ ZASTAWNIAK, Auteur Editeur : NEW YORK : Cambridge university press Année de publication : 2014 Collection : MASTERING MATHEMATICAL FINANCE Importance : 188p. Présentation : couv.coul Format : 23cm. ISBN/ISSN/EAN : 978-0-521-17557-9 Note générale : index. Langues : Anglais (eng) Catégories : 51 Mathématiques :519.2 Probabilité. Statistique mathématique Tags : probabilité  finance mathématique  arbitrage  martingales  mesure risque-neutre  produits dérivés  processus stochastiques  mouvement brownien  valorisation d’options  modèles financiers Index. décimale : 519.216 Résumé : Students and instructors alike will benefit from this rigorous, unfussy text, which keeps a clear focus on the basic probabilistic concepts required for an understanding of financial market models, including independence and conditioning. Assuming only some calculus and linear algebra, the text develops key results of measure and integration, which are applied to probability spaces and random variables, culminating in central limit theory. Consequently it provides essential prerequisites to graduate-level study of modern finance and, more generally, to the study of stochastic processes. Results are proved carefully and the key concepts are motivated by concrete examples drawn from financial market models. Students can test their understanding through the large number of exercises and worked examples that are integral to the text. Probability for Finance [texte imprimé] / Ekkehard Kopp ; JAN MALCZAK, Auteur ; TOMASZ ZASTAWNIAK, Auteur . - NEW YORK : Cambridge university press, 2014 . - 188p. : couv.coul ; 23cm.. - (MASTERING MATHEMATICAL FINANCE) . ISBN : 978-0-521-17557-9 index. Langues : Anglais (eng) Catégories : 51 Mathématiques :519.2 Probabilité. Statistique mathématique Tags : probabilité  finance mathématique  arbitrage  martingales  mesure risque-neutre  produits dérivés  processus stochastiques  mouvement brownien  valorisation d’options  modèles financiers Index. décimale : 519.216 Résumé : Students and instructors alike will benefit from this rigorous, unfussy text, which keeps a clear focus on the basic probabilistic concepts required for an understanding of financial market models, including independence and conditioning. Assuming only some calculus and linear algebra, the text develops key results of measure and integration, which are applied to probability spaces and random variables, culminating in central limit theory. Consequently it provides essential prerequisites to graduate-level study of modern finance and, more generally, to the study of stochastic processes. Results are proved carefully and the key concepts are motivated by concrete examples drawn from financial market models. Students can test their understanding through the large number of exercises and worked examples that are integral to the text.

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