Quantitative finance : its development, mathematical foundations, and current scope / T.W. Epps.
Material type:
TextReference number: 2008041830Publication details: Hoboken, N.J. : Wiley, c2009. Description: xviii, 401 p. : ill. ; 25 cmISBN: 9780470431993; 0470431997Subject(s): Finance -- Mathematical models | Investments -- Mathematical modelsDDC classification: 332.01/5195 LOC classification: HG106 | .E67 2009| Item type | Current library | Class number | Copy number | Status | Date due | Barcode | Item reservations | |
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Main Library General Shelves | HG106 .E67 (Browse shelf(Opens below)) | 1 | Available | 2000001327 |
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| HG101 .T39 Market know how : | HG101 .T55 Financial Darwinism : | HG101 .T75 Lecturing birds on flying : | HG106 .E67 Quantitative finance : | HG106 .F76 Frontiers in quantitative finance : | HG106 .K67 Analysis of financial data / | HG106 .S49 Tools for computational finance / |
Includes bibliographical references (p. 391-395) and index.
Introduction and overview -- Tools from calculus and analysis -- Probability -- Interest and bond prices -- Models of portfolio choice -- Prices in a mean-variance world -- Rational decisions under risk -- Observed decisions under risk -- Distributions of returns -- Dynamics of prices and returns -- Stochastic calculus -- Portfolio decisions over time -- Optimal growth -- Dynamic models for prices -- Efficient markets -- Static arbitrage pricing -- Dunamic arbitrage pricing -- Properties of option prices -- Martingale pricing -- Modeling volatility -- Discontinuous price processes -- Options on jump processes -- Options on stochastic volatility processes.
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