Portfolio Optimization and Option Pricing

Name: Portfolio Optimization and Option Pricing
Brand: VDM Verlag Dr. Mueller E.K.
SKU: 9783639047363
Price: 65.29 EUR
Availability: InStock

Selected Problems and Efficient Methods

Autor: Martin Krekel

Jazyk:

Väzba: Brožovaná

Vydavateľ: VDM Verlag Dr. Mueller E.K.

Dostupnosť: Skladom u dodávateľa

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The main two areas of financial mathematics are§portfolio optimization and option pricing. Portfolio...

Informácie o knihe

Autor

Martin Krekel

Jazyk

Angličtina

Väzba

Kniha - Brožovaná

Vydalo

2008

Stránok

184

EAN

9783639047363

ISBN

3639047362

Enbook ID

06814270

Vydavateľ

VDM Verlag Dr. Mueller E.K.

Hmotnosť

254

Rozmery

152 x 229 x 10

Kompletný popis

The main two areas of financial mathematics are§portfolio optimization and option pricing. Portfolio§optimization deals with the determination of the best§investment strategy under certain constraints (e.g.§risk, liquidity or budget constraints). Option§pricing is concerned with valuation of derivative§contracts with complex payoffs, dependent on tradable§assets. §The first part of the book deals with realistic§problems of portfolio optimization. Thereby, the§expected outcome of a utility function under§constraints is maximised. For instance, the portfolio§is optimized with fixed income and consumption§constraints. The borrower rates of an investor depend§on his debt-ratio, but usually they are assumed to be§debt-independent. The author shows, how debt-ratio§dependent borrower rates can be incorporated into§portfolio optimization and how they affect the§optimal trading strategy. In the second part of the§book, some efficient methods to price Asian and§average options are introduced. §This book is adressed to quantitative researchers and§portfolio managers in insurance companies and§investment banks, as well as students of economics§and financial mathematics.

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Portfolio Optimization and Option Pricing

Selected Problems and Efficient Methods

Informácie o knihe

Kompletný popis

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Zákazníci, ktorí si kúpili túto knihu, kúpili tiež