Kód: 14644302
These lecture notes are based on a graduate course given for several years at Vilnius University as part of the master program Financial and Actuarial Mathematics. They are intended to give a short introduction to continuous-time ... celý popis
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These lecture notes are based on a graduate course given for several years at Vilnius University as part of the master program Financial and Actuarial Mathematics. They are intended to give a short introduction to continuous-time financial models including Black--Scholes and interest rate models. Some basic knowledge of stochastic integration and differential equations theory is preferable, although, formally, all the preliminary information is given in part 1 of the lecture notes. About continuous-time stochastic models of financial mathematicsBlack-Sholes model and interest rate modelsRequiring a minimum knowledge of stochastic integration and stochastic differential equations
Zařazení knihy Knihy v angličtině Mathematics & science Mathematics Optimization
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