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Springer Finance Textbooks

Financial Modeling

A Backward Stochastic Differential Equations Perspective

Crepey, Stephane

Financial Modeling

Springer Finance Textbooks

Financial Modeling

A Backward Stochastic Differential Equations Perspective

Springer Finance Textbooks: Financial Modeling

 

Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis.


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Beschrijving Springer Finance Textbooks: Financial Modeling

This book examines financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes as well as a review of quantitative finance tools.


ISBN
9783642371127
Pagina's
459
Verschenen
Serie
Springer Finance Textbooks
NUR
910
Druk
1
Uitvoering
Hardback
Taal
Engels
Uitgever
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

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