发帖
雷达卡
Financial Modeling A Backward Stochastic Differential Equations Perspective(Crepey).pdf
(6.79 MB, 需要: 5 个论坛币)
Financial Modeling -
2013 Edition
This is a book on financial modeling that emphasizes computational aspects. It gives
a unified perspective on derivative pricing and hedging across asset classes and is
addressed to all those who are interested in applications of mathematics to finance:
students, quants and academics.
The book features backward stochastic differential equations (BSDEs), which
are an attractive alternative to the more familiar partial differential equations (PDEs)
for representing prices and Greeks of financial derivatives. First, BSDEs offer the
most unified setup for presenting the financial derivatives pricing and hedging theory
(as reflected by the relative compactness of the book, given its rather wide scope).
Second, BSDEs are a technically very flexible and powerful mathematical tool for
elaborating the theory with all the required mathematical rigor and proofs. Third,
BSDEs are also useful for the numerical solution of high-dimensional nonlinear
pricing problems such as the nonlinear CVA and funding issues which have become
important since the great crisis [30, 80, 81].
京公网安备 11010802022788号
