Financial Mathematics – serie
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2 produkter
Rough Volatility
Av Christian Bayer, Peter K. Friz m. fl.
Häftad, 2024
1034 kr
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Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with consequent scaling properties. This mathematical description has been an active topic of research for decades, however, …
Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications
Av René Carmona
Häftad, 2016
1131 kr
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The goal of this textbook is to introduce students to the stochastic analysis tools that play an increasing role in the probabilistic approach to optimization problems, including stochastic control and stochastic differential games. While optimal control is taught in many graduate programs in …
