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Quantitative finance : its development, mathematical foundations, and current scope /

by Epps, T. W.
Published by : Wiley, (Hoboken, N.J. :) Physical details: xviii, 401 p. : ill. ; 25 cm. ISBN: 0470431997 Subject(s): Finance %Mathematical models. | Investments %Mathematical models. Year: 2009
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Item type Location Call Number Status Notes Date Due
Book Book AUM Main Library 332.015195 E644 (Browse Shelf) Available JBC/2012/6152

Includes bibliographical references (p. 391-395) and index.

Introduction and overview -- Tools from calculus and analysis -- Probability -- Interest and bond prices -- Models of portfolio choice -- Prices in a mean-variance world -- Rational decisions under risk -- Observed decisions under risk -- Distributions of returns -- Dynamics of prices and returns -- Stochastic calculus -- Portfolio decisions over time -- Optimal growth -- Dynamic models for prices -- Efficient markets -- Static arbitrage pricing -- Dunamic arbitrage pricing -- Properties of option prices -- Martingale pricing -- Modeling volatility -- Discontinuous price processes -- Options on jump processes -- Options on stochastic volatility processes.

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