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Mathematical Finance

Mathematical Finance


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About the Book

Part I.- Stochastic Calculus.- Overview.- Discrete Stochastic Calculus.- Lévy Processes.- Stochastic Integration.- Semimartingale Characteristics.- Markov Processes.- Affine and Polynomial Processes.- Optimal Control.- Mathematical Finance.- Overview and Notation.- Equity models.- Markets, Strategies, Arbitrage.- Optimal Investment.- Arbitrage-Based Valuation and Hedging of Derivatives.- Mean-Variance Hedging.- Utility-Based Valuation and Hedging of Derivatives.- Interest Rate Models.


About the Author:

Ernst Eberlein is professor emeritus at the University of Freiburg. After studying mathematics and physics at the universities of Erlangen and Paris, he received a Dr. rer. nat. at the University of Erlangen-Nürnberg and his habilitation in mathematics from ETH Zürich. For a period of ten years he served as Executive Secretary of the Bachelier Finance Society. From 2006 to 2013 he acted as co-editor of the journal Mathematical Finance.

Jan Kallsen is professor of mathematics at Kiel University. Having studied Mathematics and Physics in Kiel, Freiburg, Boston and Vienna, he received a Dr. rer. nat. and his habilitation from the University of Freiburg. Before coming to Kiel he held a position as professor of Mathematical Finance at the Technical University of Munich.



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Product Details
  • ISBN-13: 9783030261085
  • Publisher: Springer International Publishing
  • Publisher Imprint: Springer
  • Height: 234 mm
  • No of Pages: 772
  • Series Title: Springer Finance
  • Weight: 1137 gr
  • ISBN-10: 3030261085
  • Publisher Date: 21 Dec 2020
  • Binding: Paperback
  • Language: English
  • Returnable: Y
  • Spine Width: 40 mm
  • Width: 156 mm


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