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Mathematics in Finance
 
Edited by: Santiago Carrillo Menéndez Universidad Autónoma de Madrid, Madrid, Spain
José Luis Fernández Pérez Universidad Autónoma de Madrid, Madrid, Spain
Mathematics in Finance
Softcover ISBN:  978-0-8218-4673-5
Product Code:  CONM/515
List Price: $130.00
MAA Member Price: $117.00
AMS Member Price: $104.00
eBook ISBN:  978-0-8218-8194-1
Product Code:  CONM/515.E
List Price: $125.00
MAA Member Price: $112.50
AMS Member Price: $100.00
Softcover ISBN:  978-0-8218-4673-5
eBook: ISBN:  978-0-8218-8194-1
Product Code:  CONM/515.B
List Price: $255.00 $192.50
MAA Member Price: $229.50 $173.25
AMS Member Price: $204.00 $154.00
Mathematics in Finance
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Mathematics in Finance
Edited by: Santiago Carrillo Menéndez Universidad Autónoma de Madrid, Madrid, Spain
José Luis Fernández Pérez Universidad Autónoma de Madrid, Madrid, Spain
Softcover ISBN:  978-0-8218-4673-5
Product Code:  CONM/515
List Price: $130.00
MAA Member Price: $117.00
AMS Member Price: $104.00
eBook ISBN:  978-0-8218-8194-1
Product Code:  CONM/515.E
List Price: $125.00
MAA Member Price: $112.50
AMS Member Price: $100.00
Softcover ISBN:  978-0-8218-4673-5
eBook ISBN:  978-0-8218-8194-1
Product Code:  CONM/515.B
List Price: $255.00 $192.50
MAA Member Price: $229.50 $173.25
AMS Member Price: $204.00 $154.00
  • Book Details
     
     
    Contemporary Mathematics
    Volume: 5152010; 146 pp
    MSC: Primary 91; 65; 60;

    This volume contains survey papers on mathematical finance based on some courses given at the “Lluís Santaló” Summer School of the Real Sociedad Matemática Española, held in July 2007 at the Universidad Internacional Menéndez Pelayo, Santander (Spain). The primary topics are pathwise approximations of stochastic differential equations, Hedge funds, and credit derivatives.

    The paper by L. Seco and F. Chen provides a systematic survey of hedge funds from a rigorous mathematical point of view. The related paper by M. Escobar, S. Krämer, F. Scheibl, L. Seco and R. Zagst introduces a new theoretical framework for the pricing of hedge funds' equity, inspired by the framework of Black and Cox for the valuation of company equity as a call option.

    A general framework for deriving high order, stable and tractable path-wise approximations of Stratonovich stochastic differential equations as applied to finance is the subject of the paper of L. G. Gyurkó and T. Lyons.

    The paper by R. Zagst and M. Scherer is a short course on the different approaches used for pricing, hedging and risk management of credit derivatives.

    Researchers and practitioners in mathematical finance will find in this book a collection of excellent, up-to-date and mathematically rigorous presentations of some of the most advanced techniques for pricing and risk management.

    This book is published in cooperation with Real Sociedád Matematica Española.
    Readership

    Graduate students and research mathematicians interested in mathematical finance.

  • Table of Contents
     
     
    • Articles
    • Marcos Escobar, Stefan Krämer, Florian Scheibl, Luis Seco and Rudi Zagst — Hedge funds as knock-out options [ MR 2664767 ]
    • Lajos Gergely Gyurkó and Terry Lyons — Rough paths based numerical algorithms in computational finance [ MR 2664768 ]
    • Luis A. Seco and Fangyuan Chen — Hedge funds [ MR 2664769 ]
    • Rudi Zagst and Matthias Scherer — Modeling and pricing credit derivatives [ MR 2664770 ]
  • Additional Material
     
     
  • Requests
     
     
    Review Copy – for publishers of book reviews
    Permission – for use of book, eBook, or Journal content
    Accessibility – to request an alternate format of an AMS title
Volume: 5152010; 146 pp
MSC: Primary 91; 65; 60;

This volume contains survey papers on mathematical finance based on some courses given at the “Lluís Santaló” Summer School of the Real Sociedad Matemática Española, held in July 2007 at the Universidad Internacional Menéndez Pelayo, Santander (Spain). The primary topics are pathwise approximations of stochastic differential equations, Hedge funds, and credit derivatives.

The paper by L. Seco and F. Chen provides a systematic survey of hedge funds from a rigorous mathematical point of view. The related paper by M. Escobar, S. Krämer, F. Scheibl, L. Seco and R. Zagst introduces a new theoretical framework for the pricing of hedge funds' equity, inspired by the framework of Black and Cox for the valuation of company equity as a call option.

A general framework for deriving high order, stable and tractable path-wise approximations of Stratonovich stochastic differential equations as applied to finance is the subject of the paper of L. G. Gyurkó and T. Lyons.

The paper by R. Zagst and M. Scherer is a short course on the different approaches used for pricing, hedging and risk management of credit derivatives.

Researchers and practitioners in mathematical finance will find in this book a collection of excellent, up-to-date and mathematically rigorous presentations of some of the most advanced techniques for pricing and risk management.

This book is published in cooperation with Real Sociedád Matematica Española.
Readership

Graduate students and research mathematicians interested in mathematical finance.

  • Articles
  • Marcos Escobar, Stefan Krämer, Florian Scheibl, Luis Seco and Rudi Zagst — Hedge funds as knock-out options [ MR 2664767 ]
  • Lajos Gergely Gyurkó and Terry Lyons — Rough paths based numerical algorithms in computational finance [ MR 2664768 ]
  • Luis A. Seco and Fangyuan Chen — Hedge funds [ MR 2664769 ]
  • Rudi Zagst and Matthias Scherer — Modeling and pricing credit derivatives [ MR 2664770 ]
Review Copy – for publishers of book reviews
Permission – for use of book, eBook, or Journal content
Accessibility – to request an alternate format of an AMS title
Please select which format for which you are requesting permissions.