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 Portfolio Optimization and Option Pricing. Selected Problems and Efficient Methods
Наименование:

Portfolio Optimization and Option Pricing. Selected Problems and Efficient Methods

автор Martin K. издательство Книга по Требованию Математический анализ. Кратные и криволинейные интегралы. Задачи, решения
Cтраниц 184        мягкая обложка       
Аннотация:This book is adressed to quantitative researchers and portfolio managers in insurance companies and investment banks, as well as students of economics and financial mathematics. The borrower rates of an investor depend on his debt-ratio, but usually they are assumed to be debt-independent. Thereby, the expected outcome of a utility function under constraints is maximised. The main two areas of financial mathematics are portfolio optimization and option pricing. In the second part of the book, some efficient methods to price Asian and average options are introduced. For instance, the portfolio is optimized with fixed income and consumption constraints. The first part of the book deals with realistic problems of portfolio optimization. Portfolio optimization deals with the determination of the best investment strategy under certain constraints (e. g. risk, liquidity or budget constraints). The author shows, how debt-ratio dependent borrower rates can be incorporated into portfolio optimization and how they affect the optimal trading strategy. Option pricing is concerned with valuation of derivative contracts with complex payoffs, dependent on tradable assets.
Автор: Martin K.
Издательство: Книга по Требованию
Год:2010
Цена:
2746 руб
Нет в наличии
Поиск: Portfolio Optimization and Option Pricing. Selected Problems and Efficient Methods
НОВЫЙ ГОД СИМВОЛ 2013 ГОДАУКРАШЕНИЯ
КАРНАВАЛ НА НОВЫЙ ГОД РАСПРОДАЖА
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