×


 x 

Shopping cart
Crepey  Stephane - Financial Modeling - 9783642371127 - V9783642371127
Stock image for illustration purposes only - book cover, edition or condition may vary.

Financial Modeling

€ 102.91
FREE Delivery in Ireland
Description for Financial Modeling Hardcover. This book examines financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes as well as a review of quantitative finance tools. Series: Springer Finance / Springer Finance Textbooks. Num Pages: 478 pages, biography. BIC Classification: KFF; PBKJ. Category: (P) Professional & Vocational. Dimension: 242 x 165 x 31. Weight in Grams: 850.

Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. Although BSDEs are well known to academics, they are less familiar to practitioners in the financial industry. In order to fill this gap, this book revisits financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes. It also contains a review of quantitative finance tools, including Fourier ... Read more

Stéphane Crépey’s  book starts with a few chapters on classical stochastic processes material, and then... fasten your seatbelt... the author starts traveling backwards in time through backward stochastic differential equations (BSDEs). This does not mean that one has to read the book backwards, like a manga! Rather, the possibility to move backwards in time, even if from a variety of final scenarios following a probability law, opens a multitude of possibilities for all those pricing problems whose solution is not a straightforward expectation. For example, this allows for framing problems like pricing with credit and funding costs in a rigorous mathematical setup. This is, as far as I know, the first book written for several levels of audiences, with applications to financial modeling and using BSDEs as one of the main tools, and as the song says: "it's never as good as the first time".

Damiano Brigo, Chair of Mathematical Finance, Imperial College London

While the classical theory of arbitrage free pricinghas matured, and is now well understood and used by the finance industry, the theory of BSDEs continues to enjoy a rapid growth and remains a domain restricted to academic researchers and a handful of practitioners. Crépey’s book presents this novel approach to a wider community of researchers involved in mathematical modeling in finance. It is clearly an essential reference for anyone interested in the latest developments in financial mathematics.      

Marek Musiela, Deputy Director of the Oxford-Man Institute of Quantitative Finance

Show Less

Product Details

Format
Hardback
Publication date
2013
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
415
Condition
New
Number of Pages
459
Place of Publication
Berlin, Germany
ISBN
9783642371127
SKU
V9783642371127
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15

Reviews for Financial Modeling

Goodreads reviews for Financial Modeling


Subscribe to our newsletter

News on special offers, signed editions & more!