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Moderne Finanzmathematik - Theorie Und Praktische Anwendung: Band 1 - Optionsbewertung Und Portfolio-Optimierung
Paperback
Series: Studienbücher Wirtschaftsmathematik
EconomicsInvesting & FinanceGeneral Mathematics
ISBN13: 9783658041267
Publisher: Springer Spektrum
Published: Aug 29 2014
Pages: 323
Weight: 1.21
Height: 0.72 Width: 6.69 Depth: 9.61
Language: German
Das Lehrbuch gibt eine Einführung in typische Aufgabenstellungen der modernen Finanzmathematik. Dabei werden im einfachen zeitdiskreten Rahmen die wichtigsten finanzmathematischen Prinzipien (Arbitrage, Duplikation, Diversifikation) und Resultate (Fundamentalsätze der Optionsbewertung) vorgestellt, ohne dass bereits die Methoden der zeitstetigen Marktmodelle benötigt werden.
Aufbauend auf der zeitstetigen Modellierung von Finanzmärkten werden dann die Probleme der Optionsbewertung (insbesondere die Black-Scholes-Formel) und der Portfolio-Optimierung (Optimale Investmentstrategien) behandelt. Die benötigten mathematischen Werkzeuge (wie Brownsche Bewegung, Martingaltheorie, Itô-Kalkül, stochastische Steuerung) werden in selbständigen Exkursen bereitgestellt.
Direkte Beziehungen zur Anwendung in der Praxis der Finanzindustrie werden in einleitenden Abschnitten, durch die Vorstellung populärer Handels- und Garantiestrategien sowie zahlreicher numerischer Verfahren zur Bewertung exotischer Optionen hergestellt.
Das Buch eignet sich als Grundlage einer Vorlesung, die sich an einen Grundkurs in Stochastik anschlie t. Es richtet sich an Studierende der Mathematik und der Finanzwirtschaft sowie an Praktiker in Banken und Versicherungen.
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