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Calcolo Stocastico Per La Finanza

Calcolo Stocastico Per La Finanza

          
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About the Book

Questo testo offre un'introduzione ai metodi matematici, probabilistici e numerici utilizzati nel settore della finanza che si occupa della valutazione degli strumenti derivati. Il libro fornisce un'esposizione accessibile ad un lettore che abbia una formazione matematica di base. Con lo scopo di ridurre il formalismo, il testo introduce rapidamente i concetti fondamentali senza rinunciare al rigore matematico. La prima parte del volume contiene un'introduzione agli elementi di probabilità e una presentazione della teoria della valutazione nell'ambito dei mercati discreti. Vengono in particolare illustrati con dimostrazione i teoremi fondamentali della valutazione, i modelli binomiale e trinomiale e vengono accennati alcuni approcci al problema della valutazione in mercati incompleti. Nella seconda parte viene sviluppata in dettaglio la teoria dell'integrazione e del calcolo stocastico. Il classico modello di Black&Scholes è presentato inizialmente in ambito Markoviano con un approccio basato sulle equazioni alle derivate parziali. Successivamente, dopo aver trattato il teorema di Girsanov, la valutazione d'arbitraggio viene rivisitata nell'ottica della teoria delle martingale. Di seguito viene approfondita la teoria delle equazioni differenziali stocastiche mettendo particolare enfasi sui legami con le equazioni alle derivate parziali paraboliche, eventualmente degeneri. Gli strumenti introdotti vengono utilizzati nella discussione di alcuni recenti modelli per la volatilità che generalizzano l'analisi classica di Black&Scholes. L'ultima parte del testo è dedicata alla descrizione dei classici metodi numerici utilizzati nella valutazione dei derivati: metodo Monte Carlo, alberi binomiali e schemi alle differenze finite.


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Product Details
  • ISBN-13: 9788847006003
  • Publisher: Springer
  • Publisher Imprint: Springer
  • Edition: 2008 ed.
  • Language: Italian
  • Returnable: Y
  • Spine Width: 26 mm
  • Width: 161 mm
  • ISBN-10: 8847006007
  • Publisher Date: 19 Dec 2007
  • Binding: Paperback
  • Height: 234 mm
  • No of Pages: 514
  • Series Title: Unitext: La Matematica Per il 3+2
  • Weight: 747 gr


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