Financial mathematics. Options and risks, probabilities, guarantees and chaos
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The manual is devoted to the most difficult issues related to the calculation of options depending on the level of a priori uncertainty. A probabilistic, guaranteed approaches to the calculations of options, models of determined chaos, identification of models and their stochastic laws are considered. The possible approaches to a decrease in a priori uncertainty in the models of price evolution using the R. Kalman filter algorithm, guaranteed assessment algorithms and deterministic chaos models.
For statistically vague situations, a market model has been built and a solution to the problem of maintaining the effectiveness of the portfolio at the time interval is made. Considers of evolution in the form of models of dynamic chaos are considered.
The manual is intended for students" Applied Mathematics, "Applied Mathematics and Informatics"," Mathematical Methods in the Economics", and teachers of economic and financial specialties of universities. It will also be useful to students and a wide range of specialists of financial institutions using financial computing in their work
For statistically vague situations, a market model has been built and a solution to the problem of maintaining the effectiveness of the portfolio at the time interval is made. Considers of evolution in the form of models of dynamic chaos are considered.
The manual is intended for students" Applied Mathematics, "Applied Mathematics and Informatics"," Mathematical Methods in the Economics", and teachers of economic and financial specialties of universities. It will also be useful to students and a wide range of specialists of financial institutions using financial computing in their work
Author:
Author:Ширяев В.И.
Cover:
Cover:Soft
Category:
- Category:Arts & Photography
- Category:Business & Money
- Category:Social Science & Politics
Publication language:
Publication Language:Russian
Paper:
Paper:printing
ISBN:
ISBN:978-5-9519-3609-7
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