The Mathematics of financial modeling and investment management

Deskripsi

The Mathematics of Financial Modeling and Investment Management introduces the reader to the key mathematical techniques used in todays financial world, namely matrix algebra, calculus, ordinary differential equations, probability theory, stochastic calculus, time series analysis, and optimization. Using a wealth of real-world examples, Focardi and Fabozzi present the theories and techniques that are at the forefront of modern research, including fat tailed distributions, scaling laws, extreme value theory, and contagion in a multi-agent environment. Filled with in-depth insight and expert advice, this book clearly ties together financial theory and mathematical techniques.