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Image for Optionsbewertung und Portfolio-Optimierung: Moderne Methoden der Finanzmathematik
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Optionsbewertung und Portfolio-Optimierung: Moderne Methoden der Finanzmathematik

Korn, Elke, Korn, Ralf
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Der Erwartungswert-Varianz-Ansatz nach Markowitz - Das zeitstetige Marktmodell (Wertpapierpreise, vollstandige Markte, Ito-Integral und Ito-Formel, Variation der Konstanten, Martingaldarstellungsatz) - Das Optionsbewertungsproblem (Duplikationsprinzip, Satz von Girsanov, Darstellungssatz von Feynman und Kac) - Das Portfolio-Problem in stetiger Zeit (Martingalmethode, HJB-Gleichung, stochastische Steuerung)

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Product Details
Vieweg+Teubner Verlag
332296888X / 9783322968883
eBook (Adobe Pdf)
09/03/2013
Germany
1 pages
Copy: 10%; print: 10%
PBUD Game theory
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