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Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics
About this Title
Ralf Korn, University of Kaiserslautern, Germany and Elke Korn, University of Kaiserslautern, Germany. Translated by Ralf Korn, University of Kaiserslautern, Germany
Publication: Graduate Studies in Mathematics
Publication Year:
2001; Volume 31
ISBNs: 978-0-8218-2123-7 (print); 978-1-4704-2085-7 (online)
DOI: https://doi.org/10.1090/gsm/031
MathSciNet review: MR1802499
MSC: Primary 91-02; Secondary 91B28
Table of Contents
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Front/Back Matter
Chapters
- Chapter 1. The mean-variance approach in a one-period model
- Chapter 2. The continuous-time market model
- Chapter 3. Option pricing
- Chapter 4. Pricing of exotic options and numerical algorithms
- Chapter 5. Optimal portfolios