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1.

図書
図書
1. Continuous-time stochastic control and optimization with financial applications (: pbk)
Huyên Pham
出版情報: Berlin : Springer, c2009  xvii, 232 p. ; 24 cm
シリーズ名: Stochastic modelling and applied probability ; 61
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2.

図書
図書
2. Mathematics for finance : an introduction to financial engineering (: pbk)
Marek Capiński and Tomasz Zastawniak
出版情報: London : Springer, c2003  x, 310 p. ; 24 cm
シリーズ名: Springer undergraduate mathematics series
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目次情報: 続きを見る
Introduction: A Simple Market Model
Risk-Free Assets
Risky Assets
Discrete Time Market Models
Portfolio Management
Forward and Futures Contracts
Options: General Properties
Option Pricing
Financial Engineering
Variable Interest Rates
Stochastic Interest Rates
Solutions
Bibliography
Glossary of Symbols
Index
Introduction: A Simple Market Model
Risk-Free Assets
Risky Assets
3.

図書
図書
3. Exponential functionals of Brownian motion and related processes
Marc Yor
出版情報: Berlin : Springer, c2001  vii, 203 p. ; 24 cm
シリーズ名: Springer finance
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On certain exponential functions of real Brownian motion
On Some Exponential Functionals of Brownian Motion
Some relations between Bessel processes
Asian options and confluent hypergeometric functions
The laws of exponential functions of Brownian motion, taken at various random times
Bessel Processes
Asian option and perpetuities
Further Results on Exponential Functionals of Brownian Motion
From Planar Brownian Windings to Asian Options
On exponential functions of certain Levy processes
On Some Exponential-Integral Functionals of Bessel Processes
Exponential Functionals of Brownian Motion and Disordered Systems
On certain exponential functions of real Brownian motion
On Some Exponential Functionals of Brownian Motion
Some relations between Bessel processes
4.

図書
図書
4. Stochastic calculus and financial applications (: hard ; : pbk)
J. Michael Steele
出版情報: New York, N.Y. ; Tokyo : Springer-Verlag, c2001, 2010  ix, 300 p. ; 25 cm
シリーズ名: Applications of mathematics ; 45
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Random Walk and First Step Analysis
First Martingale Steps
Brownian Motion
Martingale--Next Steps
Richness of Paths
It+' Integration
Localization and It+'s Integral
It+'s Formula
Stochastic Differential Equations
Arbitrage and SDE's
The Diffusion Equation
Representation Theorems
Girsanov Theory
Arbitrage and Martingales
The Feynman-Kac Connection
Random Walk and First Step Analysis
First Martingale Steps
Brownian Motion
5.

図書
図書
5. Modelling extremal events for insurance and finance. 4th corr. print. and 8th print (: alk. paper)
Paul Embrechts, Claudia Klüppelberg, Thomas Mikosch
出版情報: Berlin : Springer, 2008  xv, 648 p. ; 24 cm
シリーズ名: Stochastic modelling and applied probability ; 33
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6.

図書
図書
6. C++ design patterns and derivatives pricing. 2nd ed (: pbk)
M.S. Joshi
出版情報: Cambridge, UK ; New York : Cambridge University Press, 2008  xvi, 292 p. ; 25 cm
シリーズ名: Mathematics, finance, and risk / editorial board, Mark Broadie ... [et al.]
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目次情報: 続きを見る
Preface
A simple Monte Carlo model / 1：
Encapsulation / 2：
Inheritance and virtual functions / 3：
Bridging with a virtual constructor / 4：
Strategies, decoration and statistics / 5：
A random numbers class / 6：
An exotics engine and the template pattern / 7：
Trees / 8：
Solvers, templates and implied volatilities / 9：
The factory / 10：
Design patterns revisited / 11：
The situation in 2007 / 12：
Exceptions / 13：
Templatizing the factory / 14：
Interfacing with EXCEL / 15：
Decoupling / 16：
Black-Scholes formulas / A：
Distribution functions / B：
A simple array class / C：
The code / D：
Bibliography
Index
Preface
A simple Monte Carlo model / 1：
Encapsulation / 2：
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