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Mathematical Techniques in Finance

Tools for Incomplete Markets

Mathematical Techniques in Finance by Ales Cerný
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Originally published in 2003, Mathematical Techniques in Finance has become a standard textbook for master's-level finance courses containing a significant quantitative element while also being suitable for finance PhD students. This fully revised second edition continues to offer a carefully crafted blend of numerical applications and theoretical grounding in economics, finance, and mathematics, and provides plenty of opportunities for students to practice applied mathematics and cutting-edge finance. Ales Cerný mixes tools from calculus, linear algebra, probability theory, numerical mathematics, and programming to analyze in an accessible way some of the most intriguing problems in financial economics. The textbook is the perfect hands-on introduction to asset pricing, optimal portfolio selection, risk measurement, and investment evaluation.

The new edition includes the most recent research in the area of incomplete markets and unhedgeable risks, adds a chapter on finite difference methods, and thoroughly updates all bibliographic references. Eighty figures, over seventy examples, twenty-five simple ready-to-run computer programs, and several spreadsheets enhance the learning experience. All computer codes have been rewritten using MATLAB and online supplementary materials have been completely updated.

  • A standard textbook for graduate finance courses
  • Introduction to asset pricing, portfolio selection, risk measurement, and investment evaluation
  • Detailed examples and MATLAB codes integrated throughout the text
  • Exercises and summaries of main points conclude each chapter
Princeton University Press; July 2009
416 pages; ISBN 9781400831487
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Title: Mathematical Techniques in Finance
Author: Ales Cerný