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Optionsbewertung und Portfolio-Optimierung

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Springer Nature
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9783528169824
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Product Description

Es werden die typischen Aufgabenstellungen der zeitstetigen Modellierung von Finanzmrkten wie Optionsbewertung (insbesondere auch die Black-Scholes-Formel und zugehrige Varianten) und Portfolio-Optimierung (Bestimmen optimaler Investmentstrategien) behandelt. Die bentigten mathematischen Werkzeuge (wie z. B. Brownsche Bewegung, Martingaltheorie, Ito-Kalkl, stochastische Steuerung) werden in selbstndigen Exkursen bereitgestellt. Das Buch eignet sich als Grundlage einer Vorlesung, die sich an einen Grundkurs in Stochastik anschliet. Nach der positiven Resonanz auf die 1. Auflage wurde der Text durchgesehen und weiter verbessert.

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