„This charming book is intermediary between more advancedfinancial/investment mathematics books and introductory material. In addition, it provides simultaneously mathematical rigor andpracticality.“ (International Statistical Review, April2009)
„This charming book is intermediary between more advancedfinancial/investment mathematics books and introductorymaterial. In addition, it provides simultaneouslymathematical rigor and practicality.“ (International StatisticalReview, April 2009)
„Mathematical Asset Management is an excellent book forcourse in mathematical finance, actuarial mathematics, financialderivatives, and financial engineering at the upper-undergraduateand graduate levels. It is also valuable reference forpractioners in the banking, insurance, and asset managementindustries.“ (Mathematical Reviews, 2009c)
Mathematical Asset Management
von Thomas HöglundA practical approach to the mathematical tools needed to increaseportfolio growth, learn successful trading strategies, and managethe risks associated with market fluctuation
Mathematical Asset Management presents an accessible andpractical introduction to financial derivatives and portfolioselection while also acting as a basis for further study inmathematical finance.
Assuming a fundamental background in calculus, real analysis, and linear algebra, the book uses mathematical tools only as neededand provides comprehensive, yet concise, coverage of varioustopics, such as:
* Interest rates and the connection between present value andarbitrage
* Financial instruments beyond bonds that serve as building blocksfor portfolios
* Trading strategies and risk performance measures
* Stochastic properties of stock prices
* The difference between expected return and expected growth andthe geometric Brownian motion
* Diversification through the creation of optimal portfolios undervarious constraints
* The use of the Capital Asset Pricing Model to accuratelyestimate the difference between the return of the market and theshort rate
To further demonstrate the reality of the discussed concepts, the author analyzes five active stocks over a four-year period andhighlights the different methods and portfolios that exist intoday's economic world. Exercises are also provided throughout thetext, along with the solutions, allowing readers to measure theirunderstanding of presented techniques as well as see how themethods work in real life.
Mathematical Asset Management is an excellent book for coursesin mathematical finance, actuarial mathematics, financialderivatives, and financial engineering at the upper-undergraduateand graduate levels. It is also a valuable reference forpractitioners in banking, insurance, and asset managementindustries.
Mathematical Asset Management presents an accessible andpractical introduction to financial derivatives and portfolioselection while also acting as a basis for further study inmathematical finance.
Assuming a fundamental background in calculus, real analysis, and linear algebra, the book uses mathematical tools only as neededand provides comprehensive, yet concise, coverage of varioustopics, such as:
* Interest rates and the connection between present value andarbitrage
* Financial instruments beyond bonds that serve as building blocksfor portfolios
* Trading strategies and risk performance measures
* Stochastic properties of stock prices
* The difference between expected return and expected growth andthe geometric Brownian motion
* Diversification through the creation of optimal portfolios undervarious constraints
* The use of the Capital Asset Pricing Model to accuratelyestimate the difference between the return of the market and theshort rate
To further demonstrate the reality of the discussed concepts, the author analyzes five active stocks over a four-year period andhighlights the different methods and portfolios that exist intoday's economic world. Exercises are also provided throughout thetext, along with the solutions, allowing readers to measure theirunderstanding of presented techniques as well as see how themethods work in real life.
Mathematical Asset Management is an excellent book for coursesin mathematical finance, actuarial mathematics, financialderivatives, and financial engineering at the upper-undergraduateand graduate levels. It is also a valuable reference forpractitioners in banking, insurance, and asset managementindustries.
