Mathematical asset management / Thomas Höglund.
"This book serves as an introduction to financial derivatives and portfolio selection, and also acts as a basis for more advanced study of these topics. The chapter organization is logical, and provides comprehensive, yet concise, coverage of: interest rates; financial instruments that serve as...
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| Main Author: | |
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| Format: | Book |
| Language: | English |
| Published: |
Hoboken, N.J. :
Wiley-Interscience,
[2008]
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| Subjects: | |
| Online Access: | Contributor biographical information |
| Summary: | "This book serves as an introduction to financial derivatives and portfolio selection, and also acts as a basis for more advanced study of these topics. The chapter organization is logical, and provides comprehensive, yet concise, coverage of: interest rates; financial instruments that serve as building blocks for portfolios; trading strategies and the importance of estimating the volatility and covariances of returns; stochastic properties of stock prices, the difference between expected return and expected growth (drift), and the geometric Brownian motion; trading strategies with clock time horizon featuring direct derivation; diversification featuring optimal portfolios under various constraints; covariation with the market utilizing the Capital Asset Pricing Model; risk and performance measures; and the simplified covariation structure."--Publisher description. |
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| Physical Description: | x, 222 pages : illustrations ; 24 cm |
| Bibliography: | Includes bibliographical references (pages 217-218) and index. |
| ISBN: | 0470232870 9780470232873 |