Teaching GuideTerm Faculty of Computer Science |
Mestrado Universitario en Matemática Industrial (2013) |
Asignaturas |
Modelos matemáticos nas finanzas |
Fontes de información |
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Datos Identificativos | 2014/15 | |||||||||||||
Asignatura | Modelos matemáticos nas finanzas | Código | 614855211 | |||||||||||
Titulación |
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Descriptores | Ciclo | Período | Curso | Tipo | Créditos | |||||||||
Mestrado Oficial | 2º cuadrimestre |
Primeiro | Optativa | 6 | ||||||||||
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Bibliografía básica |
C. Vázquez (2010). An introduction to Black-Scholes modeling and numerical methods in derivatives pricing. MAT Serie A D. Brigo, M. Morini, A.Pallavicini (2013). Counterparty credit risk, collateral and funding. Wiley Financial Series J. Gregory (2010). Counterparty credit risk: the new challenge for global financial markets. Wiley Financial Series T.Mikosch (1998). Elementary Stochastic Calculus with Finance in View. World Scientific, (Singapur) P.G.Zhang (1998). Exotic Options, A guide to second generation option. World Scientific (Singapur) K.Dowd (2005). Measuring market risk. Wiley Financial Series P.Wilmott, S.Howison, J.Dewynne (1996). Option Pricing: Mathematical Models and Computation. Oxford Financial Press J.C.Hull (2000). Options, Futures and Other Derivatives. Prentice-Hall Inc., (New Jersey) A. Pascucci (2011). PDE and martingale methods in option pricing. Bocconi University Press, Springer P.Wilmott, S.Howison, J.Dewynne (1996). The mathematics of Financial Derivatives, A Student Introduction. Cambridge University Press R.Seydel (2007). Tools for Computational Finance. Universiteitext, Springer-Verlag |
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Bibliografía complementaria | |
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