Portfolio Management in Continuous Time
Numerical Applications in R and Python
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Product details:
- Publisher Springer Nature Switzerland
- Date of Publication 13 July 2026
- Number of Volumes 1 pieces, Book
- ISBN 9783031999093
- Binding Paperback
- No. of pages153 pages
- Size 235x155 mm
- Language English
- Illustrations XI, 153 p. 154 illus., 59 illus. in color. Illustrations, black & white 700
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Long description:
This textbook covers essential topics in quantitative finance, including stochastic calculus, portfolio optimization (static and dynamic), and risk-neutral pricing. Combining financial theory with real-world applications, the book presents a step-by-step guide to modelling financial data in continuous time using R and Python. The side-by-side presentation of the two software languages allows readers to grasp the similarities and differences between the two codes, while guiding them through models calibrated with actual market data that illustrate the quantitative characteristics of optimal portfolios.
Reinforced with pedagogical features including accompanying online datasets and numerical exercises to understand stochastic processes, this textbook will be a valuable resource for postgraduate students on corporate finance, quantitative finance, portfolio and investment management, risk management and actuarial courses, as well as finance professionals undertaking quantitative modelling.
MoreTable of Contents:
Chapter 1: Introduction.- Chapter 2: Stochastic processes.- Chapter 3: Loading External Data.- Chapter 4: Simulation of Stochastic Processes.- Chapter 5: Estimation of Stochastic Process Parameters and Future Prediction.- Chapter 6: The Poisson Process.- Chapter7: Mean-Reverting Processes.- Chapter 8: Modeling a Diffusion Financial Market.- Chapter 9: The (Instantaneously) Optimal Portfolio.- Chapter 10: Asset Pricing.- Chapter 11: The Dynamically Optimal Portfolio.
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