Stochastic Models of Financial Mathematics

This book presents a short introduction to continuous-time financial models. An overview of the basics of stochastic analysis precedes a focus on the Black-Scholes and interest rate models. Other topics covered include self-financing strategies, option pricing, exotic options and risk-neutral probabilities. Vasicek, Cox-Ingersoll-Ross, and Heath-Jarrow-Morton interest rate models are also explored. The author presents practitioners with a basic introduction, with more rigorous information provided for mathematicians. The reader is assumed to be familiar with the basics of probability theory. Some basic knowledge of stochastic integration and differential equations theory is preferable, although all preliminary information is given in the first part of the book. Some relatively simple theoretical exercises are also provided. About continuous-time stochastic models of financial mathematics Black-Sholes model and interest rate models Requiring a minimum knowledge of stochastic integration and stochastic differential equations

Produk Detail:

  • Author : Vigirdas Mackevicius
  • Publisher : Elsevier
  • Pages : 130 pages
  • ISBN : 0081020864
  • Rating : 4/5 from 21 reviews
CLICK HERE TO GET THIS BOOKStochastic Models of Financial Mathematics

Stochastic Models of Financial Mathematics

Stochastic Models of Financial Mathematics
  • Author : Vigirdas Mackevicius
  • Publisher : Elsevier
  • Release : 08 November 2016
GET THIS BOOKStochastic Models of Financial Mathematics

This book presents a short introduction to continuous-time financial models. An overview of the basics of stochastic analysis precedes a focus on the Black-Scholes and interest rate models. Other topics covered include self-financing strategies, option pricing, exotic options and risk-neutral probabilities. Vasicek, Cox-Ingersoll-Ross, and Heath-Jarrow-Morton interest rate models are also explored. The author presents practitioners with a basic introduction, with more rigorous information provided for mathematicians. The reader is assumed to be familiar with the basics of probability theory. Some

Mathematical Finance

Mathematical Finance
  • Author : Jacques Janssen,Raimondo Manca,Ernesto Volpe
  • Publisher : John Wiley & Sons
  • Release : 07 March 2013
GET THIS BOOKMathematical Finance

This book provides a detailed study of Financial Mathematics. In addition to the extraordinary depth the book provides, it offers a study of the axiomatic approach that is ideally suited for analyzing financial problems. This book is addressed to MBA's, Financial Engineers, Applied Mathematicians, Banks, Insurance Companies, and Students of Business School, of Economics, of Applied Mathematics, of Financial Engineering, Banks, and more.

Stochastic Modeling in Economics and Finance

Stochastic Modeling in Economics and Finance
  • Author : Jitka Dupacova,J. Hurt,J. Stepan
  • Publisher : Springer Science & Business Media
  • Release : 18 April 2006
GET THIS BOOKStochastic Modeling in Economics and Finance

In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to bridge the elements of financial arithmetic and complex models of financial math developed in the later parts. It covers characteristics of cash flows, yield curves, and valuation of securities. Part II is devoted to the allocation of funds and risk management: classics (Markowitz theory of portfolio), capital asset pricing model, arbitrage pricing theory, asset & liability management,

Stochastic Financial Models

Stochastic Financial Models
  • Author : Douglas Kennedy
  • Publisher : CRC Press
  • Release : 19 April 2016
GET THIS BOOKStochastic Financial Models

Filling the void between surveys of the field with relatively light mathematical content and books with a rigorous, formal approach to stochastic integration and probabilistic ideas, Stochastic Financial Models provides a sound introduction to mathematical finance. The author takes a classical applied mathematical approach, focusing on calculations rather than seeking the greatest generality. Developed from the esteemed author’s advanced undergraduate and graduate courses at the University of Cambridge, the text begins with the classical topics of utility and the

Modern Stochastics and Applications

Modern Stochastics and Applications
  • Author : Volodymyr Korolyuk,Nikolaos Limnios,Yuliya Mishura,Lyudmyla Sakhno,Georgiy Shevchenko
  • Publisher : Springer Science & Business Media
  • Release : 30 January 2014
GET THIS BOOKModern Stochastics and Applications

This volume presents an extensive overview of all major modern trends in applications of probability and stochastic analysis. It will be a great source of inspiration for designing new algorithms, modeling procedures and experiments. Accessible to researchers, practitioners, as well as graduate and postgraduate students, this volume presents a variety of new tools, ideas and methodologies in the fields of optimization, physics, finance, probability, hydrodynamics, reliability, decision making, mathematical finance, mathematical physics and economics. Contributions to this Work include those

Financial Mathematics

Financial Mathematics
  • Author : Yuliya Mishura
  • Publisher : Elsevier
  • Release : 01 February 2016
GET THIS BOOKFinancial Mathematics

Finance Mathematics is devoted to financial markets both with discrete and continuous time, exploring how to make the transition from discrete to continuous time in option pricing. This book features a detailed dynamic model of financial markets with discrete time, for application in real-world environments, along with Martingale measures and martingale criterion and the proven absence of arbitrage. With a focus on portfolio optimization, fair pricing, investment risk, and self-finance, the authors provide numerical methods for solutions and practical financial

Stochastic Processes and Financial Mathematics

Stochastic Processes and Financial Mathematics
  • Author : Ludger Rüschendorf
  • Publisher : Springer
  • Release : 01 May 2022
GET THIS BOOKStochastic Processes and Financial Mathematics

The book provides an introduction to advanced topics in stochastic processes and related stochastic analysis, and combines them with a sound presentation of the fundamentals of financial mathematics. It is wide-ranging in content, while at the same time placing much emphasis on good readability, motivation, and explanation of the issues covered. Financial mathematical topics are first introduced in the context of discrete time processes and then transferred to continuous-time models. The basic construction of the stochastic integral and the associated

Stochastic Calculus for Quantitative Finance

Stochastic Calculus for Quantitative Finance
  • Author : Alexander A Gushchin
  • Publisher : Elsevier
  • Release : 26 August 2015
GET THIS BOOKStochastic Calculus for Quantitative Finance

In 1994 and 1998 F. Delbaen and W. Schachermayer published two breakthrough papers where they proved continuous-time versions of the Fundamental Theorem of Asset Pricing. This is one of the most remarkable achievements in modern Mathematical Finance which led to intensive investigations in many applications of the arbitrage theory on a mathematically rigorous basis of stochastic calculus. Mathematical Basis for Finance: Stochastic Calculus for Finance provides detailed knowledge of all necessary attributes in stochastic calculus that are required for applications of the

Methods of Mathematical Finance

Methods of Mathematical Finance
  • Author : Ioannis Karatzas,Steven Shreve
  • Publisher : Springer
  • Release : 10 January 2017
GET THIS BOOKMethods of Mathematical Finance

This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a

Financial Modeling

Financial Modeling
  • Author : Stephane Crepey
  • Publisher : Springer Science & Business Media
  • Release : 13 June 2013
GET THIS BOOKFinancial Modeling

Backward stochastic differential equations (BSDEs) provide a general mathematical framework for solving pricing and risk management questions of financial derivatives. They are of growing importance for nonlinear pricing problems such as CVA computations that have been developed since the crisis. Although BSDEs are well known to academics, they are less familiar to practitioners in the financial industry. In order to fill this gap, this book revisits financial modeling and computational finance from a BSDE perspective, presenting a unified view of

Mathematical Modeling in Economics and Finance: Probability, Stochastic Processes, and Differential Equations

Mathematical Modeling in Economics and Finance: Probability, Stochastic Processes, and Differential Equations
  • Author : Steven R. Dunbar
  • Publisher : American Mathematical Soc.
  • Release : 03 April 2019
GET THIS BOOKMathematical Modeling in Economics and Finance: Probability, Stochastic Processes, and Differential Equations

Mathematical Modeling in Economics and Finance is designed as a textbook for an upper-division course on modeling in the economic sciences. The emphasis throughout is on the modeling process including post-modeling analysis and criticism. It is a textbook on modeling that happens to focus on financial instruments for the management of economic risk. The book combines a study of mathematical modeling with exposure to the tools of probability theory, difference and differential equations, numerical simulation, data analysis, and mathematical analysis.

Introduction to Stochastic Finance

Introduction to Stochastic Finance
  • Author : Jia-An Yan
  • Publisher : Springer
  • Release : 10 October 2018
GET THIS BOOKIntroduction to Stochastic Finance

This book gives a systematic introduction to the basic theory of financial mathematics, with an emphasis on applications of martingale methods in pricing and hedging of contingent claims, interest rate term structure models, and expected utility maximization problems. The general theory of static risk measures, basic concepts and results on markets of semimartingale model, and a numeraire-free and original probability based framework for financial markets are also included. The basic theory of probability and Ito's theory of stochastic analysis, as

Stochastic Finance

Stochastic Finance
  • Author : Nicolas Privault
  • Publisher : CRC Press
  • Release : 20 December 2013
GET THIS BOOKStochastic Finance

Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of finance and stochastic calculus, and builds up to special topics, such as options, derivatives, and credit default and jump processes. It details the techniques required to model the time evolution of risky assets.

Stochastic Finance

Stochastic Finance
  • Author : Hans Föllmer,Alexander Schied
  • Publisher : Walter de Gruyter GmbH & Co KG
  • Release : 25 July 2016
GET THIS BOOKStochastic Finance

This book is an introduction to financial mathematics. It is intended for graduate students in mathematics and for researchers working in academia and industry. The focus on stochastic models in discrete time has two immediate benefits. First, the probabilistic machinery is simpler, and one can discuss right away some of the key problems in the theory of pricing and hedging of financial derivatives. Second, the paradigm of a complete financial market, where all derivatives admit a perfect hedge, becomes the