Introduction to Stochastic Finance

Paperback Engels 2018 9789811316562
Verwachte levertijd ongeveer 9 werkdagen

Samenvatting

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 preliminary knowledge, are presented.

Specificaties

ISBN13:9789811316562
Taal:Engels
Bindwijze:paperback
Uitgever:Springer Nature Singapore

Lezersrecensies

Wees de eerste die een lezersrecensie schrijft!

Inhoudsopgave

Foundation of Probability&nbsp;Theory and Discrete-time&nbsp;Martingales.-&nbsp;Portfolio Selection Theory in&nbsp;Discrete Time.-&nbsp;Financial Markets in Discrete&nbsp;Time.-&nbsp;Martingale Theory and Itˆo&nbsp;Stochastic Analysis.-&nbsp;The Black-Scholes Model and Its Modifications.-&nbsp;Pricing and Hedging of Exotic Options.-&nbsp;Itˆo Process and Diffusion Models.-&nbsp;Term Structure Models For Interest Rates.-&nbsp;Optimal Investment-Consumption Strategies in Diffusion Models.-&nbsp;Static Risk Measures.-&nbsp;Stochastic Calculus and Semimartingale Model.-&nbsp;Optimal Investment in&nbsp;Incomplete Markets.-&nbsp;Martingale Method for Utility Maximization.-&nbsp;Optimal Growth Portfolios<div>and Option Pricing</div>

Managementboek Top 100

Rubrieken

Populaire producten

    Personen

      Trefwoorden

        Introduction to Stochastic Finance