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Stochastic Models of Financial Mathematics

Autor Vigirdas Mackevicius
en Limba Engleză Hardback – 12 oct 2016
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
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Specificații

ISBN-13: 9781785481987
ISBN-10: 1785481983
Pagini: 130
Dimensiuni: 151 x 229 x 15 mm
Greutate: 0.37 kg
Editura: ELSEVIER SCIENCE

Public țintă

Master students of mathematics, business mathematics, or financial mathematics; Lecturers of financial mathematics

Cuprins

1: Overview of the Basics of Stochastic Analysis
2: The Black–Scholes Model
3: Models of Interest Rates

Recenzii

"The book is written at a high mathematical level, however very clearly for the reader, and will be useful both for undergraduate and post graduate students, practitioners and everybody who wants to study the basic properties of financial markets with continuous time." --Zentralblatt MATH