Stochastic Analysis for Finance with Simulations

This book is an introduction to stochastic analysis and quantitative finance; it includes both theoretical and computational methods. Topics covered are stochastic calculus, option pricing, optimal portfolio investment, and interest rate models. Also included are simulations of stochastic phenomena,...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Choe, Geon Ho (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cham : Springer International Publishing : Imprint: Springer, 2016.
Edición:1st ed. 2016.
Colección:Universitext,
Temas:
Mathematics.
Social sciences-Mathematics.
Mathematics in Business, Economics and Finance.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • Preface
  • Acknowledgements
  • List of Figures
  • List of Tables
  • List of Simulations
  • Fundamental Concepts
  • Financial Derivatives
  • The Lebesgue Integral
  • Basic Probability Theory
  • Conditional Expectation
  • Stochastic Processes
  • Brownian Motion
  • Girsanov's Theorem
  • The Reflection Principle of Brownian Motion
  • The Ito Integral
  • The Ito Formula
  • Stochastic Differential Equations
  • The Feynmann-Kac Theorem
  • The Binomial Tree Method for Option Pricing
  • The Black-Scholes-Merton Differential Equation
  • The Martingale Method
  • Pricing of Vanilla Options
  • Pricing of Exotic Options
  • American Options
  • The Capital Asset Pricing Model
  • Dynamic Programming
  • Bond Pricing
  • Interest Rate Models
  • Numeraires
  • Numerical Estimation of Volatility
  • Time Series
  • Random Numbers
  • The Monte Carlo Method for Option Pricing
  • Numerical Solution of the Black-Scholes-Merton Equation
  • Numerical Solution of Stochastic Differential Equations. Appendices
  • Solutions for Selected Problems
  • Glossary
  • References
  • Index. .

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