Stochastic financial models /

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Portfolio ChoiceIntroductionUtilityMean-variance analysisThe Binomial ModelOne-period modelMulti-period modelA General Discrete-Time ModelOne-period modelMulti-period modelBrownian MotionIntroductionHitting-time distributionsGirsanov's theoremBrownian motion as a limitStochastic calculusThe Bla...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Kennedy, Douglas
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Boca Raton : CRC Press, 2010.
Colección:Chapman & Hall/CRC financial mathematics series.
Temas:
Investments > Mathematical models.
Stochastic analysis.
Investissements > Modèles mathématiques.
Analyse stochastique.
Investments > Mathematical models
Stochastic analysis
Acceso en línea:Texto completo
Descripción
Sumario:Portfolio ChoiceIntroductionUtilityMean-variance analysisThe Binomial ModelOne-period modelMulti-period modelA General Discrete-Time ModelOne-period modelMulti-period modelBrownian MotionIntroductionHitting-time distributionsGirsanov's theoremBrownian motion as a limitStochastic calculusThe Black-Scholes ModelIntroductionThe Black-Scholes formulaHedging and the Black-Scholes equationPath-dependent claimsDividend-paying assetsInterest-Rate ModelsIntroductionSurvey of interest-rate modelsGaussian random-field modelAppendix A: Mathematical PreliminariesAppendix B: Solutions to the ExercisesFurthe.
Descripción Física:1 online resource (251 pages) : illustrations
Bibliografía:Includes bibliographical references (pages 249-251).
ISBN:9781439882719
1439882711

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