Stochastic models of financial mathematics /

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Mackevi�cius, Vigirdas (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: London : ISTE Press, 2016.
Colección:Optimization in insurance and finance set.
Temas:
Finance > Mathematical models.
Stochastic processes.
Investments > Mathematics.
Finances > Mod�eles math�ematiques.
Processus stochastiques.
Investissements > Math�ematiques.
BUSINESS & ECONOMICS > Finance.
BUSINESS & ECONOMICS > Economics > General.
BUSINESS & ECONOMICS > Reference.
Finance > Mathematical models
Investments > Mathematics
Stochastic processes
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Front Cover ; Stochastic Models of Financial Mathematics; Copyright ; Contents; Preface; Notations; Chapter 1. Overview of the Basics of Stochastic Analysis; 1.1. Brownian motion; 1.2. Stochastic integrals; 1.3. Martingales, It�o processes and general It�o's formula; 1.4. Stochastic differential equations; 1.5. Change of probability: the Girsanov theorem; Chapter 2. The Black-Scholes Model; 2.1. Introduction: what is an option?; 2.2. Self-financing strategies; 2.3. Option pricing problem: the Black-Scholes model; 2.4. The Black-Scholes formula.
  • 2.5. Risk-neutral probabilities: alternative derivation of the Black-Scholes formula2.6. American options in the Black-Scholes model; 2.7. Exotic options; Chapter 3. Models of Interest Rates; 3.1. Modeling principles; 3.2. The Va�s�i�cek model; 3.3. The Cox-Ingersoll-Ross model; 3.4. The Heath-Jarrow-Morton model; Bibliography; Index; Back Cover.

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