Stochastic Models of Financial Mathematics

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Stochastic Models of Financial Mathematics

Vigirdas Mackevicius

ISBN10: 0081020864

ISBN13: 9781785481987

Stochastic Models of Financial Mathematics

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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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title Stochastic Models of Financial Mathematics
authors Vigirdas Mackevicius
publisher Elsevier
publishedDate 2016-11-08
description 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
pageCount 130
printType BOOK
categories Mathematics
maturityRating NOT_MATURE
panelizationSummary
language en
canonicalVolumeLink https://play.google.com/store/books/details?id=Vt7kDAAAQBAJ

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