Stochastic Models of Financial Mathematics
  • Release Date : 08 November 2016
  • Publisher : Elsevier
  • Genre : Mathematics
  • Pages : 130 pages
  • ISBN 13 : 9780081020869
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Download or read book entitled Stochastic Models of Financial Mathematics by author: Vigirdas Mackevicius which was release on 08 November 2016 and published by Elsevier with total page 130 pages . This book available in PDF, EPUB and Kindle Format. 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