Stochastic Models of Financial Mathematics

Written By Vigirdas Mackevicius
Stochastic Models of Financial Mathematics
  • Publsiher : Elsevier
  • Release : 08 November 2016
  • ISBN : 0081020864
  • Pages : 130 pages
  • Rating : /5 from reviews
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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

Stochastic Models of Financial Mathematics

Stochastic Models of Financial Mathematics
  • Author : Vigirdas Mackevicius
  • Publisher : Elsevier
  • Release Date : 2016-11-08
  • Total pages : 130
  • ISBN : 0081020864
GET BOOK

Summary : 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 ...

Mathematical Finance

Mathematical Finance
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  • Publisher : John Wiley & Sons
  • Release Date : 2013-03-07
  • Total pages : 720
  • ISBN : 0081020864
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Summary : This book provides a detailed study of Financial Mathematics. In addition to the extraordinary depth the book provides, it offers a study of the axiomatic approach that is ideally suited for analyzing financial problems. This book is addressed to MBA's, Financial Engineers, Applied Mathematicians, Banks, Insurance Companies, and Students of ...

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Stochastic Modeling in Economics and Finance
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  • Publisher : Springer Science & Business Media
  • Release Date : 2006-04-18
  • Total pages : 386
  • ISBN : 0081020864
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Summary : In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to bridge the elements of financial arithmetic and complex models of financial math developed in the later parts. It covers characteristics of cash flows, yield curves, and ...

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  • Author : Albert N. Shiryaev
  • Publisher : World Scientific
  • Release Date : 1999
  • Total pages : 834
  • ISBN : 0081020864
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Summary : Readership: Undergraduates and researchers in probability and statistics; applied, pure and financial mathematics; economics; chaos....

Stochastic Financial Models

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  • Author : Douglas Kennedy
  • Publisher : CRC Press
  • Release Date : 2016-04-19
  • Total pages : 264
  • ISBN : 0081020864
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Summary : Filling the void between surveys of the field with relatively light mathematical content and books with a rigorous, formal approach to stochastic integration and probabilistic ideas, Stochastic Financial Models provides a sound introduction to mathematical finance. The author takes a classical applied mathematical approach, focusing on calculations rather than seeking ...

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  • Publisher : Springer Science & Business Media
  • Release Date : 2014-01-30
  • Total pages : 349
  • ISBN : 0081020864
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Summary : This volume presents an extensive overview of all major modern trends in applications of probability and stochastic analysis. It will be a great source of inspiration for designing new algorithms, modeling procedures and experiments. Accessible to researchers, practitioners, as well as graduate and postgraduate students, this volume presents a variety ...

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  • Publisher : CRC Press
  • Release Date : 2007-11-30
  • Total pages : 256
  • ISBN : 0081020864
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Summary : Since the publication of the first edition of this book, the area of mathematical finance has grown rapidly, with financial analysts using more sophisticated mathematical concepts, such as stochastic integration, to describe the behavior of markets and to derive computing methods. Maintaining the lucid style of its popular predecessor, Introduction ...

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  • Author : Jia-An Yan
  • Publisher : Springer
  • Release Date : 2018-10-10
  • Total pages : 403
  • ISBN : 0081020864
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Summary : This book gives a systematic introduction to the basic theory of financial mathematics, with an emphasis on applications of martingale methods in pricing and hedging of contingent claims, interest rate term structure models, and expected utility maximization problems. The general theory of static risk measures, basic concepts and results on ...

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  • Publisher : CRC Press
  • Release Date : 2013-12-20
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  • ISBN : 0081020864
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Summary : Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of finance and stochastic ...

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  • Publisher : Walter de Gruyter GmbH & Co KG
  • Release Date : 2016-07-25
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  • ISBN : 0081020864
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Summary : This book is an introduction to financial mathematics. It is intended for graduate students in mathematics and for researchers working in academia and industry. The focus on stochastic models in discrete time has two immediate benefits. First, the probabilistic machinery is simpler, and one can discuss right away some of ...

Stochastic Modeling and Optimization

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  • Author : David D. Yao,Hanqin Zhang,Xun Yu Zhou
  • Publisher : Springer Science & Business Media
  • Release Date : 2012-12-06
  • Total pages : 468
  • ISBN : 0081020864
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Summary : This books covers the broad range of research in stochastic models and optimization. Applications presented include networks, financial engineering, production planning, and supply chain management. Each contribution is aimed at graduate students working in operations research, probability, and statistics....

Special Issue on Financial Mathematics and Computing

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  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 1992
  • Total pages : 124
  • ISBN : 0081020864
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Summary : Read online Special Issue on Financial Mathematics and Computing written by , published by which was released on 1992. Download full Special Issue on Financial Mathematics and Computing Books now! Available in PDF, ePub and Kindle....

Stochastic Volatility Modeling

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  • Author : Lorenzo Bergomi
  • Publisher : CRC Press
  • Release Date : 2015-12-16
  • Total pages : 522
  • ISBN : 0081020864
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Summary : Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable ...

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  • Author : Yuliya Mishura
  • Publisher : Elsevier
  • Release Date : 2016-02-01
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  • ISBN : 0081020864
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Summary : Finance Mathematics is devoted to financial markets both with discrete and continuous time, exploring how to make the transition from discrete to continuous time in option pricing. This book features a detailed dynamic model of financial markets with discrete time, for application in real-world environments, along with Martingale measures and ...

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  • Publisher : CRC Press
  • Release Date : 2002-07-29
  • Total pages : 288
  • ISBN : 0081020864
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Summary : In recent years, modeling financial uncertainty using stochastic processes has become increasingly important, but it is commonly perceived as requiring a deep mathematical background. Stochastic Processes with Applications to Finance shows that this is not necessarily so. It presents the theory of discrete stochastic processes and their applications in finance ...