Essentials Of Stochastic Finance
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Essentials Of Stochastic Finance
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Author : Albert N. Shiryaev
language : en
Publisher: World Scientific
Release Date : 1999
Essentials Of Stochastic Finance written by Albert N. Shiryaev and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Mathematics categories.
This important book provides information necessary for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty; introduces the reader to the main concepts, notions and results of stochastic financial mathematics; and develops applications of these results to various kinds of calculations required in financial engineering. It also answers the requests of teachers of financial mathematics and engineering by making a bias towards probabilistic and statistical ideas and the methods of stochastic calculus in the analysis of market risks.
Stochastic Finance
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Author : Albert N. Shiryaev
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-06-03
Stochastic Finance written by Albert N. Shiryaev and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-06-03 with Mathematics categories.
Since the pioneering work of Black, Scholes, and Merton in the field of financial mathematics, research has led to the rapid development of a substantial body of knowledge, with plenty of applications to the common functioning of the world’s financial institutions. Mathematics, as the language of science, has always played a role in the development of knowledge and technology. Presently, the high-tech character of modern business has increased the need for advanced methods, which rely to a large extent on mathematical techniques. It has become essential for the financial analyst to possess a high degree of proficiency in these mathematical techniques.
Essentials Of Stochastic Finance
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Author : Alʹbert Nikolaevich Shiri͡aev
language : en
Publisher:
Release Date : 1999
Essentials Of Stochastic Finance written by Alʹbert Nikolaevich Shiri͡aev and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Financial engineering categories.
Essentials Stochastic Finance Facts Mo
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Author :
language : en
Publisher:
Release Date : 1999-01-18
Essentials Stochastic Finance Facts Mo written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999-01-18 with categories.
Stochastic Processes For Insurance And Finance
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Author : Tomasz Rolski
language : en
Publisher: John Wiley & Sons
Release Date : 2009-09-25
Stochastic Processes For Insurance And Finance written by Tomasz Rolski and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-09-25 with Mathematics categories.
Stochastic Processes for Insurance and Finance offers a thorough yet accessible reference for researchers and practitioners of insurance mathematics. Building on recent and rapid developments in applied probability, the authors describe in general terms models based on Markov processes, martingales and various types of point processes. Discussing frequently asked insurance questions, the authors present a coherent overview of the subject and specifically address: The principal concepts from insurance and finance Practical examples with real life data Numerical and algorithmic procedures essential for modern insurance practices Assuming competence in probability calculus, this book will provide a fairly rigorous treatment of insurance risk theory recommended for researchers and students interested in applied probability as well as practitioners of actuarial sciences. Wiley Series in Probability and Statistics
Derivative Security Pricing
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Author : Carl Chiarella
language : en
Publisher: Springer
Release Date : 2015-03-25
Derivative Security Pricing written by Carl Chiarella and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-03-25 with Business & Economics categories.
The book presents applications of stochastic calculus to derivative security pricing and interest rate modelling. By focusing more on the financial intuition of the applications rather than the mathematical formalities, the book provides the essential knowledge and understanding of fundamental concepts of stochastic finance, and how to implement them to develop pricing models for derivatives as well as to model spot and forward interest rates. Furthermore an extensive overview of the associated literature is presented and its relevance and applicability are discussed. Most of the key concepts are covered including Ito’s Lemma, martingales, Girsanov’s theorem, Brownian motion, jump processes, stochastic volatility, American feature and binomial trees. The book is beneficial to higher-degree research students, academics and practitioners as it provides the elementary theoretical tools to apply the techniques of stochastic finance in research or industrial problems in the field.
Stochastic Calculus For Finance
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Author : Marek Capiński
language : en
Publisher: Cambridge University Press
Release Date : 2012-08-23
Stochastic Calculus For Finance written by Marek Capiński and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-23 with Business & Economics categories.
This book focuses specifically on the key results in stochastic processes that have become essential for finance practitioners to understand. The authors study the Wiener process and Itô integrals in some detail, with a focus on results needed for the Black–Scholes option pricing model. After developing the required martingale properties of this process, the construction of the integral and the Itô formula (proved in detail) become the centrepiece, both for theory and applications, and to provide concrete examples of stochastic differential equations used in finance. Finally, proofs of the existence, uniqueness and the Markov property of solutions of (general) stochastic equations complete the book. Using careful exposition and detailed proofs, this book is a far more accessible introduction to Itô calculus than most texts. Students, practitioners and researchers will benefit from its rigorous, but unfussy, approach to technical issues. Solutions to the exercises are available online.
Stochastic Calculus For Finance
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Author : Ted Noreux
language : en
Publisher: Nobtrex LLC
Release Date : 2024-05-07
Stochastic Calculus For Finance written by Ted Noreux and has been published by Nobtrex LLC this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-05-07 with Mathematics categories.
"Stochastic Calculus for Finance" offers a comprehensive exploration of the mathematical underpinnings critical to the field of financial engineering. Through its meticulously structured chapters, this book provides readers with an in-depth understanding of stochastic processes, the Ito calculus, stochastic differential equations, and much more, all of which are essential for modeling and decision-making in the uncertain world of financial markets. Starting from the basics and gradually progressing to more complex theories and models, including the seminal Black-Scholes model, interest rate models, and Monte Carlo methods, this book is designed to equip readers with the theoretical knowledge and practical skills needed to excel in financial engineering, risk management, and derivative pricing. Each chapter is rich with detailed explanations, practical examples, and applications that bridge the gap between theory and practice. Intended for graduate students in financial engineering, quantitative finance, and applied mathematics, as well as professionals in the finance industry and researchers seeking a thorough understanding of financial mathematics, "Stochastic Calculus for Finance" serves as an essential guide and comprehensive reference. Embrace the opportunity to demystify the complexities of financial markets through the lens of stochastic calculus with this essential book, ensuring you are well-prepared to tackle the challenges and opportunities in today's financial landscape.
Applied Stochastic Models And Control For Finance And Insurance
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Author : Charles S. Tapiero
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Applied Stochastic Models And Control For Finance And Insurance written by Charles S. Tapiero and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
Applied Stochastic Models and Control for Finance and Insurance presents at an introductory level some essential stochastic models applied in economics, finance and insurance. Markov chains, random walks, stochastic differential equations and other stochastic processes are used throughout the book and systematically applied to economic and financial applications. In addition, a dynamic programming framework is used to deal with some basic optimization problems. The book begins by introducing problems of economics, finance and insurance which involve time, uncertainty and risk. A number of cases are treated in detail, spanning risk management, volatility, memory, the time structure of preferences, interest rates and yields, etc. The second and third chapters provide an introduction to stochastic models and their application. Stochastic differential equations and stochastic calculus are presented in an intuitive manner, and numerous applications and exercises are used to facilitate their understanding and their use in Chapter 3. A number of other processes which are increasingly used in finance and insurance are introduced in Chapter 4. In the fifth chapter, ARCH and GARCH models are presented and their application to modeling volatility is emphasized. An outline of decision-making procedures is presented in Chapter 6. Furthermore, we also introduce the essentials of stochastic dynamic programming and control, and provide first steps for the student who seeks to apply these techniques. Finally, in Chapter 7, numerical techniques and approximations to stochastic processes are examined. This book can be used in business, economics, financial engineering and decision sciences schools for second year Master's students, as well as in a number of courses widely given in departments of statistics, systems and decision sciences.
From Stochastic Calculus To Mathematical Finance
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Author : Yu. Kabanov
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-04-03
From Stochastic Calculus To Mathematical Finance written by Yu. Kabanov and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-04-03 with Mathematics categories.
Dedicated to the Russian mathematician Albert Shiryaev on his 70th birthday, this is a collection of papers written by his former students, co-authors and colleagues. The book represents the modern state of art of a quickly maturing theory and will be an essential source and reading for researchers in this area. Diversity of topics and comprehensive style of the papers make the book attractive for PhD students and young researchers.