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 Business & Economics categories.
Readership: Undergraduates and researchers in probability and statistics; applied, pure and financial mathematics; economics; chaos.
Introduction To Stochastic Finance With Market Examples
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Author : Nicolas Privault
language : en
Publisher: CRC Press
Release Date : 2022-12-13
Introduction To Stochastic Finance With Market Examples written by Nicolas Privault and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-12-13 with Business & Economics categories.
Introduction to Stochastic Finance with Market Examples, Second Edition presents an introduction to pricing and hedging in discrete and continuous-time financial models, emphasizing both analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of stochastic calculus for finance, and details the techniques required to model the time evolution of risky assets. The book discusses a wide range of classical topics including Black–Scholes pricing, American options, derivatives, term structure modeling, and change of numéraire. It also builds up to special topics, such as exotic options, stochastic volatility, and jump processes. New to this Edition New chapters on Barrier Options, Lookback Options, Asian Options, Optimal Stopping Theorem, and Stochastic Volatility Contains over 235 exercises and 16 problems with complete solutions available online from the instructor resources Added over 150 graphs and figures, for more than 250 in total, to optimize presentation 57 R coding examples now integrated into the book for implementation of the methods Substantially class-tested, so ideal for course use or self-study With abundant exercises, problems with complete solutions, graphs and figures, and R coding examples, the book is primarily aimed at advanced undergraduate and graduate students in applied mathematics, financial engineering, and economics. It could be used as a course text or for self-study and would also be a comprehensive and accessible reference for researchers and practitioners in the field.
Stochastic Calculus For Finance I
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Author : Steven Shreve
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-06-28
Stochastic Calculus For Finance I written by Steven Shreve 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 2005-06-28 with Mathematics categories.
Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance
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.
Stochastic Finance
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Author : Nicolas Privault
language : en
Publisher: CRC Press
Release Date : 2013-12-20
Stochastic Finance written by Nicolas Privault and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-20 with Business & Economics categories.
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 calculus, and builds up to special topics, such as options, derivatives, and credit default and jump processes. It details the techniques required to model the time evolution of risky assets. The book discusses a wide range of classical topics including Black–Scholes pricing, exotic and American options, term structure modeling and change of numéraire, as well as models with jumps. The author takes the approach adopted by mainstream mathematical finance in which the computation of fair prices is based on the absence of arbitrage hypothesis, therefore excluding riskless profit based on arbitrage opportunities and basic (buying low/selling high) trading. With 104 figures and simulations, along with about 20 examples based on actual market data, the book is targeted at the advanced undergraduate and graduate level, either as a course text or for self-study, in applied mathematics, financial engineering, and economics.
Stochastic Finance
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Author : Hans Föllmer
language : en
Publisher: Walter de Gruyter
Release Date : 2011-01-28
Stochastic Finance written by Hans Föllmer and has been published by Walter de Gruyter this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-01-28 with Mathematics categories.
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 the key problems in the theory of pricing and hedging of financial derivatives. Second, the paradigm of a complete financial market, where all derivatives admit a perfect hedge, becomes the exception rather than the rule. Thus, the need to confront the intrinsic risks arising from market incomleteness appears at a very early stage. The first part of the book contains a study of a simple one-period model, which also serves as a building block for later developments. Topics include the characterization of arbitrage-free markets, preferences on asset profiles, an introduction to equilibrium analysis, and monetary measures of financial risk. In the second part, the idea of dynamic hedging of contingent claims is developed in a multiperiod framework. Topics include martingale measures, pricing formulas for derivatives, American options, superhedging, and hedging strategies with minimal shortfall risk. This third revised and extended edition now contains more than one hundred exercises. It also includes new material on risk measures and the related issue of model uncertainty, in particular a new chapter on dynamic risk measures and new sections on robust utility maximization and on efficient hedging with convex risk measures.
Introduction To Stochastic Finance
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Author : Jia-An Yan
language : en
Publisher: Springer
Release Date : 2018-10-10
Introduction To Stochastic Finance written by Jia-An Yan and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-10-10 with Mathematics categories.
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 markets of semimartingale model, and a numeraire-free and original probability based framework for financial markets are also included. The basic theory of probability and Ito's theory of stochastic analysis, as preliminary knowledge, are presented.
Stochastic Finance
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Author : Nicolas Privault
language : en
Publisher: CRC Press
Release Date : 2013-12-20
Stochastic Finance written by Nicolas Privault and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-20 with Business & Economics categories.
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
Stochastic Calculus For Finance Ii
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Author : Steven E. Shreve
language : en
Publisher: Springer Science & Business Media
Release Date : 2004-06-03
Stochastic Calculus For Finance Ii written by Steven E. Shreve 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 2004-06-03 with Business & Economics categories.
"A wonderful display of the use of mathematical probability to derive a large set of results from a small set of assumptions. In summary, this is a well-written text that treats the key classical models of finance through an applied probability approach....It should serve as an excellent introduction for anyone studying the mathematics of the classical theory of finance." --SIAM
Introductory Stochastic Analysis For Finance And Insurance
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Author : X. Sheldon Lin
language : en
Publisher: John Wiley & Sons
Release Date : 2006-04-21
Introductory Stochastic Analysis For Finance And Insurance written by X. Sheldon Lin 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 2006-04-21 with Mathematics categories.
Incorporates the many tools needed for modeling and pricing infinance and insurance Introductory Stochastic Analysis for Finance and Insuranceintroduces readers to the topics needed to master and use basicstochastic analysis techniques for mathematical finance. The authorpresents the theories of stochastic processes and stochasticcalculus and provides the necessary tools for modeling and pricingin finance and insurance. Practical in focus, the book's emphasisis on application, intuition, and computation, rather thantheory. Consequently, the text is of interest to graduate students,researchers, and practitioners interested in these areas. While thetext is self-contained, an introductory course in probabilitytheory is beneficial to prospective readers. This book evolved from the author's experience as an instructor andhas been thoroughly classroom-tested. Following an introduction,the author sets forth the fundamental information and tools neededby researchers and practitioners working in the financial andinsurance industries: * Overview of Probability Theory * Discrete-Time stochastic processes * Continuous-time stochastic processes * Stochastic calculus: basic topics The final two chapters, Stochastic Calculus: Advanced Topics andApplications in Insurance, are devoted to more advanced topics.Readers learn the Feynman-Kac formula, the Girsanov's theorem, andcomplex barrier hitting times distributions. Finally, readersdiscover how stochastic analysis and principles are applied inpractice through two insurance examples: valuation of equity-linkedannuities under a stochastic interest rate environment andcalculation of reserves for universal life insurance. Throughout the text, figures and tables are used to help simplifycomplex theory and pro-cesses. An extensive bibliography opens upadditional avenues of research to specialized topics. Ideal for upper-level undergraduate and graduate students, thistext is recommended for one-semester courses in stochastic financeand calculus. It is also recommended as a study guide forprofessionals taking Causality Actuarial Society (CAS) and Societyof Actuaries (SOA) actuarial examinations.