Stochastic Processes And Financial Mathematics
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Stochastic Processes With Applications To Finance
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Author : Masaaki Kijima
language : en
Publisher: CRC Press
Release Date : 2016-04-19
Stochastic Processes With Applications To Finance written by Masaaki Kijima and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-19 with Business & Economics categories.
Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools
Stochastic Finance
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Author : Jan Vecer
language : en
Publisher: CRC Press
Release Date : 2011-01-06
Stochastic Finance written by Jan Vecer and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-01-06 with Business & Economics categories.
This classroom-tested text provides a deep understanding of derivative contracts. Unlike much of the existing literature, the book treats price as a number of units of one asset needed for an acquisition of a unit of another asset instead of expressing prices in dollar terms exclusively. This numeraire approach leads to simpler pricing options for complex products, such as barrier, lookback, quanto, and Asian options. With many examples and exercises, the text relies on intuition and basic principles, rather than technical computations.
Stochastic Processes
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Author : Wolfgang Paul
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-07-11
Stochastic Processes written by Wolfgang Paul 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 2013-07-11 with Science categories.
This book introduces the theory of stochastic processes with applications taken from physics and finance. Fundamental concepts like the random walk or Brownian motion but also Levy-stable distributions are discussed. Applications are selected to show the interdisciplinary character of the concepts and methods. In the second edition of the book a discussion of extreme events ranging from their mathematical definition to their importance for financial crashes was included. The exposition of basic notions of probability theory and the Brownian motion problem as well as the relation between conservative diffusion processes and quantum mechanics is expanded. The second edition also enlarges the treatment of financial markets. Beyond a presentation of geometric Brownian motion and the Black-Scholes approach to option pricing as well as the econophysics analysis of the stylized facts of financial markets, an introduction to agent based modeling approaches is given.
Stochastic Calculus And Financial Applications
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Author : J. Michael Steele
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Calculus And Financial Applications written by J. Michael Steele 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 Mathematics categories.
This book is designed for students who want to develop professional skill in stochastic calculus and its application to problems in finance. The Wharton School course that forms the basis for this book is designed for energetic students who have had some experience with probability and statistics but have not had ad vanced courses in stochastic processes. Although the course assumes only a modest background, it moves quickly, and in the end, students can expect to have tools that are deep enough and rich enough to be relied on throughout their professional careers. The course begins with simple random walk and the analysis of gambling games. This material is used to motivate the theory of martingales, and, after reaching a decent level of confidence with discrete processes, the course takes up the more de manding development of continuous-time stochastic processes, especially Brownian motion. The construction of Brownian motion is given in detail, and enough mate rial on the subtle nature of Brownian paths is developed for the student to evolve a good sense of when intuition can be trusted and when it cannot. The course then takes up the Ito integral in earnest. The development of stochastic integration aims to be careful and complete without being pedantic.
Option Theory With Stochastic Analysis
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Author : Fred Espen Benth
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Option Theory With Stochastic Analysis written by Fred Espen Benth 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.
This is a very basic and accessible introduction to option pricing, invoking a minimum of stochastic analysis and requiring only basic mathematical skills. It covers the theory essential to the statistical modeling of stocks, pricing of derivatives with martingale theory, and computational finance including both finite-difference and Monte Carlo methods.
Introduction To Stochastic Finance
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Author : Jia-An Yan
language : en
Publisher: Springer
Release Date : 2018-10-17
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 2018-10-17 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.
Mathematical Finance
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Author : Ernst Eberlein
language : en
Publisher: Springer Nature
Release Date : 2019-12-03
Mathematical Finance written by Ernst Eberlein and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-12-03 with Mathematics categories.
Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation principles, portfolio choice, and term structure modelling. It bridges thegap between introductory texts and the advanced literature in the field. Most textbooks on the subject are limited to diffusion-type models which cannot easily account for sudden price movements. Such abrupt changes, however, can often be observed in real markets. At the same time, purely discontinuous processes lead to a much wider variety of flexible and tractable models. This explains why processes with jumps have become an established tool in the statistics and mathematics of finance. Graduate students, researchers as well as practitioners will benefit from this monograph.
Elementary Probability Theory
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Author : K. L. Chung
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-07-14
Elementary Probability Theory written by K. L. Chung 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 2006-07-14 with Mathematics categories.
This book provides an introduction to probability theory and its applications. The emphasis is on essential probabilistic reasoning, which is illustrated with a large number of samples. The fourth edition adds material related to mathematical finance as well as expansions on stable laws and martingales. From the reviews: "Almost thirty years after its first edition, this charming book continues to be an excellent text for teaching and for self study." -- STATISTICAL PAPERS
Stochastic Processes And Financial Mathematics
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Author : Ludger Rüschendorf
language : en
Publisher: Springer Nature
Release Date : 2023-04-04
Stochastic Processes And Financial Mathematics written by Ludger Rüschendorf and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-04-04 with Mathematics categories.
The book provides an introduction to advanced topics in stochastic processes and related stochastic analysis, and combines them with a sound presentation of the fundamentals of financial mathematics. It is wide-ranging in content, while at the same time placing much emphasis on good readability, motivation, and explanation of the issues covered. Financial mathematical topics are first introduced in the context of discrete time processes and then transferred to continuous-time models. The basic construction of the stochastic integral and the associated martingale theory provide fundamental methods of the theory of stochastic processes for the construction of suitable stochastic models of financial mathematics, e.g. using stochastic differential equations. Central results of stochastic analysis such as the Itô formula, Girsanov's theorem and martingale representation theorems are of fundamental importance in financial mathematics, e.g. for the risk-neutral valuation formula (Black-Scholes formula) or the question of the hedgeability of options and the completeness of market models. Chapters on the valuation of options in complete and incomplete markets and on the determination of optimal hedging strategies conclude the range of topics. Advanced knowledge of probability theory is assumed, in particular of discrete-time processes (martingales, Markov chains) and continuous-time processes (Brownian motion, Lévy processes, processes with independent increments, Markov processes). The book is thus suitable for advanced students as a companion reading and for instructors as a basis for their own courses. This book is a translation of the original German 1st edition Stochastische Prozesse und Finanzmathematik by Ludger Rüschendorf, published by Springer-Verlag GmbH Germany, part of Springer Nature in 2020. The translation was done with the help of artificial intelligence (machine translation by the service DeepL.com) and in a subsequent editing, improved by the author. Springer Nature works continuously to further the development of tools for the production of books and on the related technologies to support the authors.