# Stochastic Models of Financial Mathematics

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- Author : Vigirdas Mackevicius
- Publisher : Elsevier
- Release : 08 November 2016
- ISBN : 9780081020869
- Page : 130 pages
- Rating : 4.5/5 from 103 voters

## Stochastic Models of Financial Mathematics Book PDF 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 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

- Author : Vigirdas Mackevicius
- Publisher : Elsevier
- Release Date : 2016-11-08
- ISBN : 9780081020869

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

### Mathematical Finance

- Author : Jacques Janssen,Raimondo Manca,Ernesto Volpe
- Publisher : John Wiley & Sons
- Release Date : 2013-03-07
- ISBN : 9781118622414

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 Business School, of Economics, of Applied Mathematics, of Financial Engineering, Banks, and more.

### Stochastic Modeling in Economics and Finance

- Author : Jitka Dupacova,J. Hurt,J. Stepan
- Publisher : Springer Science & Business Media
- Release Date : 2006-04-18
- ISBN : 9780306481673

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 valuation of securities. Part II is devoted to the allocation of funds and risk management: classics (Markowitz theory of portfolio), capital asset pricing model, arbitrage pricing theory, asset & liability management,

### Stochastic Financial Models

- Author : Douglas Kennedy
- Publisher : CRC Press
- Release Date : 2016-04-19
- ISBN : 9781439882719

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 the greatest generality. Developed from the esteemed author’s advanced undergraduate and graduate courses at the University of Cambridge, the text begins with the classical topics of utility and the

### Essentials of Stochastic Finance

- Author : Albert N. Shiryaev
- Publisher : World Scientific
- Release Date : 1999
- ISBN : 9789810236052

Readership: Undergraduates and researchers in probability and statistics; applied, pure and financial mathematics; economics; chaos.

### Methods of Mathematical Finance

- Author : Ioannis Karatzas,Steven Shreve
- Publisher : Springer
- Release Date : 2017-01-10
- ISBN : 9781493968459

This sequel to Brownian Motion and Stochastic Calculus by the same authors develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets, within the context of Brownian-motion-driven asset prices. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a

### Martingale Methods in Financial Modelling

- Author : Marek Musiela
- Publisher : Springer Science & Business Media
- Release Date : 2013-06-29
- ISBN : 9783662221327

A comprehensive and self-contained treatment of the theory and practice of option pricing. The role of martingale methods in financial modeling is exposed. The emphasis is on using arbitrage-free models already accepted by the market as well as on building the new ones. Standard calls and puts together with numerous examples of exotic options such as barriers and quantos, for example on stocks, indices, currencies and interest rates are analysed. The importance of choosing a convenient numeraire in price calculations

### Financial Mathematics

- Author : Andrea Pascucci,Wolfgang J. Runggaldier
- Publisher : Springer Science & Business Media
- Release Date : 2012-04-05
- ISBN : 8847025389

With the Bologna Accords a bachelor-master-doctor curriculum has been introduced in various countries with the intention that students may enter the job market already at the bachelor level. Since financial Institutions provide non negligible job opportunities also for mathematicians, and scientists in general, it appeared to be appropriate to have a financial mathematics course already at the bachelor level in mathematics. Most mathematical techniques in use in financial mathematics are related to continuous time models and require thus notions from

### Stochastic Calculus and Financial Applications

- Author : J. Michael Steele
- Publisher : Springer Science & Business Media
- Release Date : 2012-12-06
- ISBN : 9781468493054

Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH

### Mathematical Modeling in Economics and Finance: Probability, Stochastic Processes, and Differential Equations

- Author : Steven R. Dunbar
- Publisher : American Mathematical Soc.
- Release Date : 2019-04-03
- ISBN : 9781470448394

Mathematical Modeling in Economics and Finance is designed as a textbook for an upper-division course on modeling in the economic sciences. The emphasis throughout is on the modeling process including post-modeling analysis and criticism. It is a textbook on modeling that happens to focus on financial instruments for the management of economic risk. The book combines a study of mathematical modeling with exposure to the tools of probability theory, difference and differential equations, numerical simulation, data analysis, and mathematical analysis.

### Stochastic Calculus of Variations in Mathematical Finance

- Author : Paul Malliavin,Anton Thalmaier
- Publisher : Springer Science & Business Media
- Release Date : 2006-02-25
- ISBN : 9783540307990

Highly esteemed author Topics covered are relevant and timely

### Mathematical Modeling And Computation In Finance: With Exercises And Python And Matlab Computer Codes

- Author : Cornelis W Oosterlee,Lech A Grzelak
- Publisher : World Scientific
- Release Date : 2019-10-29
- ISBN : 9781786347961

This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several

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- Author : Hans Föllmer,Alexander Schied
- Publisher : Walter de Gruyter GmbH & Co KG
- Release Date : 2016-07-25
- ISBN : 9783110463453

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

### Mathematical Finance

- Author : Ernst Eberlein,Jan Kallsen
- Publisher : Springer Nature
- Release Date : 2019-12-03
- ISBN : 9783030261061

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

### Stochastic Finance

- Author : Nicolas Privault
- Publisher : CRC Press
- Release Date : 2013-12-20
- ISBN : 9781466594029

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.