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

• 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

• 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,

• 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.

• 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.

• 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

• 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

• 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