Stochastic Models of Financial Mathematics

Written By Vigirdas Mackevicius
Stochastic Models of Financial Mathematics
  • Publsiher : Elsevier
  • Release : 08 November 2016
  • ISBN : 0081020864
  • Pages : 130 pages
  • Rating : 4/5 from 21 reviews
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Read or download book entitled Stochastic Models of Financial Mathematics written by Vigirdas Mackevicius which was release on 08 November 2016, this book published by Elsevier. Available in PDF, EPUB and Kindle Format. Book excerpt: 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

Stochastic Models of Financial Mathematics
  • Author : Vigirdas Mackevicius
  • Publisher : Elsevier
  • Release Date : 2016-11-08
  • Total pages : 130
  • ISBN : 0081020864
GET BOOK

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 ...

Mathematical Finance

Mathematical Finance
  • Author : Jacques Janssen,Raimondo Manca,Ernesto Volpe
  • Publisher : John Wiley & Sons
  • Release Date : 2013-03-07
  • Total pages : 720
  • ISBN : 0081020864
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Summary : 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 ...

Stochastic Modeling in Economics and Finance

Stochastic Modeling in Economics and Finance
  • Author : Jitka Dupacova,J. Hurt,J. Stepan
  • Publisher : Springer Science & Business Media
  • Release Date : 2006-04-18
  • Total pages : 386
  • ISBN : 0081020864
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Summary : 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 ...

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Stochastic Financial Models
  • Author : Douglas Kennedy
  • Publisher : CRC Press
  • Release Date : 2016-04-19
  • Total pages : 264
  • ISBN : 0081020864
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Summary : 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 ...

Mathematical Modeling in Economics and Finance Probability Stochastic Processes and Differential Equations

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
  • Total pages : 232
  • ISBN : 0081020864
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Summary : 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 ...

Stochastic Finance

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  • Author : Nicolas Privault
  • Publisher : CRC Press
  • Release Date : 2013-12-20
  • Total pages : 441
  • ISBN : 0081020864
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Summary : 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 ...

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  • Author : Yuliya Mishura
  • Publisher : Elsevier
  • Release Date : 2016-02-01
  • Total pages : 194
  • ISBN : 0081020864
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Summary : Finance Mathematics is devoted to financial markets both with discrete and continuous time, exploring how to make the transition from discrete to continuous time in option pricing. This book features a detailed dynamic model of financial markets with discrete time, for application in real-world environments, along with Martingale measures and ...

Essentials of Stochastic Finance

Essentials of Stochastic Finance
  • Author : Albert N. Shiryaev
  • Publisher : World Scientific
  • Release Date : 1999
  • Total pages : 834
  • ISBN : 0081020864
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Summary : Readership: Undergraduates and researchers in probability and statistics; applied, pure and financial mathematics; economics; chaos....

Stochastic Processes with Applications to Finance

Stochastic Processes with Applications to Finance
  • Author : Masaaki Kijima
  • Publisher : CRC Press
  • Release Date : 2002-07-29
  • Total pages : 288
  • ISBN : 0081020864
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Summary : In recent years, modeling financial uncertainty using stochastic processes has become increasingly important, but it is commonly perceived as requiring a deep mathematical background. Stochastic Processes with Applications to Finance shows that this is not necessarily so. It presents the theory of discrete stochastic processes and their applications in finance ...

Introduction to Stochastic Calculus Applied to Finance Second Edition

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  • Author : Damien Lamberton,Bernard Lapeyre
  • Publisher : CRC Press
  • Release Date : 1996-06-01
  • Total pages : 200
  • ISBN : 0081020864
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Summary : In recent years the growing importance of derivative products financial markets has increased financial institutions' demands for mathematical skills. This book introduces the mathematical methods of financial modeling with clear explanations of the most useful models. Introduction to Stochastic Calculus begins with an elementary presentation of discrete models, including the ...

Financial Mathematics

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  • Author : Giuseppe Campolieti,Roman N. Makarov
  • Publisher : CRC Press
  • Release Date : 2014-03-12
  • Total pages : 829
  • ISBN : 0081020864
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Summary : Versatile for Several Interrelated Courses at the Undergraduate and Graduate Levels Financial Mathematics: A Comprehensive Treatment provides a unified, self-contained account of the main theory and application of methods behind modern-day financial mathematics. Tested and refined through years of the authors’ teaching experiences, the book encompasses a breadth of topics, ...

An Elementary Introduction to Stochastic Interest Rate Modeling

An Elementary Introduction to Stochastic Interest Rate Modeling
  • Author : Nicolas Privault
  • Publisher : World Scientific
  • Release Date : 2012
  • Total pages : 228
  • ISBN : 0081020864
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Summary : Interest rate modeling and the pricing of related derivatives remain subjects of increasing importance in financial mathematics and risk management. This book provides an accessible introduction to these topics by a step-by-step presentation of concepts with a focus on explicit calculations. Each chapter is accompanied with exercises and their complete ...

Hidden Markov Models in Finance

Hidden Markov Models in Finance
  • Author : Rogemar S. Mamon,Robert J Elliott
  • Publisher : Springer Science & Business Media
  • Release Date : 2007-04-26
  • Total pages : 186
  • ISBN : 0081020864
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Summary : A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to specialized financial problems: option pricing, credit risk modeling, volatility estimation and more. The book provides tools for sorting through turbulence, volatility, emotion, ...

Random Evolutions and their Applications

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  • Author : Anatoly Swishchuk
  • Publisher : Springer Science & Business Media
  • Release Date : 2013-03-14
  • Total pages : 294
  • ISBN : 0081020864
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Summary : The book is devoted to the new trends in random evolutions and their various applications to stochastic evolutionary sytems (SES). Such new developments as the analogue of Dynkin's formulae, boundary value problems, stochastic stability and optimal control of random evolutions, stochastic evolutionary equations driven by martingale measures are considered. The ...

Special Issue on Financial Mathematics and Computing

Special Issue on Financial Mathematics and Computing
  • Author : Anonim
  • Publisher : Unknown
  • Release Date : 1992
  • Total pages : 121
  • ISBN : 0081020864
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Summary : Download or read online Special Issue on Financial Mathematics and Computing written by , published by which was released on 1992. Get Special Issue on Financial Mathematics and Computing Books now! Available in PDF, ePub and Kindle....