Financial Mathematics
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Financial Mathematics
A Comprehensive Treatment in Continuous Time Volume II
Campolieti, Giuseppe; Makarov, Roman N.
Taylor & Francis Ltd
12/2022
492
Dura
Inglês
9781138603639
15 a 20 dias
1100
Descrição não disponível.
Part I: Stochastic Calculus with Brownian Motion. 1. One-Dimensional Brownian Motion and Related Processes. 2. Introduction to Continuous-Time Stochastic Calculus. Part II Continuous-Time Modelling. 3. Risk-Neutral Pricing in the (B; S) Economy: One Underlying Stock. 4. Risk-Neutral Pricing in a Multi-Asset Economy. 5. American Options. 6. Interest-Rate Modelling and Derivative Pricing. 7. Alternative Models of Asset Price Dynamics. A. Essentials of General Probability Theory. B. Some Useful Integral (Expectation) Identities and Symmetry Properties of Normal Random Variables. C. Answers and Hints to Exercises. D. Glossary of Symbols and Abbreviations. Greek Alphabet. References. Index.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
Stochastic calculus;Risk-neutral pricing;Options;Interest rate modeling;Monte Carlo and risk simulation models;Finance;Early Exercise Boundary;Optimal Exercise Boundary;Underlying Asset Price Process;Risk Neutral Pricing;Black Scholes PDE;Early Exercise Premium;Continuous Dividend Yield;Standard Black Scholes Model;Smooth Pasting Condition;Early Exercise Options;Optimal Exercise Time;American Option;Perpetual American;Bermudan Option;Stock Price Process;American Call;Option Pricing Function;Perpetual American Option;Geometric Brownian Motion;Arbitrage Free Pricing;Binomial Tree Model;Pricing Function;Geometric Brownian Motion Model;European Call;Asset Price Process
Part I: Stochastic Calculus with Brownian Motion. 1. One-Dimensional Brownian Motion and Related Processes. 2. Introduction to Continuous-Time Stochastic Calculus. Part II Continuous-Time Modelling. 3. Risk-Neutral Pricing in the (B; S) Economy: One Underlying Stock. 4. Risk-Neutral Pricing in a Multi-Asset Economy. 5. American Options. 6. Interest-Rate Modelling and Derivative Pricing. 7. Alternative Models of Asset Price Dynamics. A. Essentials of General Probability Theory. B. Some Useful Integral (Expectation) Identities and Symmetry Properties of Normal Random Variables. C. Answers and Hints to Exercises. D. Glossary of Symbols and Abbreviations. Greek Alphabet. References. Index.
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
Stochastic calculus;Risk-neutral pricing;Options;Interest rate modeling;Monte Carlo and risk simulation models;Finance;Early Exercise Boundary;Optimal Exercise Boundary;Underlying Asset Price Process;Risk Neutral Pricing;Black Scholes PDE;Early Exercise Premium;Continuous Dividend Yield;Standard Black Scholes Model;Smooth Pasting Condition;Early Exercise Options;Optimal Exercise Time;American Option;Perpetual American;Bermudan Option;Stock Price Process;American Call;Option Pricing Function;Perpetual American Option;Geometric Brownian Motion;Arbitrage Free Pricing;Binomial Tree Model;Pricing Function;Geometric Brownian Motion Model;European Call;Asset Price Process
