Stochastic Models of Financial Mathematics

Produk Detail:
  • Author : Vigirdas Mackevicius
  • Publisher : Elsevier
  • Pages : 130 pages
  • ISBN : 0081020864
  • Rating : /5 from reviews
CLICK HERE TO GET THIS BOOK >>>Stochastic Models of Financial Mathematics

Download or Read online Stochastic Models of Financial Mathematics full in PDF, ePub and kindle. this book written by Vigirdas Mackevicius and published by Elsevier which was released on 08 November 2016 with total page 130 pages. We cannot guarantee that Stochastic Models of Financial Mathematics book is available in the library, click Get Book button and read full online book in your kindle, tablet, IPAD, PC or mobile whenever and wherever You Like. 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 : 08 November 2016
GET THIS BOOK Stochastic Models of Financial Mathematics

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

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  • Release : 07 March 2013
GET THIS BOOK Mathematical Finance

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.

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  • Publisher : CRC Press
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GET THIS BOOK Stochastic Finance

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.

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  • Publisher : Springer Science & Business Media
  • Release : 18 April 2006
GET THIS BOOK Stochastic Modeling in Economics and Finance

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,

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  • Publisher : Chapman & Hall/CRC
  • Release : 10 September 2018
GET THIS BOOK Stochastic Financial Models

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 Modelsprovides 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 mean-variance approach

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  • Release : 12 March 2014
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  • Publisher : CRC Press
  • Release : 29 July 2002
GET THIS BOOK Stochastic Processes with Applications to Finance

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 in an accessible treatment that strikes a balance between the abstract and the practical. Using an approach that views sophisticated stochastic calculus as based on a simple class of discrete

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  • Release : 03 October 1999
GET THIS BOOK Essentials of Stochastic Finance

This important book provides information necessary for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty; introduces the reader to the main concepts, notions and results of stochastic financial mathematics; and develops applications of these results to various kinds of calculations required in financial engineering. It also answers the requests of teachers of financial mathematics and engineering by making a bias towards probabilistic and statistical ideas and the methods of stochastic calculus in

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  • Publisher : Elsevier
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  • Publisher : World Scientific
  • Release : 03 October 2022
GET THIS BOOK An Elementary Introduction to Stochastic Interest Rate Modeling

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 solutions, making the book suitable for advanced undergraduate and graduate level students. This second edition retains the main features of the first edition while incorporating a complete revision of the

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  • Release : 26 April 2007
GET THIS BOOK Hidden Markov Models in Finance

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, chaotic events – the random "noise" of financial markets – to analyze core components.

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  • Publisher : Springer Science & Business Media
  • Release : 14 March 2013
GET THIS BOOK Random Evolutions and their Applications

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 book also contains such new trends in applied probability as stochastic models of financial and insurance mathematics in an incomplete market. In the famous classical financial mathematics Black-Scholes model of

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  • Author : Damien Lamberton,Bernard Lapeyre
  • Publisher : CRC Press
  • Release : 01 June 1996
GET THIS BOOK Introduction to Stochastic Calculus Applied to Finance Second Edition

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 Cox-Ross-Rubenstein model. This book will be valued by derivatives trading, marketing, and research divisions of investment banks and other institutions, and also by graduate students and research academics in applied