Stochastic Models of Financial Mathematics

ISBN: 9781785481987 出版年：2016 页码：132 Mackevicius, Vigirdas ISTE Press - Elsevier_RM

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 choles and interest rate models. Other topics covered include self-financing strategies, option pricing, exotic options and risk-neutral probabilities. Vasicek, Cox鈭扞ngersoll鈭扲oss, and Heath arrow orton 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 mathematicsBlack-Sholes model and interest rate modelsRequiring a minimum knowledge of stochastic integration and stochastic differential equations