Financial Mathematics

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.

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• Finanças e contabilidade
• Gestão da produção e do controlo de qualidade
• Matemática aplicada
• Indústria dos serviços financeiros
• Probabilidade e Estatística
• Economia estatística

quantitative finance methods;stochastic differential equations;martingale theory;financial engineering applications;probability theory concepts;advanced mathematical modeling;continuous time derivative pricing