Financial Mathematics

Financial Mathematics

A Comprehensive Treatment in Continuous Time Volume II

Makarov, Roman N.; Campolieti, Giuseppe

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.
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