pick your favorite books

Discrete Time Asset Pricing Models In Applied Stochastic Finance

Discrete time Asset Pricing Models in Applied Stochastic Finance PDF
Author: P. C. G. Vassiliou
Publisher: John Wiley & Sons
ISBN: 1118618661
Size: 67.22 MB
Format: PDF, Mobi
Category : Mathematics
Languages : en
Pages : 416
View: 999

Get Book

Discrete Time Asset Pricing Models In Applied Stochastic Finance

by P. C. G. Vassiliou, Discrete Time Asset Pricing Models In Applied Stochastic Finance Books available in PDF, EPUB, Mobi Format. Download Discrete Time Asset Pricing Models In Applied Stochastic Finance books, Stochastic finance and financial engineering have been rapidly expanding fields of science over the past four decades, mainly due to the success of sophisticated quantitative methodologies in helping professionals manage financial risks. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better comprehending, modeling and hedging this kind of risk. These two volumes aim to provide a foundation course on applied stochastic finance. They are designed for three groups of readers: firstly, students of various backgrounds seeking a core knowledge on the subject of stochastic finance; secondly financial analysts and practitioners in the investment, banking and insurance industries; and finally other professionals who are interested in learning advanced mathematical and stochastic methods, which are basic knowledge in many areas, through finance. Volume 1 starts with the introduction of the basic financial instruments and the fundamental principles of financial modeling and arbitrage valuation of derivatives. Next, we use the discrete-time binomial model to introduce all relevant concepts. The mathematical simplicity of the binomial model also provides us with the opportunity to introduce and discuss in depth concepts such as conditional expectations and martingales in discrete time. However, we do not expand beyond the needs of the stochastic finance framework. Numerous examples, each highlighted and isolated from the text for easy reference and identification, are included. The book concludes with the use of the binomial model to introduce interest rate models and the use of the Markov chain model to introduce credit risk. This volume is designed in such a way that, among other uses, makes it useful as an undergraduate course.




Discrete Time Branching Processes In Random Environment

Discrete Time Branching Processes in Random Environment PDF
Author: Götz Kersting
Publisher: John Wiley & Sons
ISBN: 1119473772
Size: 15.19 MB
Format: PDF, Kindle
Category : Mathematics
Languages : en
Pages : 306
View: 7131

Get Book

Discrete Time Branching Processes In Random Environment

by Götz Kersting, Discrete Time Branching Processes In Random Environment Books available in PDF, EPUB, Mobi Format. Download Discrete Time Branching Processes In Random Environment books, Branching processes are stochastic processes which represent the reproduction of particles, such as individuals within a population, and thereby model demographic stochasticity. In branching processes in random environment (BPREs), additional environmental stochasticity is incorporated, meaning that the conditions of reproduction may vary in a random fashion from one generation to the next. This book offers an introduction to the basics of BPREs and then presents the cases of critical and subcritical processes in detail, the latter dividing into weakly, intermediate, and strongly subcritical regimes.




Stochastic Finance

Stochastic Finance PDF
Author: Hans Föllmer
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 3110463458
Size: 43.30 MB
Format: PDF
Category : Mathematics
Languages : en
Pages : 608
View: 7063

Get Book

Stochastic Finance

by Hans Föllmer, Stochastic Finance Books available in PDF, EPUB, Mobi Format. Download Stochastic Finance books, This book is an introduction to financial mathematics. It is intended for graduate students in mathematics and for researchers working in academia and industry. The focus on stochastic models in discrete time has two immediate benefits. First, the probabilistic machinery is simpler, and one can discuss right away some of the key problems in the theory of pricing and hedging of financial derivatives. Second, the paradigm of a complete financial market, where all derivatives admit a perfect hedge, becomes the exception rather than the rule. Thus, the need to confront the intrinsic risks arising from market incomleteness appears at a very early stage. The first part of the book contains a study of a simple one-period model, which also serves as a building block for later developments. Topics include the characterization of arbitrage-free markets, preferences on asset profiles, an introduction to equilibrium analysis, and monetary measures of financial risk. In the second part, the idea of dynamic hedging of contingent claims is developed in a multiperiod framework. Topics include martingale measures, pricing formulas for derivatives, American options, superhedging, and hedging strategies with minimal shortfall risk. This fourth, newly revised edition contains more than one hundred exercises. It also includes material on risk measures and the related issue of model uncertainty, in particular a chapter on dynamic risk measures and sections on robust utility maximization and on efficient hedging with convex risk measures. Contents: Part I: Mathematical finance in one period Arbitrage theory Preferences Optimality and equilibrium Monetary measures of risk Part II: Dynamic hedging Dynamic arbitrage theory American contingent claims Superhedging Efficient hedging Hedging under constraints Minimizing the hedging error Dynamic risk measures




Introduction To Stochastic Finance

Introduction to Stochastic Finance PDF
Author: Jia-An Yan
Publisher: Springer
ISBN: 9811316570
Size: 23.91 MB
Format: PDF, ePub, Mobi
Category : Mathematics
Languages : en
Pages : 403
View: 2333

Get Book

Introduction To Stochastic Finance

by Jia-An Yan, Introduction To Stochastic Finance Books available in PDF, EPUB, Mobi Format. Download Introduction To Stochastic Finance books, This book gives a systematic introduction to the basic theory of financial mathematics, with an emphasis on applications of martingale methods in pricing and hedging of contingent claims, interest rate term structure models, and expected utility maximization problems. The general theory of static risk measures, basic concepts and results on markets of semimartingale model, and a numeraire-free and original probability based framework for financial markets are also included. The basic theory of probability and Ito's theory of stochastic analysis, as preliminary knowledge, are presented.




Stochastic Modeling In Economics And Finance

Stochastic Modeling in Economics and Finance PDF
Author: Jitka Dupacova
Publisher: Springer Science & Business Media
ISBN: 0306481677
Size: 44.55 MB
Format: PDF
Category : Mathematics
Languages : en
Pages : 386
View: 4147

Get Book

Stochastic Modeling In Economics And Finance

by Jitka Dupacova, Stochastic Modeling In Economics And Finance Books available in PDF, EPUB, Mobi Format. Download Stochastic Modeling In Economics And Finance books, 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, value at risk. The method explanation takes into account the computational aspects. Part III explains modeling aspects of multistage stochastic programming on a relatively accessible level. It includes a survey of existing software, links to parametric, multiobjective and dynamic programming, and to probability and statistics. It focuses on scenario-based problems with the problems of scenario generation and output analysis discussed in detail and illustrated within a case study.




Probability And Finance Theory

Probability and Finance Theory PDF
Author: Kian Guan Lim
Publisher: World Scientific Publishing Company
ISBN: 9813107901
Size: 49.26 MB
Format: PDF, ePub
Category : Business & Economics
Languages : en
Pages : 404
View: 2846

Get Book

Probability And Finance Theory

by Kian Guan Lim, Probability And Finance Theory Books available in PDF, EPUB, Mobi Format. Download Probability And Finance Theory books, This book provides a basic grounding in the use of probability to model random financial phenomena of uncertainty, and is targeted at an advanced undergraduate and graduate level. It should appeal to finance students looking for a firm theoretical guide to the deep end of derivatives and investments. Bankers and finance professionals in the fields of investments, derivatives, and risk management should also find the book useful in bringing probability and finance together. The book contains applications of both discrete time theory and continuous time mathematics, and is extensive in scope. Distribution theory, conditional probability, and conditional expectation are covered comprehensively, and applications to modeling state space securities under market equilibrium are made. Martingale is studied, leading to consideration of equivalent martingale measures, fundamental theorems of asset pricing, change of numeraire and discounting, risk-adjusted and forward-neutral measures, minimal and maximal prices of contingent claims, Markovian models, and the existence of martingale measures preserving the Markov property. Discrete stochastic calculus and multiperiod models leading to no-arbitrage pricing of contingent claims are also to be found in this book, as well as the theory of Markov Chains and appropriate applications in credit modeling. Measure-theoretic probability, moments, characteristic functions, inequalities, and central limit theorems are examined. The theory of risk aversion and utility, and ideas of risk premia are considered. Other application topics include optimal consumption and investment problems and interest rate theory.




Introduction To Option Pricing Theory

Introduction to Option Pricing Theory PDF
Author: Gopinath Kallianpur
Publisher: Springer Science & Business Media
ISBN: 1461205115
Size: 38.81 MB
Format: PDF, Mobi
Category : Mathematics
Languages : en
Pages : 269
View: 2211

Get Book

Introduction To Option Pricing Theory

by Gopinath Kallianpur, Introduction To Option Pricing Theory Books available in PDF, EPUB, Mobi Format. Download Introduction To Option Pricing Theory books, Since the appearance of seminal works by R. Merton, and F. Black and M. Scholes, stochastic processes have assumed an increasingly important role in the development of the mathematical theory of finance. This work examines, in some detail, that part of stochastic finance pertaining to option pricing theory. Thus the exposition is confined to areas of stochastic finance that are relevant to the theory, omitting such topics as futures and term-structure. This self-contained work begins with five introductory chapters on stochastic analysis, making it accessible to readers with little or no prior knowledge of stochastic processes or stochastic analysis. These chapters cover the essentials of Ito's theory of stochastic integration, integration with respect to semimartingales, Girsanov's Theorem, and a brief introduction to stochastic differential equations. Subsequent chapters treat more specialized topics, including option pricing in discrete time, continuous time trading, arbitrage, complete markets, European options (Black and Scholes Theory), American options, Russian options, discrete approximations, and asset pricing with stochastic volatility. In several chapters, new results are presented. A unique feature of the book is its emphasis on arbitrage, in particular, the relationship between arbitrage and equivalent martingale measures (EMM), and the derivation of necessary and sufficient conditions for no arbitrage (NA). {\it Introduction to Option Pricing Theory} is intended for students and researchers in statistics, applied mathematics, business, or economics, who have a background in measure theory and have completed probability theory at the intermediate level. The work lends itself to self-study, as well as to a one-semester course at the graduate level.




Stochastic Finance

Stochastic Finance PDF
Author: Nicolas Privault
Publisher: CRC Press
ISBN: 1466594020
Size: 32.52 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 441
View: 2741

Get Book

Stochastic Finance

by Nicolas Privault, Stochastic Finance Books available in PDF, EPUB, Mobi Format. Download Stochastic Finance books, 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. The book discusses a wide range of classical topics including Black–Scholes pricing, exotic and American options, term structure modeling and change of numéraire, as well as models with jumps. The author takes the approach adopted by mainstream mathematical finance in which the computation of fair prices is based on the absence of arbitrage hypothesis, therefore excluding riskless profit based on arbitrage opportunities and basic (buying low/selling high) trading. With 104 figures and simulations, along with about 20 examples based on actual market data, the book is targeted at the advanced undergraduate and graduate level, either as a course text or for self-study, in applied mathematics, financial engineering, and economics.




Martingale Methods In Financial Modelling

Martingale Methods in Financial Modelling PDF
Author: Marek Musiela
Publisher: Springer Science & Business Media
ISBN: 3540266534
Size: 49.21 MB
Format: PDF, ePub, Docs
Category : Business & Economics
Languages : en
Pages : 638
View: 5504

Get Book

Martingale Methods In Financial Modelling

by Marek Musiela, Martingale Methods In Financial Modelling Books available in PDF, EPUB, Mobi Format. Download Martingale Methods In Financial Modelling books, A new edition of a successful, well-established book that provides the reader with a text focused on practical rather than theoretical aspects of financial modelling Includes a new chapter devoted to volatility risk The theme of stochastic volatility reappears systematically and has been revised fundamentally, presenting a much more detailed analyses of interest-rate models




Pde And Martingale Methods In Option Pricing

PDE and Martingale Methods in Option Pricing PDF
Author: Andrea Pascucci
Publisher: Springer Science & Business Media
ISBN: 9788847017818
Size: 54.23 MB
Format: PDF
Category : Mathematics
Languages : en
Pages : 721
View: 579

Get Book

Pde And Martingale Methods In Option Pricing

by Andrea Pascucci, Pde And Martingale Methods In Option Pricing Books available in PDF, EPUB, Mobi Format. Download Pde And Martingale Methods In Option Pricing books, This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for readers with a basic mathematical background. The first part contains a presentation of the arbitrage theory in discrete time. In the second part, the theories of stochastic calculus and parabolic PDEs are developed in detail and the classical arbitrage theory is analyzed in a Markovian setting by means of of PDEs techniques. After the martingale representation theorems and the Girsanov theory have been presented, arbitrage pricing is revisited in the martingale theory optics. General tools from PDE and martingale theories are also used in the analysis of volatility modeling. The book also contains an Introduction to Lévy processes and Malliavin calculus. The last part is devoted to the description of the numerical methods used in option pricing: Monte Carlo, binomial trees, finite differences and Fourier transform.