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Introduction To Stochastic Finance

Introduction to Stochastic Finance PDF
Author: Jia-An Yan
Publisher: Springer
ISBN: 9811316570
Size: 64.18 MB
Format: PDF, Docs
Category : Mathematics
Languages : en
Pages : 403
View: 6516

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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 Finance

Stochastic Finance PDF
Author: Hans Föllmer
Publisher: Walter de Gruyter GmbH & Co KG
ISBN: 3110463458
Size: 20.42 MB
Format: PDF, Docs
Category : Mathematics
Languages : en
Pages : 608
View: 763

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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




Elementary Stochastic Calculus With Finance In View

Elementary Stochastic Calculus with Finance in View PDF
Author: Thomas Mikosch
Publisher: World Scientific
ISBN: 9789810235437
Size: 64.38 MB
Format: PDF, Mobi
Category : Mathematics
Languages : en
Pages : 212
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Elementary Stochastic Calculus With Finance In View

by Thomas Mikosch, Elementary Stochastic Calculus With Finance In View Books available in PDF, EPUB, Mobi Format. Download Elementary Stochastic Calculus With Finance In View books, Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory. This book is suitable for the reader without a deep mathematical background. It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black -- Scholes option pricing formula is derived. The book can serve as a text for a course on stochastic calculus for non-mathematicians or as elementary reading material for anyone who wants to learn about Ito calculus and/or stochastic finance.




Stochastic Calculus For Finance I

Stochastic Calculus for Finance I PDF
Author: Steven Shreve
Publisher: Springer Science & Business Media
ISBN: 9780387249681
Size: 39.97 MB
Format: PDF, Kindle
Category : Mathematics
Languages : en
Pages : 187
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Stochastic Calculus For Finance I

by Steven Shreve, Stochastic Calculus For Finance I Books available in PDF, EPUB, Mobi Format. Download Stochastic Calculus For Finance I books, Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance




Stochastic Finance

Stochastic Finance PDF
Author: Nicolas Privault
Publisher: CRC Press
ISBN: 1466594039
Size: 30.81 MB
Format: PDF
Category : Business & Economics
Languages : en
Pages : 441
View: 7496

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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




Essentials Of Stochastic Finance

Essentials of Stochastic Finance PDF
Author: Albert N. Shiryaev
Publisher: World Scientific
ISBN: 9812385193
Size: 48.61 MB
Format: PDF, ePub
Category : Electronic books
Languages : en
Pages : 852
View: 5514

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Essentials Of Stochastic Finance

by Albert N. Shiryaev, Essentials Of Stochastic Finance Books available in PDF, EPUB, Mobi Format. Download Essentials Of Stochastic Finance books, 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 the analysis of market risks.




Stochastic Finance

Stochastic Finance PDF
Author: Alʹbert Nikolaevich Shiri︠a︡ev
Publisher: Springer Science & Business Media
ISBN: 9780387282626
Size: 63.20 MB
Format: PDF
Category : Business & Economics
Languages : en
Pages : 364
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Stochastic Finance

by Alʹbert Nikolaevich Shiri︠a︡ev, Stochastic Finance Books available in PDF, EPUB, Mobi Format. Download Stochastic Finance books, Mathematics, as the language of science, has always played a role in the development of knowledge and technology. The high-tech character of modern business has increased the need for advanced methods, which rely to a large extent on mathematical techniques.




Stochastic Finance

Stochastic Finance PDF
Author: Jan Vecer
Publisher: CRC Press
ISBN: 1439812527
Size: 80.55 MB
Format: PDF, Docs
Category : Business & Economics
Languages : en
Pages : 342
View: 7002

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Stochastic Finance

by Jan Vecer, Stochastic Finance Books available in PDF, EPUB, Mobi Format. Download Stochastic Finance books, Unlike much of the existing literature, Stochastic Finance: A Numeraire Approach treats price as a number of units of one asset needed for an acquisition of a unit of another asset instead of expressing prices in dollar terms exclusively. This numeraire approach leads to simpler pricing options for complex products, such as barrier, lookback, quant




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: 64.99 MB
Format: PDF, ePub, Docs
Category : Mathematics
Languages : en
Pages : 416
View: 4774

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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.




From Stochastic Calculus To Mathematical Finance

From Stochastic Calculus to Mathematical Finance PDF
Author: Yu. Kabanov
Publisher: Springer Science & Business Media
ISBN: 3540307885
Size: 62.64 MB
Format: PDF, Kindle
Category : Mathematics
Languages : en
Pages : 633
View: 2141

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From Stochastic Calculus To Mathematical Finance

by Yu. Kabanov, From Stochastic Calculus To Mathematical Finance Books available in PDF, EPUB, Mobi Format. Download From Stochastic Calculus To Mathematical Finance books, Dedicated to the Russian mathematician Albert Shiryaev on his 70th birthday, this is a collection of papers written by his former students, co-authors and colleagues. The book represents the modern state of art of a quickly maturing theory and will be an essential source and reading for researchers in this area. Diversity of topics and comprehensive style of the papers make the book attractive for PhD students and young researchers.