Mathematical Finance

• Main Authors: Eberlein, Ernst (Author, http://id.loc.gov/vocabulary/relators/aut), Kallsen, Jan (http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2019.
• Edition: 1st ed. 2019.
• Series: Springer Finance,
• Subjects: Economics, Mathematical .; Probabilities.; Financial engineering.; Risk management.; Finance-Mathematics.; Quantitative Finance.; Probability Theory and Stochastic Processes.; Financial Engineering.; Risk Management.; Financial Mathematics.

Taking continuous-time stochastic processes allowing for jumps as its starting and focal point, this book provides an accessible introduction to the stochastic calculus and control of semimartingales and explains the basic concepts of Mathematical Finance such as arbitrage theory, hedging, valuation...

Table of Contents:

• Part I
• Stochastic Calculus
• Overview
• Discrete Stochastic Calculus
• Lévy Processes
• Stochastic Integration
• Semimartingale Characteristics
• Markov Processes
• Affine and Polynomial Processes
• Optimal Control
• Mathematical Finance
• Overview and Notation
• Equity models
• Markets, Strategies, Arbitrage
• Optimal Investment
• Arbitrage-Based Valuation and Hedging of Derivatives
• Mean-Variance Hedging
• Utility-Based Valuation and Hedging of Derivatives
• Interest Rate Models.