Stochastic Analysis for Finance with Simulations

• Κύριος συγγραφέας: Choe, Geon Ho (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2016.
• Σειρά: Universitext,
• Θέματα: Mathematics.; Economics, Mathematical.; Mathematics, general.; Quantitative Finance.

This book is an introduction to stochastic analysis and quantitative finance; it includes both theoretical and computational methods. Topics covered are stochastic calculus, option pricing, optimal portfolio investment, and interest rate models. Also included are simulations of stochastic phenomena,...

Πίνακας περιεχομένων:

• Preface
• Acknowledgements
• List of Figures
• List of Tables
• List of Simulations
• Fundamental Concepts
• Financial Derivatives
• The Lebesgue Integral
• Basic Probability Theory
• Conditional Expectation
• Stochastic Processes
• Brownian Motion
• Girsanov's Theorem
• The Reflection Principle of Brownian Motion
• The Ito Integral
• The Ito Formula
• Stochastic Differential Equations
• The Feynmann-Kac Theorem
• The Binomial Tree Method for Option Pricing
• The Black-Scholes-Merton Differential Equation
• The Martingale Method
• Pricing of Vanilla Options
• Pricing of Exotic Options
• American Options
• The Capital Asset Pricing Model
• Dynamic Programming
• Bond Pricing
• Interest Rate Models
• Numeraires
• Numerical Estimation of Volatility
• Time Series
• Random Numbers
• The Monte Carlo Method for Option Pricing
• Numerical Solution of the Black-Scholes-Merton Equation
• Numerical Solution of Stochastic Differential Equations. Appendices
• Solutions for Selected Problems
• Glossary
• References
• Index.  .