Financial Modeling

A Backward Stochastic Differential Equations Perspective

AvStephane Crepey

Inbunden, Engelska, 2013

Del i serien Springer Finance

858 kr

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Häftad

645 kr

Beskrivning

This book examines financial modeling and computational finance from a BSDE perspective, presenting a unified view of the pricing and hedging theory across all asset classes as well as a review of quantitative finance tools.

Produktinformation

Utgivningsdatum:2013-06-19
Mått:155 x 235 x 31 mm
Vikt:850 g
Format:Inbunden
Språk:Engelska
Serie:Springer Finance
Antal sidor:459
Upplaga:2013
Förlag:Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN:9783642371127

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Innehållsförteckning

Part I: An Introductory Course in Stochastic Processes.- 1.Some classes of Discrete-Time Stochastic Processes.-2.Some Classes of Continuous-Time Stochastic Processes.- 3.Elements of Stochastic Analysis.- Part II: Pricing Equations.- 4.Martingale Modeling.- 5.Benchmark Models.- Part III: Numerical Solutions.- 6.Monte Carlo Methods.- 7.Tree Methods.- 8.Finite Differences.- 9.Callibration Methods.- Part IV: Applications.- 10.Simulation/ Regression Pricing Schemes in Diffusive Setups.- 11.Simulation/ Regression Pricing Schemes in Pure Jump Setups.- Part V: Jump-Diffusion Setup with Regime Switching (**).- 12.Backward Stochastic Differential Equations.- 13.Analytic Approach.- 14.Extensions.- Part VI: Appendix.- A.Technical Proofs (**).- B.Exercises.- C.Corrected Problem Sets.

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