Introduction to Stochastic Finance

Häftad, Engelska, 2018

488 kr

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Beskrivning

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.

Produktinformation

Utgivningsdatum:2018-10-17
Mått:155 x 235 x 33 mm
Vikt:634 g
Format:Häftad
Språk:Engelska
Serie:Universitext
Antal sidor:403
Förlag:Springer Verlag, Singapore
ISBN:9789811316562

Utforska kategorier

Mer om författaren

Professor Jia-An Yan is a Professor of Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences. He is a Member of the Chinese Academy of Sciences and he has served as Editor-in-Chief of Acta Mathematicae Applicatae Sinica and members of several editorial boards. His main research area is stochastic analysis and mathematical finance.

Recensioner i media

“The monograph is a wonderful text for graduate courses in mathematical finance and related fields. … The materials presented in the monograph are organised in a thoughtful way.” (Tak Kuen Siu, zbMATH 1420.91001, 2019)

Innehållsförteckning

Foundation of Probability Theory and Discrete-time Martingales.- Portfolio Selection Theory in Discrete Time.- Financial Markets in Discrete Time.- Martingale Theory and Itˆo Stochastic Analysis.- The Black-Scholes Model and Its Modifications.- Pricing and Hedging of Exotic Options.- Itˆo Process and Diffusion Models.- Term Structure Models For Interest Rates.- Optimal Investment-Consumption Strategies in Diffusion Models.- Static Risk Measures.- Stochastic Calculus and Semimartingale Model.- Optimal Investment in Incomplete Markets.- Martingale Method for Utility Maximization.- Optimal Growth Portfoliosand Option Pricing