Download or read book Stochastic Finance written by Nicolas Privault and published by CRC Press. This book was released on 2013-12-20 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Download or read book Introduction to Stochastic Finance with Market Examples written by Nicolas Privault and published by CRC Press. This book was released on 2022-12-13 with total page 663 pages. Available in PDF, EPUB and Kindle. Book excerpt: Introduction to Stochastic Finance with Market Examples, Second Edition presents an introduction to pricing and hedging in discrete and continuous-time financial models, emphasizing both analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of stochastic calculus for finance, and details the techniques required to model the time evolution of risky assets. The book discusses a wide range of classical topics including Black–Scholes pricing, American options, derivatives, term structure modeling, and change of numéraire. It also builds up to special topics, such as exotic options, stochastic volatility, and jump processes. New to this Edition New chapters on Barrier Options, Lookback Options, Asian Options, Optimal Stopping Theorem, and Stochastic Volatility Contains over 235 exercises and 16 problems with complete solutions available online from the instructor resources Added over 150 graphs and figures, for more than 250 in total, to optimize presentation 57 R coding examples now integrated into the book for implementation of the methods Substantially class-tested, so ideal for course use or self-study With abundant exercises, problems with complete solutions, graphs and figures, and R coding examples, the book is primarily aimed at advanced undergraduate and graduate students in applied mathematics, financial engineering, and economics. It could be used as a course text or for self-study and would also be a comprehensive and accessible reference for researchers and practitioners in the field.
Download or read book Essentials of Stochastic Finance written by Albert N. Shiryaev and published by World Scientific. This book was released on 1999 with total page 852 pages. Available in PDF, EPUB and Kindle. Book excerpt: Readership: Undergraduates and researchers in probability and statistics; applied, pure and financial mathematics; economics; chaos.
Download or read book Stochastic Finance written by Hans Föllmer and published by Walter de Gruyter. This book was released on 2008-12-19 with total page 473 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an introduction to financial mathematics. The first part of the book studies a simple one-period model which 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 risk. In the second part, the idea of dynamic hedging of contingent claims is developed in a multiperiod framework. Such models are typically incomplete: They involve intrinsic risks which cannot be hedged away completely. Topics include martingale measures, pricing formulas for derivatives, American options, superhedging, and hedging strategies with minimal shortfall risk. In addition to many corrections and improvements, this second edition contains several new sections, including a systematic discussion of law-invariant risk measures and of the connections between American options, superhedging, and dynamic risk measures.
Download or read book Elementary Stochastic Calculus with Finance in View written by Thomas Mikosch and published by World Scientific. This book was released on 1998 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Essentials Of Stochastic Finance Facts Models Theory written by Albert N Shiryaev and published by World Scientific. This book was released on 1999-01-15 with total page 852 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Introductory Stochastic Analysis for Finance and Insurance written by X. Sheldon Lin and published by John Wiley & Sons. This book was released on 2006-04-21 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: Incorporates the many tools needed for modeling and pricing infinance and insurance Introductory Stochastic Analysis for Finance and Insuranceintroduces readers to the topics needed to master and use basicstochastic analysis techniques for mathematical finance. The authorpresents the theories of stochastic processes and stochasticcalculus and provides the necessary tools for modeling and pricingin finance and insurance. Practical in focus, the book's emphasisis on application, intuition, and computation, rather thantheory. Consequently, the text is of interest to graduate students,researchers, and practitioners interested in these areas. While thetext is self-contained, an introductory course in probabilitytheory is beneficial to prospective readers. This book evolved from the author's experience as an instructor andhas been thoroughly classroom-tested. Following an introduction,the author sets forth the fundamental information and tools neededby researchers and practitioners working in the financial andinsurance industries: * Overview of Probability Theory * Discrete-Time stochastic processes * Continuous-time stochastic processes * Stochastic calculus: basic topics The final two chapters, Stochastic Calculus: Advanced Topics andApplications in Insurance, are devoted to more advanced topics.Readers learn the Feynman-Kac formula, the Girsanov's theorem, andcomplex barrier hitting times distributions. Finally, readersdiscover how stochastic analysis and principles are applied inpractice through two insurance examples: valuation of equity-linkedannuities under a stochastic interest rate environment andcalculation of reserves for universal life insurance. Throughout the text, figures and tables are used to help simplifycomplex theory and pro-cesses. An extensive bibliography opens upadditional avenues of research to specialized topics. Ideal for upper-level undergraduate and graduate students, thistext is recommended for one-semester courses in stochastic financeand calculus. It is also recommended as a study guide forprofessionals taking Causality Actuarial Society (CAS) and Societyof Actuaries (SOA) actuarial examinations.
Download or read book An Introduction to Financial Markets written by Paolo Brandimarte and published by John Wiley & Sons. This book was released on 2018-02-22 with total page 784 pages. Available in PDF, EPUB and Kindle. Book excerpt: COVERS THE FUNDAMENTAL TOPICS IN MATHEMATICS, STATISTICS, AND FINANCIAL MANAGEMENT THAT ARE REQUIRED FOR A THOROUGH STUDY OF FINANCIAL MARKETS This comprehensive yet accessible book introduces students to financial markets and delves into more advanced material at a steady pace while providing motivating examples, poignant remarks, counterexamples, ideological clashes, and intuitive traps throughout. Tempered by real-life cases and actual market structures, An Introduction to Financial Markets: A Quantitative Approach accentuates theory through quantitative modeling whenever and wherever necessary. It focuses on the lessons learned from timely subject matter such as the impact of the recent subprime mortgage storm, the collapse of LTCM, and the harsh criticism on risk management and innovative finance. The book also provides the necessary foundations in stochastic calculus and optimization, alongside financial modeling concepts that are illustrated with relevant and hands-on examples. An Introduction to Financial Markets: A Quantitative Approach starts with a complete overview of the subject matter. It then moves on to sections covering fixed income assets, equity portfolios, derivatives, and advanced optimization models. This book’s balanced and broad view of the state-of-the-art in financial decision-making helps provide readers with all the background and modeling tools needed to make “honest money” and, in the process, to become a sound professional. Stresses that gut feelings are not always sufficient and that “critical thinking” and real world applications are appropriate when dealing with complex social systems involving multiple players with conflicting incentives Features a related website that contains a solution manual for end-of-chapter problems Written in a modular style for tailored classroom use Bridges a gap for business and engineering students who are familiar with the problems involved, but are less familiar with the methodologies needed to make smart decisions An Introduction to Financial Markets: A Quantitative Approach offers a balance between the need to illustrate mathematics in action and the need to understand the real life context. It is an ideal text for a first course in financial markets or investments for business, economic, statistics, engineering, decision science, and management science students.
Download or read book Stochastic Finance written by Amanda Turner and published by Cambridge University Press. This book was released on 2023-01-31 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: A relaxed and user-friendly approach to understanding financial mathematics and the pricing of options with extensive examples and exercises.
Download or read book Introduction to Stochastic Calculus with Applications written by Fima C. Klebaner and published by Imperial College Press. This book was released on 2005 with total page 431 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a concise treatment of stochastic calculus and its applications. It gives a simple but rigorous treatment of the subject including a range of advanced topics, it is useful for practitioners who use advanced theoretical results. It covers advanced applications, such as models in mathematical finance, biology and engineering.Self-contained and unified in presentation, the book contains many solved examples and exercises. It may be used as a textbook by advanced undergraduates and graduate students in stochastic calculus and financial mathematics. It is also suitable for practitioners who wish to gain an understanding or working knowledge of the subject. For mathematicians, this book could be a first text on stochastic calculus; it is good companion to more advanced texts by a way of examples and exercises. For people from other fields, it provides a way to gain a working knowledge of stochastic calculus. It shows all readers the applications of stochastic calculus methods and takes readers to the technical level required in research and sophisticated modelling.This second edition contains a new chapter on bonds, interest rates and their options. New materials include more worked out examples in all chapters, best estimators, more results on change of time, change of measure, random measures, new results on exotic options, FX options, stochastic and implied volatility, models of the age-dependent branching process and the stochastic Lotka-Volterra model in biology, non-linear filtering in engineering and five new figures.Instructors can obtain slides of the text from the author.
Download or read book Stochastic Calculus and Financial Applications written by J. Michael Steele and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH
Download or read book Stochastic Finance written by Jan Vecer and published by CRC Press. This book was released on 2011-01-06 with total page 339 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Download or read book Stochastic Finance written by Hans Föllmer and published by Walter de Gruyter GmbH & Co KG. This book was released on 2016-07-25 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Download or read book Derivatives in Financial Markets with Stochastic Volatility written by Jean-Pierre Fouque and published by Cambridge University Press. This book was released on 2000-07-03 with total page 222 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.
Download or read book Stochastic Calculus for Finance I written by Steven Shreve and published by Springer Science & Business Media. This book was released on 2005-06-28 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Download or read book Stochastic Differential Equations written by Bernt Oksendal and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: These notes are based on a postgraduate course I gave on stochastic differential equations at Edinburgh University in the spring 1982. No previous knowledge about the subject was assumed, but the presen tation is based on some background in measure theory. There are several reasons why one should learn more about stochastic differential equations: They have a wide range of applica tions outside mathematics, there are many fruitful connections to other mathematical disciplines and the subject has a rapidly develop ing life of its own as a fascinating research field with many interesting unanswered questions. Unfortunately most of the literature about stochastic differential equations seems to place so much emphasis on rigor and complete ness that is scares many nonexperts away. These notes are an attempt to approach the subject from the nonexpert point of view: Not knowing anything (except rumours, maybe) about a subject to start with, what would I like to know first of all? My answer would be: 1) In what situations does the subject arise? 2) What are its essential features? 3) What are the applications and the connections to other fields? I would not be so interested in the proof of the most general case, but rather in an easier proof of a special case, which may give just as much of the basic idea in the argument. And I would be willing to believe some basic results without proof (at first stage, anyway) in order to have time for some more basic applications.
Download or read book Stochastic Processes Finance and Control written by Samuel N Cohen and published by World Scientific. This book was released on 2012-08-10 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas. This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control. Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy. Contents:Stochastic Analysis:On the Connection Between Discrete and Continuous Wick Calculus with an Application to the Fractional Black-Scholes Model (C Bender and P Parczewski)Malliavin Differentiability of a Class of Feller-Diffusions with Relevance in Finance (C-O Ewald, Y Xiao, Y Zou and T K Siu)A Stochastic Integral for Adapted and Instantly Independent Stochastic Processes (H-H Kuo, A Sae-Tang and B Szozda)Independence of Some Multiple Poisson Stochastic Integrals with Variable-Sign Kernels (N Privault)Differential and Stochastic Games:Strategies for Differential Games (W H Fleming and D Hernández-Hernández)BSDE Approach to Non-Zero-Sum Stochastic Differential Games of Control and Stopping (I Karatzas and Q Li)Mathematical Finance:On Optimal Dividend Strategies in Insurance with a Random Time Horizon (H Albrecher and S Thonhauser)Counterparty Risk and the Impact of Collateralization in CDS Contracts (T R Bielecki, I Cialenco and I Iyigunler)A Modern View on Merton's Jump-Diffusion Model (G H L Cheang and C Chiarella)Hedging Portfolio Loss Derivatives with CDS's (A Cousin and M Jeanblanc)New Analytic Approximations for Pricing Spread Options (J van der Hoek and M W Korolkiewicz)On the Polynomial–Normal Model and Option Pricing (H Li and A Melnikov)A Functional Transformation Approach to Interest Rate Modelling(S Luo, J Yan and Q Zhang)S&P 500 Index Option Surface Drivers and Their Risk Neutral and Real World Quadratic Covariations (D B Madan)A Dynamic Portfolio Approach to Asset Markets and Monetary Policy (E Platen and W Semmler)Mean-Variance Portfolio Selection Under Regime-Switching Diffusion Asset Models: A Two-Time-Scale Limit (G Yin and Y Talafha)Filtering and Control:Existence and Uniqueness of Solutions for a Partially Observed Stochastic Control Problem (A Bensoussan, M Çakanyildirim, M Li and S P Sethi)Continuous Control of Piecewise Deterministic Markov Processes with Long Run Average Cost (O L V Costa and F Dufour)Stochastic Linear-Quadratic Control Revisited (T E Duncan)Optimization of Stochastic Uncertain Systems: Entropy Rate Functionals, Minimax Games and Robustness (F Rezaei, C D Charalambous and N U Ahmed)Gradient Based Policy Optimization of Constrained Markov Decision Processes (V Krishnamurthy and F J Vázquez Abad)Parameter Estimation of a Regime-Switching Model Using an Inverse Stieltjes Moment Approach (X Xi, M R Rodrigo and R S Mamon)An Optimal Inventory-Price Coordination Policy (H Zhang and Q Zhang) Readership: Researchers and professionals in stochastic processes, analysis, filtering and control. Keywords:Stochastic Processes;Filtering;Stochastic Control;Stochastic Analysis;Mathematical Finance;Actuarial Sciences;EngineeringKey Features:This is a festschrift of Professor Robert J Elliott, who is a world leader in the areas of stochastic processes, filtering, control as well as their applicationsIncludes contributions of many world-leading scholars in the fieldsContain many original and fundamental results in the fields rare in competing titles
