Download or read book Stochastic Models of Financial Mathematics written by Vigirdas Mackevicius and published by Elsevier. This book was released on 2016-11-08 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a short introduction to continuous-time financial models. An overview of the basics of stochastic analysis precedes a focus on the Black–Scholes and interest rate models. Other topics covered include self-financing strategies, option pricing, exotic options and risk-neutral probabilities. Vasicek, Cox-Ingersoll-Ross, and Heath–Jarrow–Morton interest rate models are also explored. The author presents practitioners with a basic introduction, with more rigorous information provided for mathematicians. The reader is assumed to be familiar with the basics of probability theory. Some basic knowledge of stochastic integration and differential equations theory is preferable, although all preliminary information is given in the first part of the book. Some relatively simple theoretical exercises are also provided. - About continuous-time stochastic models of financial mathematics - Black-Sholes model and interest rate models - Requiring a minimum knowledge of stochastic integration and stochastic differential equations

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 Financial Models written by Douglas Kennedy and published by CRC Press. This book was released on 2016-04-19 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Filling the void between surveys of the field with relatively light mathematical content and books with a rigorous, formal approach to stochastic integration and probabilistic ideas, Stochastic Financial Models provides a sound introduction to mathematical finance. The author takes a classical applied mathematical approach, focusing on calculations

Download or read book Mathematical Finance written by Jacques Janssen and published by Wiley-ISTE. This book was released on 2009-03-03 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a detailed study of Financial Mathematics. In addition to the extraordinary depth the book provides, it offers a study of the axiomatic approach that is ideally suited for analyzing financial problems. This book is addressed to MBA's, Financial Engineers, Applied Mathematicians, Banks, Insurance Companies, and Students of Business School, of Economics, of Applied Mathematics, of Financial Engineering, Banks, and more.

Download or read book Stochastic Modeling in Economics and Finance written by Jitka Dupacova and published by Springer Science & Business Media. This book was released on 2005-12-30 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to bridge the elements of financial arithmetic and complex models of financial math developed in the later parts. It covers characteristics of cash flows, yield curves, and valuation of securities. Part II is devoted to the allocation of funds and risk management: classics (Markowitz theory of portfolio), capital asset pricing model, arbitrage pricing theory, asset & liability management, value at risk. The method explanation takes into account the computational aspects. Part III explains modeling aspects of multistage stochastic programming on a relatively accessible level. It includes a survey of existing software, links to parametric, multiobjective and dynamic programming, and to probability and statistics. It focuses on scenario-based problems with the problems of scenario generation and output analysis discussed in detail and illustrated within a case study.

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 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: This classroom-tested text provides a deep understanding of derivative contracts. Unlike much of the existing literature, the book 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, quanto, and Asian options. With many examples and exercises, the text relies on intuition and basic principles, rather than technical computations.

Download or read book Methods of Mathematical Finance written by Ioannis Karatzas and published by Springer Science & Business Media. This book was released on 1998-08-13 with total page 427 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph is a sequel to Brownian Motion and Stochastic Calculus by the same authors. Within the context of Brownian-motion- driven asset prices, it develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets. The latter topic is extended to a study of equilibrium, providing conditions for the existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner. The book contains an extensive set of references and notes describing the field, including topics not treated in the text. This monograph should be of interest to researchers wishing to see advanced mathematics applied to finance. The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options. Also available by Ioannis Karatzas and Steven E. Shreve, Brownian Motion and Stochastic Calculus, Second Edition, Springer-Verlag New York, Inc., 1991, 470 pp., ISBN 0-387- 97655-8.

Download or read book Option Theory with Stochastic Analysis written by Fred Espen Benth and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a very basic and accessible introduction to option pricing, invoking a minimum of stochastic analysis and requiring only basic mathematical skills. It covers the theory essential to the statistical modeling of stocks, pricing of derivatives with martingale theory, and computational finance including both finite-difference and Monte Carlo methods.

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 Martingale Methods in Financial Modelling written by Marek Musiela and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 521 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and self-contained treatment of the theory and practice of option pricing. The role of martingale methods in financial modeling is exposed. The emphasis is on using arbitrage-free models already accepted by the market as well as on building the new ones. Standard calls and puts together with numerous examples of exotic options such as barriers and quantos, for example on stocks, indices, currencies and interest rates are analysed. The importance of choosing a convenient numeraire in price calculations is explained. Mathematical and financial language is used so as to bring mathematicians closer to practical problems of finance and presenting to the industry useful maths tools.

Download or read book Mathematical Modeling And Computation In Finance With Exercises And Python And Matlab Computer Codes written by Cornelis W Oosterlee and published by World Scientific. This book was released on 2019-10-29 with total page 1310 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the interplay of stochastics (applied probability theory) and numerical analysis in the field of quantitative finance. The stochastic models, numerical valuation techniques, computational aspects, financial products, and risk management applications presented will enable readers to progress in the challenging field of computational finance.When the behavior of financial market participants changes, the corresponding stochastic mathematical models describing the prices may also change. Financial regulation may play a role in such changes too. The book thus presents several models for stock prices, interest rates as well as foreign-exchange rates, with increasing complexity across the chapters. As is said in the industry, 'do not fall in love with your favorite model.' The book covers equity models before moving to short-rate and other interest rate models. We cast these models for interest rate into the Heath-Jarrow-Morton framework, show relations between the different models, and explain a few interest rate products and their pricing.The chapters are accompanied by exercises. Students can access solutions to selected exercises, while complete solutions are made available to instructors. The MATLAB and Python computer codes used for most tables and figures in the book are made available for both print and e-book users. This book will be useful for people working in the financial industry, for those aiming to work there one day, and for anyone interested in quantitative finance. The topics that are discussed are relevant for MSc and PhD students, academic researchers, and for quants in the financial industry.

Download or read book Stochastic Modeling written by Barry L. Nelson and published by Courier Corporation. This book was released on 2012-10-11 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: Coherent introduction to techniques also offers a guide to the mathematical, numerical, and simulation tools of systems analysis. Includes formulation of models, analysis, and interpretation of results. 1995 edition.

Download or read book Stochastic Processes with Applications to Finance written by Masaaki Kijima and published by CRC Press. This book was released on 2016-04-19 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools

Download or read book Introduction to Matrix Analytic Methods in Stochastic Modeling written by G. Latouche and published by SIAM. This book was released on 1999-01-01 with total page 331 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents the basic mathematical ideas and algorithms of the matrix analytic theory in a readable, up-to-date, and comprehensive manner.

Download or read book Stochastic Volatility Modeling written by Lorenzo Bergomi and published by CRC Press. This book was released on 2015-12-16 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt: Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:Which trading issues do we tackle with stochastic volatility? How do we design models and assess their relevance? How do we tell which models are usable and when does c

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 444 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 finance and stochastic calculus, and builds up to special topics, such as options, derivatives, and credit default and jump processes. It 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, exotic and American options, term structure modeling and change of numéraire, as well as models with jumps. The author takes the approach adopted by mainstream mathematical finance in which the computation of fair prices is based on the absence of arbitrage hypothesis, therefore excluding riskless profit based on arbitrage opportunities and basic (buying low/selling high) trading. With 104 figures and simulations, along with about 20 examples based on actual market data, the book is targeted at the advanced undergraduate and graduate level, either as a course text or for self-study, in applied mathematics, financial engineering, and economics.