General

Authors

Search


Committee login



 
 

 


 

 

Forthcoming

Small thumbnail

Reliability Investigation of LED Devices for Public Light Applications

Durability, Robustness and Reliability of Photonic Devices Set

Small thumbnail

Aerospace Actuators 2

Signal-by-Wire and Power-by-Wire

Small thumbnail

Flash Memory Integration

Performance and Energy Considerations

Small thumbnail

Mechanics of Aeronautical Solids, Materials and Structures

Small thumbnail

Engineering Investment Process

Making Value Creation Repeatable

Small thumbnail

Space Strategy

Small thumbnail

Distributed Systems

Concurrency and Consistency

Small thumbnail

Fatigue of Textile and Short Fiber Reinforced Composites

Durability and Ageing of Organic Composite Materials Set – Volume 1

Small thumbnail

Management of the Effects of Coastal Storms

Policy, Scientific and Historical Perspectives

Small thumbnail

Computational Color Science

Variational Retinex-like Methods

Small thumbnail

Stochastic Models of Financial Mathematics

Optimization in Insurance and Finance Set

Vigirdas Mackevicius, Faculty of Mathematics and Informatics of Vilnius University, Lithuania

ISBN: 9781785481987

Publication Date: October 2016   Hardback   130 pp.

130 USD


Add to cart

eBooks


Ebook

Description

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.

Contents

1. Overview of the Basics of Stochastic Analysis.
2. The Black–Scholes Model.
3. Models of Interest Rates.

About the Authors

Vigirdas Mackevicius is Professor of the Department of Mathematical Analysis in the Faculty of Mathematics and Informatics of Vilnius University in Lithuania. His research interests include stochastic processes, stochastic analysis, and stochastic numerics.

Downloads

DownloadTable of Content - PDF File - 45 Kb

Related Titles



































0.02199 s.