Continuous-time Asset Pricing Models in Applied Stochastic Finance
Publication Date: January 2010 Hardback 608 pp.
These two volumes provide a foundation course on applied stochastic finance for students, financial analysts and practitioners, and any professional interested in learning advanced mathematical and stochastic methods through finance.
The books are illustrated with numerous examples, each highlighted and isolated from the text for easy reference and identification.
This volume studies continuous time models using continuous martingales, measure theory and stochastic differential equations as models for various assets such as the Wiener process, Brownian motion, etc. After building the necessary stochastic analysis background, the book then discusses the pricing of vanilla options in continuous time and credit derivatives.
2. Overview of Probability Theory in Continuous-time.
3. Martingales in Continuous-time.
4. Stochastic Differential Equations as Models for Asset Pricing Models.
5. Stochastic Calculus.
6. Option Pricing.
7. Interest Rate Models.
8. Credit Risk.
About the Authors
P.C.G. Vassiliou is Professor at the Mathematics Department of Aristotle University of Thessaloniki, Greece. For the last two years he has been a Visiting Professor at University College London, Department of Statistical Sciences, where the current book was written. He is well known in the area of Stochastic Mathematics and Applied Probability in which he has published more than 50 papers in well known journals.