Committee login






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

Continuous-time Asset Pricing Models in Applied Stochastic Finance

P-C.G. Vassiliou, University College London, UK

ISBN: 9781848211599

Publication Date: January 2010   Hardback   608 pp.

225 USD

Add to cart




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.


1. Introduction.
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.

Related Titles

0.06246 s.