Stochastic Financial Models (chapman And Hall/crc Financial Mathematics Series)
by Douglas Kennedy /
2010 / English / EPUB
7.8 MB Download
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,
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
Stochastic Financial Models provides a sound
introduction to mathematical finance. The author takes a
classical applied mathematical approach, focusing on calculations
rather than seeking the greatest generality.
provides a sound
introduction to mathematical finance. The author takes a
classical applied mathematical approach, focusing on calculations
rather than seeking the greatest generality.
Developed from the esteemed author’s advanced undergraduate and
graduate courses at the University of Cambridge, the text begins
with the classical topics of utility and the mean-variance
approach to portfolio choice. The remainder of the book deals
with derivative pricing. The author fully explains the binomial
model since it is central to understanding the pricing of
derivatives by self-financing hedging portfolios. He then
discusses the general discrete-time model, Brownian motion and
the Black–Scholes model. The book concludes with a look at
various interest-rate models. Concepts from measure-theoretic
probability and solutions to the end-of-chapter exercises are
provided in the appendices.
Developed from the esteemed author’s advanced undergraduate and
graduate courses at the University of Cambridge, the text begins
with the classical topics of utility and the mean-variance
approach to portfolio choice. The remainder of the book deals
with derivative pricing. The author fully explains the binomial
model since it is central to understanding the pricing of
derivatives by self-financing hedging portfolios. He then
discusses the general discrete-time model, Brownian motion and
the Black–Scholes model. The book concludes with a look at
various interest-rate models. Concepts from measure-theoretic
probability and solutions to the end-of-chapter exercises are
provided in the appendices.
By exploring the important and exciting application area of
mathematical finance, this text encourages students to learn more
about probability, martingales and stochastic integration. It
shows how mathematical concepts, such as the Black–Scholes and
Gaussian random-field models, are used in financial situations.
By exploring the important and exciting application area of
mathematical finance, this text encourages students to learn more
about probability, martingales and stochastic integration. It
shows how mathematical concepts, such as the Black–Scholes and
Gaussian random-field models, are used in financial situations.