Essentials of Stochastic Finance: Facts, Models, Theory

Front Cover
World Scientific, 1999 - Business & Economics - 834 pages
This important book provides information necessary for those dealing with stochastic calculus and pricing in the models of financial markets operating under uncertainty; introduces the reader to the main concepts, notions and results of stochastic financial mathematics; and develops applications of these results to various kinds of calculations required in financial engineering. It also answers the requests of teachers of financial mathematics and engineering by making a bias towards probabilistic and statistical ideas and the methods of stochastic calculus in the analysis of market risks.
 

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Contents

Chapter II Stochastic Models Discrete Time
80
Chapter III Stochastic Models Continuous Time
188
Chapter IV Statistical Analysis of Financial Data
314
Part 2 THEORY
381
Chapter V Theory of Arbitrage in Stochastic Financial Models Discrete Time
382
Chapter VI Theory of Pricing in Stochastic Financial Models Discrete Time
502
Chapter VII Theory of Arbitrage in Stochastic Financial Models Continuous Time
632
Chapter VIII Theory of Pricing in Stochastic Financial Models Continuous Time
734
Bibliography
803
Index
825
Index of Symbols
833
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