Stochastic models of financial mathematics. (2016)

• Record Type: Book
• Further Information: Note: Vigirdas Mackevicius.
• Authors: Mackevičius, Vigirdas
• Contents: OVERVIEW OF THE BASICS OF STOCHASTIC ANALYSIS 1. Brownian motion 2. Stochastic integrals 3. Martingales, It's processes and general It's formula 4. Stochastic differential equation 5. Change of probability: The Girsanov theorem THE BLACK–SCHOLES MODEL 6. Introduction: what is an option? 7. Self-financing strategies 8. Option pricing problem: The Black-Scholes model 9. The Black-Scholes formula 10. Risk-neutral probabilities. Alternative derivation of Black-Scholes formula 11. American options in the Black–Scholes model 12. Exotic options MODELS OF INTEREST RATES 13. Modeling principles 14. The Vasiˇcek model 15. The Cox-Ingersoll-Ross model 16. The Heath-Jarrow-Morton model
• Publisher Details: Amsterdam : Elsevier
• Publication Date: 2016
• Extent: 1 online resource
• Subjects: 332.0151923; Finance -- Mathematical models; Stochastic processes; Investments -- Mathematics
• Languages: English
• ISBNs: 9780081020869
• Related ISBNs: 9781785481987
• Notes: Note: Description based on CIP data; item not viewed.
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.