Custom cover image
Custom cover image

Introduction to Stochastic Finance / by Jia-An Yan

By: Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: Universitext | Springer eBook Collection | SpringerLink BücherPublisher: Singapore : Springer Singapore, 2018Description: Online-Ressource (XIV, 403 p. 6 illus, online resource)ISBN:
  • 9789811316579
Subject(s): Additional physical formats: 9789811316562 | 9789811316586 | Erscheint auch als: 9789811316562 Druck-Ausgabe | Erscheint auch als: 9789811316586 Druck-AusgabeDDC classification:
  • 519
MSC: MSC: *91-01 | 91G10 | 91G20 | 91B25 | 91G30 | 60G42 | 91B16 | 60H30 | 62P05 | 62M10LOC classification:
  • HB135-147
DOI: DOI: 10.1007/978-981-13-1657-9Online resources: Summary: This book gives a systematic introduction to the basic theory of financial mathematics, with an emphasis on applications of martingale methods in pricing and hedging of contingent claims, interest rate term structure models, and expected utility maximization problems. The general theory of static risk measures, basic concepts and results on markets of semimartingale model, and a numeraire-free and original probability based framework for financial markets are also included. The basic theory of probability and Ito's theory of stochastic analysis, as preliminary knowledge, are presentedSummary: Foundation of Probability Theory and Discrete-time Martingales -- Portfolio Selection Theory in Discrete Time -- Financial Markets in Discrete Time -- Martingale Theory and Itˆo Stochastic Analysis -- The Black-Scholes Model and Its Modifications -- Pricing and Hedging of Exotic Options -- Itˆo Process and Diffusion Models -- Term Structure Models For Interest Rates -- Optimal Investment-Consumption Strategies in Diffusion Models -- Static Risk Measures -- Stochastic Calculus and Semimartingale Model -- Optimal Investment in Incomplete Markets -- Martingale Method for Utility Maximization -- Optimal Growth Portfolios and Option PricingPPN: PPN: 1036398447Package identifier: Produktsigel: ZDB-2-SEB | ZDB-2-SMA | ZDB-2-SXMS
No physical items for this record
KIT – The Research University in the Helmholtz Association                         Home | Impressum | Datenschutz | Barrierefreiheit | KIT