Essentials of Stochastic Finance PDF Download
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Author: Albert N. Shiryaev
Publisher: World Scientific
ISBN: 9810236050
Category : Business & Economics
Languages : en
Pages : 852
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Book Description
Readership: Undergraduates and researchers in probability and statistics; applied, pure and financial mathematics; economics; chaos.
Author: Albert N. Shiryaev
Publisher: World Scientific
ISBN: 9810236050
Category : Business & Economics
Languages : en
Pages : 852
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Book Description
Readership: Undergraduates and researchers in probability and statistics; applied, pure and financial mathematics; economics; chaos.
Author: Richard Durrett
Publisher: Springer
ISBN: 3319456148
Category : Mathematics
Languages : en
Pages : 282
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Book Description
Building upon the previous editions, this textbook is a first course in stochastic processes taken by undergraduate and graduate students (MS and PhD students from math, statistics, economics, computer science, engineering, and finance departments) who have had a course in probability theory. It covers Markov chains in discrete and continuous time, Poisson processes, renewal processes, martingales, and option pricing. One can only learn a subject by seeing it in action, so there are a large number of examples and more than 300 carefully chosen exercises to deepen the reader’s understanding. Drawing from teaching experience and student feedback, there are many new examples and problems with solutions that use TI-83 to eliminate the tedious details of solving linear equations by hand, and the collection of exercises is much improved, with many more biological examples. Originally included in previous editions, material too advanced for this first course in stochastic processes has been eliminated while treatment of other topics useful for applications has been expanded. In addition, the ordering of topics has been improved; for example, the difficult subject of martingales is delayed until its usefulness can be applied in the treatment of mathematical finance.
Author: Alʹbert Nikolaevich Shiri͡aev
Publisher:
ISBN:
Category : Financial engineering
Languages : en
Pages : 834
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Book Description
Author:
Publisher:
ISBN: 9780000991010
Category :
Languages : en
Pages : 0
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Book Description
Author: J. Michael Steele
Publisher: Springer Science & Business Media
ISBN: 1468493051
Category : Mathematics
Languages : en
Pages : 303
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Book Description
Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible and appropriate, a prejudice for the concrete over the abstract’. This is also reflected in the style of writing which is unusually lively for a mathematics book." --ZENTRALBLATT MATH
Author: Jia-An Yan
Publisher: Springer
ISBN: 9811316570
Category : Mathematics
Languages : en
Pages : 403
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Book Description
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 presented.
Author: Marek Capiński
Publisher: Cambridge University Press
ISBN: 1107002648
Category : Business & Economics
Languages : en
Pages : 187
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Book Description
This book introduces key results essential for financial practitioners by means of concrete examples and a fully rigorous exposition.
Author: Steven Shreve
Publisher: Springer Science & Business Media
ISBN: 9780387249681
Category : Mathematics
Languages : en
Pages : 212
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Book Description
Developed for the professional Master's program in Computational Finance at Carnegie Mellon, the leading financial engineering program in the U.S. Has been tested in the classroom and revised over a period of several years Exercises conclude every chapter; some of these extend the theory while others are drawn from practical problems in quantitative finance
Author: Charles S. Tapiero
Publisher: Springer Science & Business Media
ISBN: 1461558239
Category : Business & Economics
Languages : en
Pages : 352
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Book Description
Applied Stochastic Models and Control for Finance and Insurance presents at an introductory level some essential stochastic models applied in economics, finance and insurance. Markov chains, random walks, stochastic differential equations and other stochastic processes are used throughout the book and systematically applied to economic and financial applications. In addition, a dynamic programming framework is used to deal with some basic optimization problems. The book begins by introducing problems of economics, finance and insurance which involve time, uncertainty and risk. A number of cases are treated in detail, spanning risk management, volatility, memory, the time structure of preferences, interest rates and yields, etc. The second and third chapters provide an introduction to stochastic models and their application. Stochastic differential equations and stochastic calculus are presented in an intuitive manner, and numerous applications and exercises are used to facilitate their understanding and their use in Chapter 3. A number of other processes which are increasingly used in finance and insurance are introduced in Chapter 4. In the fifth chapter, ARCH and GARCH models are presented and their application to modeling volatility is emphasized. An outline of decision-making procedures is presented in Chapter 6. Furthermore, we also introduce the essentials of stochastic dynamic programming and control, and provide first steps for the student who seeks to apply these techniques. Finally, in Chapter 7, numerical techniques and approximations to stochastic processes are examined. This book can be used in business, economics, financial engineering and decision sciences schools for second year Master's students, as well as in a number of courses widely given in departments of statistics, systems and decision sciences.
Author: Thomas Mikosch
Publisher: World Scientific
ISBN: 9789810235437
Category : Mathematics
Languages : en
Pages : 230
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Book Description
Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory. This book is suitable for the reader without a deep mathematical background. It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black -- Scholes option pricing formula is derived. The book can serve as a text for a course on stochastic calculus for non-mathematicians or as elementary reading material for anyone who wants to learn about Ito calculus and/or stochastic finance.
