Introduction to Stochastic Finance

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Sprache: Englisch

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Beschreibung

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.

Über den Autor

Professor Jia-An Yan is a Professor of Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences. He is a Member of the Chinese Academy of Sciences and he has served as Editor-in-Chief of Acta Mathematicae Applicatae Sinica and members of several editorial boards. His main research area is stochastic analysis and mathematical finance.

Zusammenfassung

Gives a systematic introduction to the basic theory of financial mathematics, with an emphasis on applications of martingale methods

Includes 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

An excellent introductory course of mathematical finance for graduate students

Inhaltsverzeichnis

Foundation of Probability Theory and Discrete-time Martingales.- Portfolio Selection Theory in Discrete Time.- Financial Markets in Discrete Time.- Martingale Theory and It¿o Stochastic Analysis.- The Black-Scholes Model and Its Modifications.- Pricing and Hedging of Exotic Options.- It¿o 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 Pricing

Details

Erscheinungsjahr:	2018
Fachbereich:	Allgemeines
Genre:	Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
Reihe:	Universitext
Inhalt:	xiv 403 S. 6 s/w Illustr. 403 p. 6 illus.
ISBN-13:	9789811316562
ISBN-10:	9811316562
Sprache:	Englisch
Herstellernummer:	978-981-13-1656-2
Ausstattung / Beilage:	Paperback
Einband:	Kartoniert / Broschiert
Autor:	Yan, Jia-An
Auflage:	1st ed. 2018
Hersteller:	Springer Singapore Springer Nature Singapore Universitext
Maße:	235 x 155 x 23 mm
Von/Mit:	Jia-An Yan
Erscheinungsdatum:	17.10.2018
Gewicht:	0,633 kg

Artikel-ID: 113978757