Introduction to Stochastic Finance with Market Examples
eBook - ePub

Introduction to Stochastic Finance with Market Examples

  1. 652 pages
  2. English
  3. ePUB (mobile friendly)
  4. Available on iOS & Android
eBook - ePub

Introduction to Stochastic Finance with Market Examples

About this book

Introduction to Stochastic Finance with Market Examples, Second Edition presents an introduction to pricing and hedging in discrete and continuous-time financial models, emphasizing both analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of stochastic calculus for finance, and details the techniques required to model the time evolution of risky assets. The book discusses a wide range of classical topics including Blackā€“Scholes pricing, American options, derivatives, term structure modeling, and change of numĆ©raire. It also builds up to special topics, such as exotic options, stochastic volatility, and jump processes.

New to this Edition

  • New chapters on Barrier Options, Lookback Options, Asian Options, Optimal Stopping Theorem, and Stochastic Volatility
  • Contains over 235 exercises and 16 problems with complete solutions available online from the instructor resources
  • Added over 150 graphs and figures, for more than 250 in total, to optimize presentation

  • 57 R coding examples now integrated into the book for implementation of the methods

  • Substantially class-tested, so ideal for course use or self-study

With abundant exercises, problems with complete solutions, graphs and figures, and R coding examples, the book is primarily aimed at advanced undergraduate and graduate students in applied mathematics, financial engineering, and economics. It could be used as a course text or for self-study and would also be a comprehensive and accessible reference for researchers and practitioners in the field.

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Yes, you can access Introduction to Stochastic Finance with Market Examples by Nicolas Privault in PDF and/or ePUB format, as well as other popular books in Business & Mathematics General. We have over one million books available in our catalogue for you to explore.

Information

Publisher
Chapman and Hall/CRC
Year
2022
Print ISBN
9781032288260
eBook ISBN
9781000779004
Edition
2
Topic
Business
Subtopic
Mathematics General
Index
Business

Table of contents

  1. Cover Page
  2. Half-Title Page
  3. Series Page
  4. Title Page
  5. Copyright Page
  6. Contents
  7. Preface
  8. Introduction
  9. 1 Assets, Portfolios, and Arbitrage
  10. 2 Discrete-Time Market Model
  11. 3 Pricing and Hedging in Discrete Time
  12. 4 Brownian Motion and Stochastic Calculus
  13. 5 Continuous-Time Market Model
  14. 6 Blackā€“Scholes Pricing and Hedging
  15. 7 Martingale Approach to Pricing and Hedging
  16. 8 Stochastic Volatility
  17. 9 Volatility Estimation
  18. 10 Maximum of Brownian Motion
  19. 11 Barrier Options
  20. 12 Lookback Options
  21. 13 Asian Options
  22. 14 Optimal Stopping Theorem
  23. 15 American Options
  24. 16 Change of NumƩraire and Forward Measures
  25. 17 Short Rates and Bond Pricing
  26. 18 Forward Rates
  27. 19 Pricing of Interest Rate Derivatives
  28. 20 Stochastic Calculus for Jump Processes
  29. 21 Pricing and Hedging in Jump Models
  30. 22 Basic Numerical Methods
  31. Bibliography
  32. Index