Deterministic and Stochastic Topics in Computational Finance
eBook - ePub

Deterministic and Stochastic Topics in Computational Finance

Ovidiu Calin

Share book
  1. 484 pages
  2. English
  3. ePUB (mobile friendly)
  4. Available on iOS & Android
eBook - ePub

Deterministic and Stochastic Topics in Computational Finance

Ovidiu Calin

Book details
Table of contents

About This Book


What distinguishes this book from other texts on mathematical finance is the use of both probabilistic and PDEs tools to price derivatives for both constant and stochastic volatility models, by which the reader has the advantage of computing explicitly a large number of prices for European, American and Asian derivatives.

The book presents continuous time models for financial markets, starting from classical models such as Black–Scholes and evolving towards the most popular models today such as Heston and VAR.

A key feature of the textbook is the large number of exercises, mostly solved, which are designed to help the reader to understand the material.

The book is based on the author's lectures on topics on computational finance for senior and graduate students, delivered in USA (Princeton University and EMU), Taiwan and Kuwait. The prerequisites are an introductory course in stochastic calculus, as well as the usual calculus sequence.

The book is addressed to undergraduate and graduate students in Masters of Finance programs as well as to those who wish to become more efficient in their practical applications.

Topics covered:


  • Interest Rates and Bonds
  • Forward Rates and Yield Curves
  • Risk-neutral Valuation
  • Martingale Measures
  • Black–Scholes Analysis
  • American Options
  • Stochastic Volatility Models (Heston, AR, GARCH)
  • Stochastic Return Models (VAR)

--> -->

Request Inspection Copy

--> Contents:

  • Introduction:
    • Determinism or Stochasticity?
    • Calibration to the Market
  • Interest Rates and Bonds:
    • Modeling Stochastic Rates
    • Bonds, Forward Rates and Yield Curves
  • Risk-Neutral Valuation Pricing:
    • Modeling Stock-Prices
    • Risk-Neutral Valuation
    • Martingale Measures
  • PDE Approach:
    • Black-Scholes Analysis
    • Black-Scholes for Asian Derivatives
    • American Options
  • Stochastic Volatility and Return Models:
    • Heston Model
    • GARCH Model
    • AR(1) Model
    • Stochastic Return Models
    • Hints and Solutions
  • Appendices:
    • Useful Transforms
    • Probability Concepts
    • Elements of Stochastic Calculus
    • Series and Equations
  • Bibliography
  • Index

--> Readership: Undergraduates, graduate students and researchers in Mathematical Finance. -->
Black–Scholes Equation;Stochastic Volatility Model;Heston Model;Derivatives Pricing Key Features:

  • The book contains a chapter on pricing options when the underlying asset has stochastic volatility. Models such as Heston, Garch and Arch are presented. Heston model is one of the most popular these days and the book provides a clear presentation involving only elementary mathematics
  • The last chapter deals with pricing options in the case when the underlying asset has a stochastic rate of return. This is a topic of ongoing research and it is related with the topic of 2013 Nobel Price in Economics. There are very few sources that provide this type of developments. This chapter was developed by the author
  • A large number of the proposed problems (about 150) are solved completely or partially in the Hints and Solutions chapter
  • The book contains an Appendix section containing the most useful information the reader needs to have in order to fully understand the text, without consulting another text

Frequently asked questions

How do I cancel my subscription?
Simply head over to the account section in settings and click on “Cancel Subscription” - it’s as simple as that. After you cancel, your membership will stay active for the remainder of the time you’ve paid for. Learn more here.
Can/how do I download books?
At the moment all of our mobile-responsive ePub books are available to download via the app. Most of our PDFs are also available to download and we're working on making the final remaining ones downloadable now. Learn more here.
What is the difference between the pricing plans?
Both plans give you full access to the library and all of Perlego’s features. The only differences are the price and subscription period: With the annual plan you’ll save around 30% compared to 12 months on the monthly plan.
What is Perlego?
We are an online textbook subscription service, where you can get access to an entire online library for less than the price of a single book per month. With over 1 million books across 1000+ topics, we’ve got you covered! Learn more here.
Do you support text-to-speech?
Look out for the read-aloud symbol on your next book to see if you can listen to it. The read-aloud tool reads text aloud for you, highlighting the text as it is being read. You can pause it, speed it up and slow it down. Learn more here.
Is Deterministic and Stochastic Topics in Computational Finance an online PDF/ePUB?
Yes, you can access Deterministic and Stochastic Topics in Computational Finance by Ovidiu Calin in PDF and/or ePUB format, as well as other popular books in Betriebswirtschaft & Finanzwesen. We have over one million books available in our catalogue for you to explore.



Table of contents