Introduction to Stochastic Finance
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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.
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.
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
Autor*in
Jia-An Yan
Themen in »Introduction to Stochastic Finance«
portfolio selection pricing hedging Black-Scholes model diffusion process model option interest rate term structure model static risk measure quantitative finance
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“The monograph is a wonderful text for graduate courses in mathematical finance and related fields. … The materials presented in the monograph are organised in a thoughtful way.” (Tak Kuen Siu, zbMATH 1420.91001, 2019)
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