Table of contents:
Introduction. Discrete-time models. Optimal stopping problem and American options. Brownian motion and stochastic differential equations. The Black-Scholes model. Option pricing and partial differential equations. Interest rate models. Asset models with jumps. Simulation and algorithms for financial models. Appendix. References. Index
In recent years the growing importance of derivative products financial markets has increased the demand for mathematical skills in financial institutions. The purpose of this book is to introduce the mathematical methods of financial modelling to provide a clear explanation of the most useful models.
Introduction to Stochastic Calculus begins with an elementary presentation of discrete models, including the Cox-Ross-Rubenstein model.
This book will be valued by derivatives trading, marketing, and research divisions of investment banks and other institutions, and also by graduate students and research academics in applied probability and finance theory.
Introduction. Discrete-time models. Optimal stopping problem and American options. Brownian motion and stochastic differential equations. The Black-Scholes model. Option pricing and partial differential equations. Interest rate models. Asset models with jumps. Simulation and algorithms for financial models. Appendix. References. Index
In recent years the growing importance of derivative products financial markets has increased the demand for mathematical skills in financial institutions. The purpose of this book is to introduce the mathematical methods of financial modelling to provide a clear explanation of the most useful models.
Introduction to Stochastic Calculus begins with an elementary presentation of discrete models, including the Cox-Ross-Rubenstein model.
This book will be valued by derivatives trading, marketing, and research divisions of investment banks and other institutions, and also by graduate students and research academics in applied probability and finance theory.