Stochastic Calculus, Volume I
E-Book, Englisch, Band 1, 400 Seiten, E-Book
Reihe: Wiley Finance Series
ISBN: 978-1-119-96607-4
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)
Problems and Solutions in Mathematical Finance Volume I:Stochastic Calculus is the first of a four-volume set ofbooks focusing on problems and solutions in mathematicalfinance.
This volume introduces the reader to the basic stochasticcalculus concepts required for the study of this important subject,providing a large number of worked examples which enable the readerto build the necessary foundation for more practical orientatedproblems in the later volumes. Through this application and byworking through the numerous examples, the reader will properlyunderstand and appreciate the fundamentals that underpinmathematical finance.
Written mainly for students, industry practitioners and thoseinvolved in teaching in this field of study, StochasticCalculus provides a valuable reference book to complementone's further understanding of mathematical finance.
Autoren/Hrsg.
Weitere Infos & Material
1. General Probability and Statistical Theory
1.1 Introduction
1.2 Problems and Solutions
1.2.1 Probability Spaces
1.2.2 Discrete and Continuous Random Variables
1.2.3 Properties of Expectations
2. General Statistical Theory
2.1 Introduction
2.2 Problems and Solutions
2.2.1 Parameter Estimation
2.2.2 Hypotheses Testing
2.2.3 Goodness of Fit Analysis
2.2.4 Regression Analysis
3. Wiener Process
3.1 Introduction
3.2 Problems and Solutions
3.2.1 Random Walks
3.2.2 Examples of Wiener Process
3.2.3 Markov Property
3.2.4 Martingale Property
3.2.5 First Passage Time
3.2.6 Reflection Principle
3.2.7 Quadratic Variation
4. Stochastic Differential Equations
4.1 Introduction
4.2 Problems and Solutions
4.2.1 Ito Calculus
4.2.2 One-Dimension Diffusion Process
4.2.3 Multi-Dimensional Diffusion Process
5. Change of Measure
5.1 Introduction
5.2 Problems and Solutions
5.2.1 Martingale Representation Theorem
5.2.2 Girsanov's Theorem
5.2.3 Risk Neutral Measure
6. Poisson Process
6.1 Introduction
6.2 Problems and Solutions
6.2.1 Properties of Poisson Process
6.2.2 Jump Diffusion Process
6.2.3 Change of Measure
Appendix A Mathematics Formulae
Appendix B Probability Theory Formulae
Appendix C Statistical Theory Formulae
Appendix D Differential Equations Formulae