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Synopsis
This book presents a short introduction to continuous-time financial models. An overview of the basics of stochastic analysis precedes a focus on the Black-Scholes and interest rate models. Other topics covered include self-financing strategies, option pricing, exotic options and risk-neutral probabilities. Vasicek, Cox-Ingersoll-Ross, and Heath-Jarrow-Morton interest rate models are also explored. The author presents practitioners with a basic introduction, with more rigorous information provided for mathematicians. The reader is assumed to be familiar with the basics of probability theory. Some basic knowledge of stochastic integration and differential equations theory is preferable, although all preliminary information is given in the first part of the book. Some relatively simple theoretical exercises are also provided.
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About the Author
Vigirdas Mackevicius is Professor of the Department of Mathematical Analysis in the Faculty of Mathematics and Informatics of Vilnius University in Lithuania. His research interests include stochastic processes, stochastic analysis, and stochastic numerics.
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Stochastic Models of Financial Mathematics
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ISTE Press Ltd - Elsevier Inc, 2016
ISBN 10: 1785481983
ISBN 13: 9781785481987
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