Description
Stochastic Financial Models
Chapman and Hall/CRC Financial Mathematics Series
Author: Kennedy Douglas
Language: English
Subjects for Stochastic Financial Models:
Keywords
Gaussian Random Field Model; Martingale Probability; stochastic financial models; Conditional Expectation; mathematical finance; Optional Sampling Theorem; mean-variance analysis; Minimal Martingale Measure; portfolio choice; Riskless Asset; derivative pricing; Strike Price; binomial model; European Call Option; hedging portfolios; Standard Brownian Motion; discrete-time model; Exponential Brownian Motion; Brownian motion; Risky Assets; Black–Scholes model; Hedging Portfolio; interest-rate model; Radon Nikodym Derivative; Gaussian random-field model; measure-theoretic probability; Tangency Portfolio; financial products; Global Minimum Variance Portfolio; Martingale Measure; Continuous Dividend Yield; Black Scholes Formula; Ti Ti1; Instantaneous Forward Rates; Minimum Variance Portfolio; Optimal Hedging Portfolio; Mutual Fund Theorem
Publication date: 09-2018
· 15.6x23.4 cm · Paperback
Publication date: 01-2010
256 p. · 15.6x23.4 cm · Hardback
Description
/li>Contents
/li>Readership
/li>Biography
/li>
Filling the void between surveys of the field with relatively light mathematical content and books with a rigorous, formal approach to stochastic integration and probabilistic ideas, Stochastic Financial Models provides a sound introduction to mathematical finance. The author takes a classical applied mathematical approach, focusing on calculations rather than seeking the greatest generality.
Developed from the esteemed author?s advanced undergraduate and graduate courses at the University of Cambridge, the text begins with the classical topics of utility and the mean-variance approach to portfolio choice. The remainder of the book deals with derivative pricing. The author fully explains the binomial model since it is central to understanding the pricing of derivatives by self-financing hedging portfolios. He then discusses the general discrete-time model, Brownian motion and the Black?Scholes model. The book concludes with a look at various interest-rate models. Concepts from measure-theoretic probability and solutions to the end-of-chapter exercises are provided in the appendices.
By exploring the important and exciting application area of mathematical finance, this text encourages students to learn more about probability, martingales and stochastic integration. It shows how mathematical concepts, such as the Black?Scholes and Gaussian random-field models, are used in financial situations.
Portfolio Choice. The Binomial Model. A General Discrete-Time Model. Brownian Motion. The Black–Scholes Model. Interest-Rate Models. Solutions. Appendices. Further Reading. References. Index.
Douglas Kennedy is a Fellow of Trinity College in Cambridge, UK.
