Applied Stochastic Finance v 2

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Opis: Applied Stochastic Finance v 2 - P-C.G. Vassiliou, E Monmasson

Stochastic finance and financial engineering have been rapidly expanding fields of science over the past four decades, mainly due to the success of sophisticated quantitative methodologies in helping professionals manage financial risks. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better comprehending, modeling and hedging this kind of risk. These two volumes aim to provide a foundation course on applied stochastic finance.They aredesigned for three groups of readers: firstly, students of various backgrounds seeking a core knowledge on the subject of stochastic finance; secondly financial analysts and practitioners in the investment, banking and insurance industries; and finally other professionals who are interested in learning advanced mathematical and stochastic methods, which are basic knowledge in many areas, through finance. In Volume 2 we study continuous time models by presenting the necessary material from continuous martingales, measure theory and stochastic differential equations as models for various assets, such as the Wiener process, Brownian motion, etc. We then build, with many examples and intuitive explanations, the necessary stochastic analysis background i.e. Ito's lemma, stochastic integration, Girsanovis theorem, etc. The book then guides the reader into the pricing of vanilla options in continuous time i.e. the continuous time models of Black and Scholes, followed by interest rate models and the models of Heath-Jarrow-Morton and the forward Libor model. The final part of the book presents the pricing of credit derivatives.1. Introduction. 2. Overview of probability theory in continuous-time. 3. Martingales in continuous time. 4. Stochastic differential equations as models for asset pricing models. 5. Stochastic calculus. 6. Option pricing. 7. Interest rate models. 8. Credit risk.


Szczegóły: Applied Stochastic Finance v 2 - P-C.G. Vassiliou, E Monmasson

Tytuł: Applied Stochastic Finance v 2
Autor: P-C.G. Vassiliou, E Monmasson
Producent: ISTE Publishing Company
ISBN: 9781848211599
Rok produkcji: 2014
Ilość stron: 608
Oprawa: Twarda


Recenzje: Applied Stochastic Finance v 2 - P-C.G. Vassiliou, E Monmasson

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Applied Stochastic Finance v 2

,

Stochastic finance and financial engineering have been rapidly expanding fields of science over the past four decades, mainly due to the success of sophisticated quantitative methodologies in helping professionals manage financial risks. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better comprehending, modeling and hedging this kind of risk. These two volumes aim to provide a foundation course on applied stochastic finance.They aredesigned for three groups of readers: firstly, students of various backgrounds seeking a core knowledge on the subject of stochastic finance; secondly financial analysts and practitioners in the investment, banking and insurance industries; and finally other professionals who are interested in learning advanced mathematical and stochastic methods, which are basic knowledge in many areas, through finance. In Volume 2 we study continuous time models by presenting the necessary material from continuous martingales, measure theory and stochastic differential equations as models for various assets, such as the Wiener process, Brownian motion, etc. We then build, with many examples and intuitive explanations, the necessary stochastic analysis background i.e. Ito's lemma, stochastic integration, Girsanovis theorem, etc. The book then guides the reader into the pricing of vanilla options in continuous time i.e. the continuous time models of Black and Scholes, followed by interest rate models and the models of Heath-Jarrow-Morton and the forward Libor model. The final part of the book presents the pricing of credit derivatives.1. Introduction. 2. Overview of probability theory in continuous-time. 3. Martingales in continuous time. 4. Stochastic differential equations as models for asset pricing models. 5. Stochastic calculus. 6. Option pricing. 7. Interest rate models. 8. Credit risk.

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Cena 826,40 PLN
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Wysyłka: Niedostępna
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Szczegóły: Applied Stochastic Finance v 2 - P-C.G. Vassiliou, E Monmasson

Tytuł: Applied Stochastic Finance v 2
Autor: P-C.G. Vassiliou, E Monmasson
Producent: ISTE Publishing Company
ISBN: 9781848211599
Rok produkcji: 2014
Ilość stron: 608
Oprawa: Twarda


Recenzje: Applied Stochastic Finance v 2 - P-C.G. Vassiliou, E Monmasson

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