Financial Mathematics: A Comprehensive Treatment in Continuous Time Volume II /

Campolieti, Giuseppe

Financial Mathematics: A Comprehensive Treatment in Continuous Time Volume II / By Giuseppe Campolieti, Roman N. Makarov - Boca Raton: CRC Press, 2023 - xvii,492p. - Chapman & Hall/CRC Financial Mathematics Series .

Part I: Stochastic Calculus with Brownian Motion

1. One-Dimensional Brownian Motion and Related Processes

2. Introduction to Continuous-Time Stochastic Calculus

Part II Continuous-Time Modelling

3. Risk-Neutral Pricing in the (B; S) Economy: One Underlying Stock

4. Risk-Neutral Pricing in a Multi-Asset Economy

5. American Options

6. Interest-Rate Modelling and Derivative Pricing

7. Alternative Models of Asset Price Dynamics

A. Essentials of General Probability Theory

B. Some Useful Integral (Expectation) Identities and Symmetry Properties

of Normal Random Variables

C. Answers and Hints to Exercises

D. Glossary of Symbols and Abbreviations

Greek Alphabet

References

Index

9781138603639

510.2465 / CAM-23