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Financial Mathematics: A Comprehensive Treatment in Continuous Time Volume II / By Giuseppe Campolieti, Roman N. Makarov

By: Contributor(s): Material type: TextTextSeries: Chapman & Hall/CRC Financial Mathematics SeriesPublication details: Boca Raton: CRC Press, 2023Description: xvii,492pISBN:
  • 9781138603639
DDC classification:
  • 510.2465 CAM-23
Contents:
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
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Item type Current library Collection Call number Vol info Status Date due Barcode
Books Books Indian Institute of Management Raipur Reference Reference 510.2465 CAM-23 (Browse shelf(Opens below)) Volume II : A Comprehensive Treatment in Continuous Time Not for loan 13215

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

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