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Stochastic Finance: An Introduction with Market Examples by Nicolas Privault

By: Privault, Nicolas.
Material type: materialTypeLabelBookSeries: Chapman and Hall/CRC Financial Mathematics Series. Publisher: Boca Raton CRC Press 2016Description: 426p.ISBN: 9781466594029.Subject(s): Securities - Prices - Mathematical ModelsDDC classification: 332.63​2042
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Item type Current location Collection Call number Status Date due Barcode Item holds
Book Book Institute of Management
General 332.63​2042 PRI (Browse shelf) Available M0031401
Total holds: 0

1. Assets, Portfolios and Arbitrage
2. Discrete-Time Model
3. Pricing and Hedging in Discrete Time
4. Brownian Motion and Stochastic Calculus
5. The Black-Scholes PDE
6. Martingale Approach to Pricing and Hedging
7. Estimation of Volatility
8. Exotic Options
9. American Options
10. Change of Numeraire and Forward Measures
11. Forward Rate Modeling
12. Pricing of Interest Rate Derivatives
13. Default Risk in Bond Markets
14. Stochastic Calculus for Jump Processes
15. Pricing and Hedging in Jump Models
16. Basic Numerical Methods
Appendix: Background on Probability Theory
Conditional Expectation

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