Stochastic Finance: An Introduction with Market Examples

By:

Privault, Nicolas

Material type: Text

TextSeries: Chapman and Hall/CRC Financial Mathematics SeriesPublication details: CRC Press 2016 Boca RatonDescription: 426pISBN:

9781466594029

Subject(s):

Securities - Prices - Mathematical Models

DDC classification:

332.632042 PRI

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Holdings
Item type	Current library	Item location	Collection	Call number	Status	Date due	Barcode	Item holds
Book	NIMA Knowledge Centre	9th Floor Reading Zone	General	332.632042 PRI (Browse shelf(Opens below))	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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