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- Author: Vigirdas Mackevicius
- Publisher: ISTE Press - Elsevier
- Year: 2016
- ISBN-10: 1785481983
- ISBN-13: 9781785481987
- Format: 15.2 x 22.9 x 1.1 cm, kieti viršeliai
- Language: English
- SAVE -10% with code: EXTRA
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Description
This book presents a short introduction to continuous-time financial models. An overview of the basics of stochastic analysis precedes a focus on the Black-Scholes and interest rate models. Other topics covered include self-financing strategies, option pricing, exotic options and risk-neutral probabilities. Vasicek, Cox-Ingersoll-Ross, and Heath-Jarrow-Morton interest rate models are also explored. The author presents practitioners with a basic introduction, with more rigorous information provided for mathematicians. The reader is assumed to be familiar with the basics of probability theory. Some basic knowledge of stochastic integration and differential equations theory is preferable, although all preliminary information is given in the first part of the book. Some relatively simple theoretical exercises are also provided.
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- Author: Vigirdas Mackevicius
- Publisher: ISTE Press - Elsevier
- Year: 2016
- ISBN-10: 1785481983
- ISBN-13: 9781785481987
- Format: 15.2 x 22.9 x 1.1 cm, kieti viršeliai
- Language: English English
This book presents a short introduction to continuous-time financial models. An overview of the basics of stochastic analysis precedes a focus on the Black-Scholes and interest rate models. Other topics covered include self-financing strategies, option pricing, exotic options and risk-neutral probabilities. Vasicek, Cox-Ingersoll-Ross, and Heath-Jarrow-Morton interest rate models are also explored. The author presents practitioners with a basic introduction, with more rigorous information provided for mathematicians. The reader is assumed to be familiar with the basics of probability theory. Some basic knowledge of stochastic integration and differential equations theory is preferable, although all preliminary information is given in the first part of the book. Some relatively simple theoretical exercises are also provided.
Reviews