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Stochastic models of financial mathe...

Mackevičius, Vigirdas,

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Stochastic models of financial mathematics

Record Type:	Electronic resources : Monograph/item
Title/Author:	Stochastic models of financial mathematics/ Vigirdas Mackevičius.
Author:	Mackevičius, Vigirdas,
Published:	London :ISTE Press, : 2016.,
Description:	1 online resource (132 p.)
[NT 15003449]:	Front Cover ; Stochastic Models of Financial Mathematics; Copyright ; Contents; Preface; Notations; Chapter 1. Overview of the Basics of Stochastic Analysis; 1.1. Brownian motion; 1.2. Stochastic integrals; 1.3. Martingales, Itô processes and general Itô's formula; 1.4. Stochastic differential equations; 1.5. Change of probability: the Girsanov theorem; Chapter 2. The Black-Scholes Model; 2.1. Introduction: what is an option?; 2.2. Self-financing strategies; 2.3. Option pricing problem: the Black-Scholes model; 2.4. The Black-Scholes formula.
[NT 15003449]:	2.5. Risk-neutral probabilities: alternative derivation of the Black-Scholes formula2.6. American options in the Black-Scholes model; 2.7. Exotic options; Chapter 3. Models of Interest Rates; 3.1. Modeling principles; 3.2. The Vašíček model; 3.3. The Cox-Ingersoll-Ross model; 3.4. The Heath-Jarrow-Morton model; Bibliography; Index; Back Cover.
Subject:	Finance - Mathematical models. -
Online resource:	https://www.sciencedirect.com/science/book/9781785481987
ISBN:	9780081020869 (electronic bk.)

Stochastic models of financial mathematics
Mackevičius, Vigirdas,

Stochastic models of financial mathematics[electronic resource] /Vigirdas Mackevičius. - London :ISTE Press,2016. - 1 online resource (132 p.) - Optimization in insurance and finance set. - Optimization in insurance and finance set..

Includes bibliographical references and index.

Front Cover ; Stochastic Models of Financial Mathematics; Copyright ; Contents; Preface; Notations; Chapter 1. Overview of the Basics of Stochastic Analysis; 1.1. Brownian motion; 1.2. Stochastic integrals; 1.3. Martingales, Itô processes and general Itô's formula; 1.4. Stochastic differential equations; 1.5. Change of probability: the Girsanov theorem; Chapter 2. The Black-Scholes Model; 2.1. Introduction: what is an option?; 2.2. Self-financing strategies; 2.3. Option pricing problem: the Black-Scholes model; 2.4. The Black-Scholes formula.

ISBN: 9780081020869 (electronic bk.)Subjects--Topical Terms:

578740
Finance
--Mathematical models.Index Terms--Genre/Form:

542853
Electronic books.

LC Class. No.: HG176.5

Dewey Class. No.: 330.1/5195

Stochastic models of financial mathematics
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300 $a 1 online resource (132 p.)
490 1 $a Optimization in insurance and finance set
504 $a Includes bibliographical references and index.
505 0 $a Front Cover ; Stochastic Models of Financial Mathematics; Copyright ; Contents; Preface; Notations; Chapter 1. Overview of the Basics of Stochastic Analysis; 1.1. Brownian motion; 1.2. Stochastic integrals; 1.3. Martingales, Itô processes and general Itô's formula; 1.4. Stochastic differential equations; 1.5. Change of probability: the Girsanov theorem; Chapter 2. The Black-Scholes Model; 2.1. Introduction: what is an option?; 2.2. Self-financing strategies; 2.3. Option pricing problem: the Black-Scholes model; 2.4. The Black-Scholes formula.
505 8 $a 2.5. Risk-neutral probabilities: alternative derivation of the Black-Scholes formula2.6. American options in the Black-Scholes model; 2.7. Exotic options; Chapter 3. Models of Interest Rates; 3.1. Modeling principles; 3.2. The Vašíček model; 3.3. The Cox-Ingersoll-Ross model; 3.4. The Heath-Jarrow-Morton model; Bibliography; Index; Back Cover.
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