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Continuous-time Asset Pricing Models in Applied Stochastic Finance,9781848211599
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Continuous-time Asset Pricing Models in Applied Stochastic Finance

by
Edition:
1st
ISBN13:

9781848211599

ISBN10:
1848211597
Format:
Hardcover
Pub. Date:
1/7/2014
Publisher(s):
Wiley-ISTE
List Price: $225.00

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Questions About This Book?

What version or edition is this?
This is the 1st edition with a publication date of 1/7/2014.
What is included with this book?
  • The New copy of this book will include any supplemental materials advertised. Please check the title of the book to determine if it should include any CDs, lab manuals, study guides, etc.

Summary

Stochastic finance and financial engineering have been rapidly expanding fields of science over the past four decades, mainly due to the success of sophisticated quantitative methodologies in helping professionals manage financial risks. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better comprehending, modeling and hedging this kind of risk.These two volumes aim to provide a foundation course on applied stochastic finance. They are designed for three groups of readers: firstly, students of various backgrounds seeking a core knowledge on the subject of stochastic finance; secondly financial analysts and practitioners in the investment, banking and insurance industries; and finally other professionals who are interested in learning advanced mathematical and stochastic methods, which are basic knowledge in many areas, through finance.In Volume 2 we study continuous time models by presenting the necessary material from continuous martingales, measure theory and stochastic differential equations as models for various assets, such as the Wiener process, Brownian motion, etc. We then build, with many examples and intuitive explanations, the necessary stochastic analysis background i.e. It˘'s lemma, stochastic integration, GirsanovÝs theorem, etc. The book then guides the reader into the pricing of vanilla options in continuous time i.e. the continuous time models of Black and Scholes, followed by interest rate models and the models of Heath-Jarrow-Morton and the forward Libor model. The final part of the book presents the pricing of credit derivatives.

Table of Contents

1. Introduction.

2. Overview of probability theory in continuous-time.

3. Martingales in continuous time.

4. Stochastic differential equations as models for asset pricing models.

5. Stochastic calculus.

6. Option pricing.

7. Interest rate models.

8. Credit risk.



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